Showing 1 - 8 of 8
a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …
Persistent link: https://www.econbiz.de/10012472119
This paper develops a dynamic framework in which macroeconomic liberalization and stabilization measures of the type recently seen in Latin America can be studied. The model is sufficiently general to cover both polar cases of a closed capital account and free private capital mobility, so the...
Persistent link: https://www.econbiz.de/10012477560
For several decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely--even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial...
Persistent link: https://www.econbiz.de/10012480075
disorder in the world economy. The interwar disorder often is linked to policies inconsistent with the constraint of the open … yield. This historical analytic narrative is compelling with significant ramifications for today's world, if true but …
Persistent link: https://www.econbiz.de/10012468300
Once one recognizes that governments borrow international reserves and exercise other policy options to defend fixed exchange rates during currency crises, the question arises: What factors determine a government's decision to abandon a currency peg or hang on? In a setting of purposeful action...
Persistent link: https://www.econbiz.de/10012474296
This paper develops a dynamic continuous-time model in which international risk sharing can yield substantial welfare … an attendant world portfolio shift from safe, but low-yield, capital into riskier, high-yield capital. The presence of … of specialized, hence inherently risky, production inputs. A partial calibration exercise based on Penn World Table …
Persistent link: https://www.econbiz.de/10012474882
channel for the communication of fiscal policy shocks to world interest rates, to private saving decisions, and, ultimately …
Persistent link: https://www.econbiz.de/10012476335
This paper surveys the decline in real interest rates in advanced and emerging economies over the past several decades, linking that process to a range of global factors that have operated with different force in different periods. The paper argues that estimates of long-run equilibrium real...
Persistent link: https://www.econbiz.de/10014447270