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The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market 新闻和SMP对欧元区主权债务市场已实现(Co)方差的影响
CEPR: International Macroeconomics (Topic) Pub Date : 2014-01-20 DOI: 10.2139/ssrn.2381864
R. Beetsma, Frank de Jong, Massimo Giuliodori, D. Widijanto
{"title":"The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market","authors":"R. Beetsma, Frank de Jong, Massimo Giuliodori, D. Widijanto","doi":"10.2139/ssrn.2381864","DOIUrl":"https://doi.org/10.2139/ssrn.2381864","url":null,"abstract":"We use realized variances and covariances based on intraday data from Eurozone sovereign bond market to measure the dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence newsflash, on the dependence structure. More news raises the volatility of interest rates of financially distressed countries and decreases the covariance of distressed countries' yields with German bond yields, suggesting a flight-to-quality effect. Common news about the euro crisis and news about specific countries itself tend to raise the covariance of yields between distressed countries, indicating potential crisis spill-over effects. However, we do not detect spillover effects from news about third countries to the covariance between other country pairs. Bond purchases by the ECB under its Securities Markets Programme (SMP) mitigate the negative crisis spillovers among the distressed countries and reduce the flight-to-safety from the distressed countries to Germany.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123296151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 15
The Dollar and its Discontents 美元及其不满
CEPR: International Macroeconomics (Topic) Pub Date : 2012-05-31 DOI: 10.2139/ssrn.2072398
O. Jeanne
{"title":"The Dollar and its Discontents","authors":"O. Jeanne","doi":"10.2139/ssrn.2072398","DOIUrl":"https://doi.org/10.2139/ssrn.2072398","url":null,"abstract":"Has the US dollar delivered the benefits that the rest of the world is expecting from its holdings of international liquidity? US government debt has been liquid and safe, and it is supplied in sufficient quantity. But it has given a low return to the countries that accumulated the most reserves, especially when those returns are measured in terms of the countries' own consumption. I argue in this paper that the countries that accumulate the most reserves should expect a low return in terms of their own consumption, and that there is little that international monetary reform can do to change that fact.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131992268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 21
An Economic Evaluation of Empirical Exchange Rate Models 实证汇率模型的经济评价
CEPR: International Macroeconomics (Topic) Pub Date : 2009-09-01 DOI: 10.1093/RFS/HHN058
Pasquale Della Corte, Lucio Sarno, I. Tsiakas
{"title":"An Economic Evaluation of Empirical Exchange Rate Models","authors":"Pasquale Della Corte, Lucio Sarno, I. Tsiakas","doi":"10.1093/RFS/HHN058","DOIUrl":"https://doi.org/10.1093/RFS/HHN058","url":null,"abstract":"This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and find two key results: (i) a risk averse investor will pay a high performance fee to switch from a dynamic portfolio strategy based on the random walk model to one which conditions on the forward premium with stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random walk benchmark. These two results are robust to reasonably high transaction costs.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127486932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 266
Rain and the Democratic Window of Opportunity 雨和民主的机会之窗
CEPR: International Macroeconomics (Topic) Pub Date : 2008-10-12 DOI: 10.2139/ssrn.1107156
Markus Bruckner, A. Ciccone
{"title":"Rain and the Democratic Window of Opportunity","authors":"Markus Bruckner, A. Ciccone","doi":"10.2139/ssrn.1107156","DOIUrl":"https://doi.org/10.2139/ssrn.1107156","url":null,"abstract":"Segun las nuevas teorias economicas sobre las transiciones politicas, shocks economicos negativos pueden ser una oportunidad para el cambio democratico. Para verificar estas teorias examinamos si cambios democraticos en Africa Subsahariana han sido mas probables despues de recesiones debidas a sequias. Nuestras estimaciones indican que una bajada del PIB del 1 por ciento aumenta la probabilidad de una transicion democratica en unos 1,3 puntos porcentuales.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126757970","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 427
International Capital Flows under Dispersed Information: Theory and Evidence 信息分散下的国际资本流动:理论与证据
CEPR: International Macroeconomics (Topic) Pub Date : 2008-10-01 DOI: 10.3386/W14390
C. Tille, Eric van Wincoop
{"title":"International Capital Flows under Dispersed Information: Theory and Evidence","authors":"C. Tille, Eric van Wincoop","doi":"10.3386/W14390","DOIUrl":"https://doi.org/10.3386/W14390","url":null,"abstract":"We develop a new theory of international capital flows based on dispersed information across individual investors. There is extensive evidence of information heterogeneity within and across countries, which has proven critical to understanding asset price behavior. We introduce information dispersion into an open economy dynamic general equilibrium portfolio choice model, and emphasize two implications for capital flows that are specific to the presence of dispersed information. First, gross and net capital flows become partially disconnected from publicly observed fundamentals. Second, capital flows (particularly gross flows) contain information about future fundamentals, even after controlling for current fundamentals. We find that these implications are quantitatively significant and consistent with data for industrialized countries.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"437 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132863207","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 30
The Transmission of Domestic Shocks in Open Economies 开放经济中国内冲击的传导
CEPR: International Macroeconomics (Topic) Pub Date : 2008-06-06 DOI: 10.7208/chicago/9780226278872.003.0003
C. Erceg, Christopher Gust, J. López-Salido
