| 12/9 |
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Size, Openness, and Macroeconomic Interdependence—Working Paper No. 103— The curse of dimensionality, a problem associated with analyzing the interaction of a relatively large number of endogenous macroeconomic variables, is a prevailing issue in the open economy macro literature. The most common practice to mitigate this problem is to apply the so-called Small Open Economy Framework (SOEF) This paper reviews under which conditions the SOEF is a justifiable approximation and how severe the consequences of violation of key conditions might be.
How Have Global Shocks Impacted the Real Effective Exchange Rates of Individual Euro Area Countries Since the Euro's Creation? —Working Paper No. 102—This paper uncovers the response pattern to global shocks of euro area countries' real effective exchange rates before and after the start of Economic and Monetary Union, a largely open-ended question when the euro was created.
Aggregation in Large Dynamic Panels—Working Paper No. 101—This paper investigates the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent.
Thousands of Models, One Story: Current Account Imbalances in the Global Economy—Working Paper No. 100—The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. |
| 12/8 |
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International House Price Database—Access to international house price data with ample geographic and temporal coverage facilitates the work of researchers, scholars and policymakers interested in the study of housing through cross-country comparison and time series analysis. To promote this research further and enhance our understanding of its international dimension, the Globalization and Monetary Policy Institute makes available its own international house price database. |
| 12/6 |
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A Cross-Country Quarterly Database of Real House Prices: A Methodological Note—Working Paper No. 99—In this paper, the authors build from (mainly) publicly available national sources a database of (nominal and real) house prices—complemented with data on private disposable income (PDI)—for 19 advanced countries at a quarterly frequency, starting in the first quarter of 1975.
Do Mood Swings Drive Business Cycles and is it Rational?—Working Paper No. 98—This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of U.S. business cycles.
Immigrant Language Barriers and House Prices—Working Paper No. 97—This paper explores whether language skills are important in explaining the nexus between house prices and immigrant inflows. |
11/30 |
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Globalization and Monetary Policy: From Virtue to Vice? —In its inaugural lecture, the Globalization and Monetary Policy Institute, in association with the American Council on Germany, presented Jürgen Stark, member of the executive board at the European Central Bank. |
| 11/29 |
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A Real-Time Historical Database for the OECD—Working Paper No. 96—This paper introduces and examines a new international real-time dataset assembled from original quarterly releases of 13 quarterly variables presented in the OECD Main Economic Indicators from 1962 to 1998 for 26 OECD countries. |
| 11/16 |
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Borders and Big Macs—Working Paper No. 95—This paper measures the extent of international market segmentation using local, national and international Big Mac prices. |
| 11/16 |
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Call for Papers: Conference on International Linkages in a Globalized World and Implications for Monetary Policy—This conference, jointly organized by the Globalization and Monetary Policy Institute of the Federal Reserve Bank of Dallas, Shanghai University of Finance and Economics and Shanghai Institute of Finance and Law, is specifically devoted to the study on the impact of globalization on the transmission of shocks across countries and its implications on conducting monetary policy. |
| 11/8 |
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Product Durability and Trade Volatility—Working Paper No. 94—One of the main causes behind the trade collapse of 2008–09 was a significant fall in the demand for durable goods. This paper develops a small country, overlapping generations model of international trade in which goods durability gives rise to a more than proportional fall in trade volumes, as observed in 2008–09. |
| 11/7 |
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International Economic Update: Global Outlook Is Weakening—A slowdown in economic activity has materialized at the global level. In October, both advanced and emerging economies faced downward revisions in real gross domestic product (GDP) growth prospects for 2011. Investor uncertainty has heightened, causing increased market volatility. Recent economic activity suggests a more optimistic outlook for the U.S. relative to other advanced economies. The U.S. is benefiting from high labor productivity, which creates positive implications for capital inflows and international trade.
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| 10/28 |
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Globalization and Monetary Policy: From Virtue to Vice? —On November 29, the Globalization and Monetary Policy Institute, in association with the American Council on Germany, presents Jürgen Stark, member of the executive board at the European Central Bank. |
| 9/14 |
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How Much Asymmetry Is There in Bond Returns and Exchange Rates?—Working Paper no. 93—The authors measure asymmetries in the distribution of bond returns and exchange rates and test their statistical significance.
