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What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk

Aizenman, Joshua - 2011

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

Persistent link: https://www.econbiz.de/10013120304

Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds

Aizenman, Joshua - 2010

This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden...

Persistent link: https://www.econbiz.de/10013137768

The Real Exchange Rate, Mercantilism and the Learning by Doing Externality

Aizenman, Joshua - 2008

This paper examines the degree to which the learning by doing externality [LBD] calls for an undervalued exchange rate, a policy suggested by recent empirical studies which concluded that mildly undervalued real exchange rate may enhance growth. We obtain mixed results. For an economy where LBD...

Persistent link: https://www.econbiz.de/10012772382

International Portfolio Diversification with Generalized Expected Utility Preferences

Aizenman, Joshua - 2008

. We show that agents who maximize a GEU exhibit first order risk aversion and tend to refrain from di- versification in … risk aversion increases the threshold of yields leading to diversification, shifting the cone of diversification upwards … given domestic yield. Ceteris paribus, greater downside risk aversion reduces the feasible hetero- geneity of normalized …

Persistent link: https://www.econbiz.de/10012774958

Optimal Wage Indexation, Foreign-Exchange Intervention and Monetary Policy

Aizenman, Joshua - 2010

This paper deals with the design of optimal monetary policy and with the interaction between the optimal degrees of wage indexation and foreign exchange intervention. The model is governed by the characteristics of the stochastic shocks which affect the economy and by the information set that...

Persistent link: https://www.econbiz.de/10012760345

Targeting Rules for Monetary Policy

Aizenman, Joshua; Frenkel, Jacob A. - 2021

This paper develops an analytical framework for the analysis of targeting rules for monetary policy. We derive the optimal money supply rule and analyze the implications of other monetary rules including rules that target nominal GNP, the price level, the monetary growth rate and the...

Persistent link: https://www.econbiz.de/10013215376

Adjustment to Monetary Policy and Devaluation Under Two-Tier and Fixed Exchange Rate Regimes

Aizenman, Joshua - 2021

The purpose of this paper is to determine whether a two-tier exchange rate regime is more effective than a fixed rate regime in increasing acountry's ability to pursue an independent monetary policy in the short run.The analysis compares adjustment to a monetary policy and to a devaluation in...

Persistent link: https://www.econbiz.de/10013220007

Tariff Liberalization Policy and Financial Restrictions

Aizenman, Joshua - 2021

The purpose of this paper is to assess how restrictions on capital mobility affect adjustment to a tariff liberalization policy. This is done by comparing the adlustment process under free and restricted convertibility of foreign assets in a regime where the commercial exchange rate is pegged....

Persistent link: https://www.econbiz.de/10013224884

Capital Controls and Financial Crises

Aizenman, Joshua - 2021

The purpose of this paper is to explain the reluctance of developing countries to open up their capital market to foreigners, and the conditions inducing an emerging market economy to switch its policies. We consider an economy characterized initially by a one-sided openness to the capital...

Persistent link: https://www.econbiz.de/10013238933

Supply Shocks, Wage Indexation and Monetary Accommodation

Aizenman, Joshua; Frenkel, Jacob A. - 2021

This paper develops a unified framework for the analysis of wage indexation and monetary policy in the presence of supply shocks. We first present simple formulae for the optimal wage indexation rule and for the optimal money supply rule. In order to set the stage for an evaluation of departures...

Persistent link: https://www.econbiz.de/10013313305