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Articles 1 - 8 of 8
Full-Text Articles in International Economics
International Risk Sharing In Overlapping Generations Models, James Staveley-O'Carroll, Olena M. Staveley-O'Carroll
International Risk Sharing In Overlapping Generations Models, James Staveley-O'Carroll, Olena M. Staveley-O'Carroll
Economics Department Working Papers
We present a solution to the Backus-Smith puzzle that, instead of relying on extreme parameter values or complex modeling assumptions, simply switches the framework from infinitely lived agents to overlapping generations. Young agents face non-diversifiable wage risk that leads to a low degree of risk sharing within each country. Subsequently, international price movements are not sufficient to achieve the high consumption-real exchange rate correlation produced in standard infinitely lived agent DSGE models.
Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, Yamin S. Ahmad, Ming Chien Lo, Olena M. Staveley-O'Carroll
Nonlinearities In The Real Exchange Rates: New Evidence From Developed And Developing Countries, Yamin S. Ahmad, Ming Chien Lo, Olena M. Staveley-O'Carroll
Economics Department Working Papers
This paper investigates nonlinearities in the dynamics of real exchange rates. We use Monte Carlo simulations to establish the size properties of the Teräsvirta-Anderson (1992) and the Teräsvirta (1994) test, when the dynamics of the real exchange rate is influenced by an exogenous process. In addition, we examine the modification proposed by Ahmad, Lo and Mykhaylova (2013; Journal of International Economics) to show that the modified nonlinearity test performs much better than the original in both Monte Carlo exercises and in the actual data on 1431 bilateral real exchange rate series. Finally, we investigate the dynamics of the real exchange …
Mexico Consensus Economic Forecast, Volume 21, Number 3, Thomas M. Fullerton Jr., Esmeralda Muñiz
Mexico Consensus Economic Forecast, Volume 21, Number 3, Thomas M. Fullerton Jr., Esmeralda Muñiz
Border Region Modeling Project
No abstract provided.
Romania -- Systematic Country Diagnostic: Background Note-Agriculture (English), Edinaldo Tebaldi, Anatol Gobjila
Romania -- Systematic Country Diagnostic: Background Note-Agriculture (English), Edinaldo Tebaldi, Anatol Gobjila
Economics Faculty Journal Articles
Agriculture plays a significant socio-economic role in Romania and its transformation to a modern, vibrant, and market-oriented sector is central to fighting poverty, promoting social inclusion, and reducing the urban/rural development divide. Most of Romania's poor live in rural areas and earn their living from agriculture or agriculture-related activities. In 2016, eight out of ten people who were at risk of poverty or social exclusion lived either in rural areas or in towns and suburbs that were predominately rural. Using microdata from the 2013 Household Budget Survey (HBS), this report finds that individuals living in rural areas are 16.5 percent …
Mexico Consensus Economic Forecast, Volume 21, Number 2, Thomas M. Fullerton Jr., Adam G. Walke
Mexico Consensus Economic Forecast, Volume 21, Number 2, Thomas M. Fullerton Jr., Adam G. Walke
Border Region Modeling Project
No abstract provided.
Can Risk Models Extract Inflation Expectations From Financial Market Data? Evidence From The Inflation Protected Securities Of Six Countries, Arben Kita, Daniel L. Tortorice
Can Risk Models Extract Inflation Expectations From Financial Market Data? Evidence From The Inflation Protected Securities Of Six Countries, Arben Kita, Daniel L. Tortorice
Economics Department Working Papers
We consider an arbitrage strategy which exactly replicates the cash of a sovereign inflation-indexed bond using inflation swaps and nominal sovereign bonds. The strategy reveals a violation of the law of one price in the G7 countries which is largest for the eurozone. Testing the strategy's exposure to deflation, volatility, liquidity, economic and policy risks suggests that the observed pricing differential is an economic tail risk premium which is more pronounced in the eurozone. We conclude that inflation expectations implied by models that view this pricing differential as compensation for risk are likely to be accurate and useful for policy-making.
Maduro Bonds, G. Mitu Gulati, Ugo Panizza
Mexico Consensus Economic Forecast, Volume 21, Number 1, Thomas M. Fullerton Jr., Adam G. Walke
Mexico Consensus Economic Forecast, Volume 21, Number 1, Thomas M. Fullerton Jr., Adam G. Walke
Border Region Modeling Project
No abstract provided.