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Asian Financial Linkage: Macro-Finance Dissonance—Working Paper no. 92—The authors look at how Asian financial markets are interlinked and how they are linked to markets in developed countries. The paper also explores the main driver of fluctuations in Asian financial markets as well as real economic activities. |
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Indeterminacy and Forecastability—Working Paper no. 91—Recent studies document the deteriorating performance of forecasting models during the Great Moderation. This conversely implies that forecastability is higher in the preceding era, when the economy was unexpectedly volatile. |
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A Sentiment-Based Explanation of the Forward Premium Puzzle—Working Paper no. 90—In addition to a sentiment-based explanation of the forward premium puzzle, this paper explains the low correlation of consumption growth differentials and exchange rate growth and the high stock market correlation across countries despite a low correlation of fundamentals. |
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Financial Integration and International Business Cycle Co-Movement: The Role of Balance Sheets—Working Paper no. 89—This paper investigates the effect of international financial integration on international business cycle co-movement. |
| 8/12 |
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Global Asset Pricing—Working Paper no. 88—Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. |
| 8/10 |
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International Economic Update: Growth Stalls as Economies Adjust—Following the moderation in the first quarter of 2011, global growth is expected to continue decelerating throughout the year. Both advanced and emerging economies are seeing economic performance slow. |
| 7/15 |
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Currency Blocs in the 21st Century —Working Paper no. 87—Based on a classification of countries and territories according to their regime and anchor currency choice, this study considers the two major currency blocs of the present world. A nested logit regression suggests that long-term structural economic variables determine a given country's currency bloc affiliation.
Do Banking Shocks Matter for the U.S. Economy?—Working Paper no. 86—This paper finds that shocks to a financial intermediary's net worth play an important role in investment dynamics.
Optimal Monetary Policy Under Financial Sector Risk—Working Paper no. 85—This paper considers whether a central bank should respond directly to financial market conditions when setting monetary policy. |
| 7/6 |
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Sharing the Burden: Monetary and Fiscal Responses to a World Liquidity Trap—Working Paper no. 84—With integrated trade and financial markets, a collapse in aggregate demand in a large country can cause "natural real interest rates" to fall below zero in all countries, giving rise to a global "liquidity trap." This paper explores the optimal policy response to this type of shock, when governments cooperate on both fiscal and monetary policy. |
| 6/23 |
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International Economic Update: Growth Ebbs as Risks Materialize—The global economic expansion continues, but headwinds have intensified since the beginning of 2011. |
| 6/16 |
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Price Setting in a Leading Swiss Online Supermarket—Working Paper no. 83—The authors study a newly released data set of scanner prices for food products in a large Swiss online supermarket. They find that average prices change about every two months, but when they exclude temporary sales, prices are extremely sticky, changing on average once every three years. |
| 6/6 |
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Oil Shocks through International Transport Costs: Evidence from U.S. Business Cycles—Working Paper no. 82—The effects of oil shocks on output volatility through international transport costs are investigated in an open-economy DSGE model. Two versions of the model, with and without international transport costs, are structurally estimated for the U.S. economy by a Bayesian approach for moving windows of ten years. |
| 5/18 |
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Call for Papers: Advances in Econometrics , Volume 28
DSGE Models in Macroeconomics—Estimation, Evaluation, and New Developments |
| 5/16 |
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Globalization and Monetary Policy Institute 2010 Annual Report—Includes essays "Africa—Missing Globalization's Rewards?" and "Shipping Indexes Signal Global Economic Trends," an overview of the conference "The Euro and the Dollar in the Crisis and Beyond," and a summary of institute activities and 2010 working papers. |
| 5/4 |
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Lessons for Monetary Policy: What Should the Consensus Be?—Working Paper no. 81—This paper outlines important lessons for monetary policy. In particular, the role of inflation targeting, which was much acclaimed prior to the financial crisis and since then has not lost much of its endorsement, is critically reviewed. |
| 5/4 |
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Monetary Policy, Capital Inflows, and the Housing Boom—Working Paper no. 80— The authors estimate an open economy VAR model to quantify the effect of monetary policy and capital inflows shocks on the U.S. housing market. |
| 5/4 |
