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Precautionary Demand for Foreign Assets in Sudden Stop Economies; An Assessment of the New Merchantilism

Mendoza, Enrique G.; Durdu, Ceyhun Bora; Terrones, Marco - International Monetary Fund (IMF) - 2007

assets via business cycle volatility, financial globalization, and endogenous Sudden Stops. Our results show that financial … globalization and Sudden Stop risk are plausible explanations of the surge in reserves but cyclical volatility, which has declined …

Persistent link: https://www.econbiz.de/10005263736

Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies

Mendoza, Enrique G. - International Monetary Fund (IMF) - 2006

This paper shows that the dominant view that the high variability of real exchange rates is due to movements in exchange rate-adjusted prices of tradable goods does not hold for Mexican data for periods with a managed exchange rate. The relative price of nontradables accounts for up to 70...

Persistent link: https://www.econbiz.de/10005264110

A General Equilibrium Model of Sovereign Default and Business Cycles

Yue, Vivian Z.; Mendoza, Enrique G. - International Monetary Fund (IMF) - 2011

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-noc default costs. We propose instead a general equilibrium model of both...

Persistent link: https://www.econbiz.de/10009203544

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

How Big (Small?) Are Fiscal Multipliers?

Ilzetzki, Ethan; Mendoza, Enrique G.; Gramont, Carlos … - International Monetary Fund (IMF) - 2011

, openness to trade, and public indebtedness. Based on a novel quarterly dataset of government expenditure in 44 countries, we …

Persistent link: https://www.econbiz.de/10008876601

A Quantitative Examination of Current Account Dynamics in Equilibrium Models of Barter Economies

Mendoza, Enrique G. - International Monetary Fund (IMF) - 1992

subject to random shocks affecting endowments, the terms of trade, and the real interest rate. Equilibrium stochastic … mimics the Harberger-Laursen-Metzler effect, but cannot account for a countercyclical trade balance, the variability of the … real exchange rate, and the income elasticity of imports. The results also show that the correlation between the trade …

Persistent link: https://www.econbiz.de/10005605153

Spot and forward volatility in foreign exchange

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - 2010

Persistent link: https://www.econbiz.de/10003994498

An economic evaluation of empirical exchange rate models

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - 2007

Persistent link: https://www.econbiz.de/10003618043

Carry trades and global foreign exchange volatility

Menkhoff, Lukas; Sarno, Lucio; Schmeling, Maik; … - 2011

Persistent link: https://www.econbiz.de/10008990031