{"title":"The Transmission of Domestic Shocks in Open Economies","authors":"C. Erceg, Christopher Gust, J. López-Salido","doi":"10.7208/chicago/9780226278872.003.0003","DOIUrl":"https://doi.org/10.7208/chicago/9780226278872.003.0003","url":null,"abstract":"This paper uses an open economy DSGE model to explore how trade openness affects the transmission of domestic shocks. For some calibrations, closed and open economies appear dramatically different, reminiscent of the implications of Mundell-Fleming style models. However, we argue such stark differences hinge on calibrations that impose an implausibly high trade price elasticity and Frisch elasticity of labour supply. Overall, our results suggest that the main effects of openness are on the composition of expenditure, and on the wedge between consumer and domestic prices, rather than on the response of aggregate output and domestic prices.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127752754","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
In Search of a Theory of Debt Management 寻找债务管理理论
CEPR: International Macroeconomics (Topic) Pub Date : 2008-06-01 DOI: 10.1016/J.JMONECO.2010.08.005
Elisa Faraglia, A. Marcet, A. Scott
{"title":"In Search of a Theory of Debt Management","authors":"Elisa Faraglia, A. Marcet, A. Scott","doi":"10.1016/J.JMONECO.2010.08.005","DOIUrl":"https://doi.org/10.1016/J.JMONECO.2010.08.005","url":null,"abstract":"","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"277 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117846917","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 82
The Procyclical Effects of Basel II 巴塞尔协议II的顺周期效应
CEPR: International Macroeconomics (Topic) Pub Date : 2008-06-01 DOI: 10.2139/SSRN.965806
Rafael Repullo, J. Suárez
{"title":"The Procyclical Effects of Basel II","authors":"Rafael Repullo, J. Suárez","doi":"10.2139/SSRN.965806","DOIUrl":"https://doi.org/10.2139/SSRN.965806","url":null,"abstract":"We analyze the cyclical effects of moving from risk-insensitive (Basel I) to risk-sensitive (Basel II) capital requirements in the context of a dynamic equilibrium model of relationship lending in which banks are unable to access the equity markets every period. Banks anticipate that shocks to their earnings as well as the cyclical position of the economy (modeled as a two-state Markov switching process) can impair their capacity to lend in the future and, as a precautionary measure, may hold capital buffers. We find that the new regulation may change the behavior of these buffers from countercyclical to procyclical. Yet, the higher buffers maintained in expansions may be insufficient to prevent a significant contraction in the supply of credit at the arrival of a recession. This credit crunch can be reduced by smoothing the transition from low to high capital charges.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133363111","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 168
The Effect of Trade with Low-Income Countries on U.S. Industry 与低收入国家的贸易对美国工业的影响
CEPR: International Macroeconomics (Topic) Pub Date : 2008-05-01 DOI: 10.24149/GWP14
Raphael A. Auer, Andreas M. Fischer
{"title":"The Effect of Trade with Low-Income Countries on U.S. Industry","authors":"Raphael A. Auer, Andreas M. Fischer","doi":"10.24149/GWP14","DOIUrl":"https://doi.org/10.24149/GWP14","url":null,"abstract":"When labor abundant nations grow, their exports increase more in labor intensive than in capital intensive sectors. We utilize this difference in how exports are affected by growth to identify the causal effect of trade with low-income countries (LICs) on U.S. industry. Our framework relates differences in sectoral inflation rates to differences in comparative advantage-induced import growth rates and abstracts from aggregate fluctuations and sector specific trends. In a panel covering 325 six-digit NAICS manufacturing industries from 1997 to 2006, we find that LIC exports are associated with strong downward pressure on U.S. producer prices and a large effect on productivity. When LIC exporters capture 1% U.S. market share producer prices decrease by 3%, which is nearly fully accounted by a 2.4% increase in productivity and a 0.3% decrease in markups. We also document that while LICs on average find it easier to penetrate sectors with elastic demand, the price and productivity response to import competition is much stronger in industries with inelastic demand. Overall, between 1997 and 2006, the effect of LIC trade on manufacturing PPI inflation was around two percentage points per year, far too large to be neglected in macroeconomic analysis.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125643710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
The Economic Impact of European Integration 欧洲一体化的经济影响
CEPR: International Macroeconomics (Topic) Pub Date : 2008-05-01 DOI: 10.1017/CBO9780511794841.013
A. Boltho, Barry Eichengreen
{"title":"The Economic Impact of European Integration","authors":"A. Boltho, Barry Eichengreen","doi":"10.1017/CBO9780511794841.013","DOIUrl":"https://doi.org/10.1017/CBO9780511794841.013","url":null,"abstract":"Economic integration, from the European Payments Union and the European Coal and Steel Community to the Common Market, the European Monetary System, the Single Market, and the euro, is one of the most visible, controversial and commented-upon aspects of Europe’s development since the end of World War II. It is hard to imagine that Europe’s economy would have developed the same way without it. Or is it? We see how far we can push the argument that European living standards, growth rates, and economic structure would have been little different in the absence of the institutions and processes that have culminated in today’s European Union. We adopt the methodology applied by Fogel to the railroads: suspecting that the results are small, wherever possible we adopt assumptions that bias upward the estimated impact. We conclude that European incomes would have been roughly 5 per cent lower today in the absence of the EU.","PeriodicalId":110030,"journal":{"name":"CEPR: International Macroeconomics (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130351459","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 67
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