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Low Interest Rates and Housing Booms: the Role of Capital Inflows, Monetary Policy and Financial Innovation—Working Paper no. 79—The authors estimate a panel VAR for a sample of OECD countries and identify monetary policy and capital inflows shocks using sign restrictions. |
| 4/27 |
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International Economic Update: Amid Risks, Global Growth Outlook Positive—Recent gross domestic product (GDP) growth forecasts suggest that the advanced economies' rebound from the global financial crisis is on solid ground and that emerging economies continue to lead the recovery by a substantial margin. |
| 4/21 |
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Welfare Costs of Inflation and the Circulation of U.S. Currency, Working Paper no. 78—Empirical studies of the "shoe-leather" costs of inflation are typically computed using M1 as a measure of money. Yet, official data on M1 includes all currency issued, regardless of the country of residence of the holder. Using monetary data adjusted for U.S. dollars abroad, we show that the failure to control for currency held by nonresidents may lead to significantly overestimating the shoe-leather costs for the domestic economy. |
| 4/7 |
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Export Basket and the Effects of Exchange Rates on Exports—Why Switzerland Is Special, Working Paper no. 77—Why has Swiss export performance been so strong during the past quarters despite the strong appreciation of the CHF? In this paper, historical data on exchange rates and trade at the sectoral level is used to document that a contributing factor behind the limited impact of the exchange rate is the unique composition of Swiss exports. |
| 4/7 |
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Information Costs, Networks and Intermediation in International Trade, Working Paper no. 76—This paper is motivated by the observation that intermediaries play an important role in international trade. The matching role of intermediaries is examined in a pairwise matching model with two-sided information asymmetry, where intermediaries develop contacts. |
| 3/21 |
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International Economic Update: World Economic Activity Picks Up—Global economic growth remained strong in fourth quarter 2010 and into this year. In advanced economies, slack is beginning to lessen as evidenced by falling unemployment rates and increasing inflation. Rising commodity prices are the main risk to global growth. High food prices are causing inflationary concerns to build among emerging economies. |
| 2/16 |
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A Redux of the Workhorse NOEM Model with Capital Accumulation and Incomplete Asset Markets—Institute Working Paper no. 74—This paper provides a broad overview of the role that incomplete international asset markets can play in accounting for the persistence and volatility of the real exchange rate. |
| 2/14 |
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The Globalization and Monetary Policy Institute introduces Global Economic Conditions, a presentation of international economic data. Updated online every Monday, Global Economic Conditions presents timely information on real economic activity, inflation, international capital markets, public finances and monetary policy for advanced and emerging economies. The presentation also contains data on issues of topical interest. |
| 2/14 |
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International Liquidity Provision During the Financial Crisis: A View From Switzerland—Institute Working Paper no. 75—This paper documents the provision of CHF liquidity by the Swiss National Bank to banks domiciled outside Switzerland during the recent financial crisis. |
| 2/8 |
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Multiproduct Firms and Price-Setting: Theory and Evidence from U.S. Producer Prices—Institute Working Paper no. 73—In this paper, the authors establish three new facts about price-setting by multiproduct firms and contribute a model that can explain our findings. Our findings have important implications for real effects of nominal shocks and provide guidance for how to model pricing decisions of firms. |
| 1/19 |
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Global Banking and International Business Cycles—Institute Working Paper no. 72—This paper incorporates a global bank into a two-country business-cycle model. The bank collects deposits from households and makes loans to entrepreneurs, in both countries. It has to finance a fraction of loans using equity. We investigate how such a bank capital requirement affects the international transmission of productivity and loan default shocks. |
| 1/11 |
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Vertical Specialization, Intermediate Tariffs, and the Pattern of Trade: Assessing the Role of Tariff Liberalization to U.S. Bilateral Trade 1989–2001—Institute Working Paper no. 71—This paper estimates the impact on U.S. bilateral trade flows of both intermediate tariffs imposed by countries exporting to the United States and U.S. tariffs. |
| 1/10 |
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Exchange Rate Pass-through: Evidence Based on Vector Autoregression with Sign Restrictions—Institute Working Paper no. 70—In this paper, the authors estimate exchange rate pass-through into import, producer and consumer price indexes for nine OECD countries, using a method proposed by Uhlig (2005). |
