Papers abandoned or postponed:
"The Attractiveness of Russian Private
Corporate Securities During the Industrial Revolution: 1890--1914,"
Comments on my papers:
Rigobon, R. (2000) "Comments on Three Papers Measuring 'Contagion': DeGregorio-Valdes, Kaminsky-Reinhart, and Eichengreen-Hale-Mody," Paper prepared for the conference, "Contagion: How It Spreads and How Can It Be Stopped?" February 29, 2000.Papers that I have in the filing cabinet
Have a hard copy of those
Collections: NBER EFG Summer 2003, NBER SI IFM 2003
Financial Crises in Emerging Markets
Do not have a hard copy of those in the file, but there are links to the web source or I have a journal
Bacchetta, Philippe and Eric van Wincoop (2002) "Can Information Dispersion Explaing the Exchange Rate Disconnect Puzzle?" October 2002 (on the web there is a revised version - April 2004). A model that seems to solve "disconnect" puzzle using symmetric heterogeneous information dispersion.
Blanchard, Olivier and Giavazzi, Francesco. (2002) "Current Account Deficits in the Euro Area. The End of the Feldstein Horioka Puzzle?" MIT department of Economics Working Paper Series, Working Paper 03-04, September 17, 2002. Using a workhorse model and applying it to the intergration in Europe and then looking at panel data show that large CA deficits in Portugal and Greece are what we would expect. This shows that there is no longer FH puzzle. For teaching.
Bergin, P and S. Sheffrin, "Interest Rates, Exchange Rates and Present Value Models of the Current Account," Economic-Journal; 110(463), April 2000, pages 535-58 . They did it just before me and Stefan. The paper extends empirical analysis of Chapter 2 of OR and defines conditions that would make the model fit the data. For teaching graduate IF. Scooped me and Stefan..
Bottazzi,-Laura; Pesenti,-Paolo; van-Wincoop,-Eric, "Wages, Profits and the International Portfolio Puzzle", European-Economic-Review;40(2), February 1996, pages 219-54. A VAR model that allows for the fluctuations in real return on capital and real wages applied to OECD countries explains 30% of portfolio home bias puzzle.
J. Bulow and K. Rogoff (1989), "Sovereign Debt: Is to Forgive to Forget?" American Economic Review, 79(1), March. A paper that first challenged the idea that reputation is the main motive for the sovereigns to repay their debt. For teaching graduate IF.
Bulow J. and K.Rogoff (1991) "Sovereign Debt Repurchases: No Cure for Overhang", Quarterly Journal of Economics, 106(4), November. A model that could be used to calculate upper and lower bounds on the country gain from the debt buyback. Applied to Mexico 1990 deal. Main result is that benefits are at best small, but could also be negative. For teaching graduate IF.
Calvo, G (1988) "Servicing Public Debt: The Role of Expectations", The American Economic Review, 78(4), September, 647-661. A model of debt repudiation shows multiple equilibria in a Barro-Gordon-type no-precommitment framework. For teaching graduate IF. For PB Set 3.
Calvo, G.A. (2000), " Balance of Payments Crises in Emerging Markets: Large Capital Inflows and Sovereign Governments ," in P. Krugman (ed.) Currency Crises, NBER and University of Chicago Press. A nice paper on currency crises. .. For teaching graduate IF.
Calvo G. A. and E.G. Mendoza (2000), "Rational Contagion and the Globalization of Securities Markets, Journal of International Economics, 51(1), June 2000, pages 79-113. A model shows that globalization of capital markets leads to larger herd behavior and thus contagion.
Calvo, G.A., Mishkin, F.S. (2003) "The Mirage of Exchange Rate Regimes for Emerging Market Countries," NBER 9808, June 2003. Argue that the exchange rate regime per se is of the second order, we should focus on institutions that create those regimes.
Cukierman, A., Goldstein, I., Spiegel, Y. (2002) "The Choice of Exchange
Rate Regime and Speculative Attacks," Paper prepared for International Seminar,
University of California - Berkeley. Now forthcoming as: July 2004, Forthcoming
in: Journal of the European Economic Association. A model,
incorporating fixed peg, free float and target zone as a policy option.
Looking then for the optimal one.
Dooley, M. (2000a) "Can Output Losses Following International Financial Crises be Avoided?" NBER WP 7531. Costly debt rescheduling is modeled as an incentive to repay the debt by being incorporated in the debt contract. This leads to costly rescheduling if crisis is unavoidable. This friction creates a role for international financial intermediary - the IMF.
Edwards, Sebastian and Levy-Yeyati, Eduardo,(2003) “Flexible Exchange Rates as Shock Absorbers”, NBER Working Paper No. w9867, July 2003. Exchange rates are good shock absorbers. Summary.
Edwards, Sebastian and Igal Magendzo (2003) "A Currency of One's Own? An Empirical Investigation on Dollarization and Independent Currency Unions", NBER WP 9514, February 2003. For teaching. G and UG - intro.
Eichengreen,-Barry; Rose,-Andrew-K.; Wyplosz,-Charles, Contagious Currency Crises, NBER Working Paper No. 5681 (1996). Using the 30-year data span, empirical analysis shows that contagion exists between trade-related countries, not between similar in macroeconomic way countries
Frankel, J. (1992) "Measuring International Capital Mobility: A Review", American Economic Review, Papers and Proceedings, May. Discusses real interest partity by decomposing it into country risk premium and currency risk premium.Frankel J. and N. Roubini "The Role of Industrial Country Policies in Emerging Market Crises", NBER WP 8634, 2001. Analysis of how developed countries can help prevent emerging market crises and the proposal to reform the IMF.
Kaminsky, Graciela L.; Reinhart, Carmen M. and Vegh, Carlos A. (2003), “The Unholy Trinity of Financial Contagion”, Journal of Economic Perspectives, Volume 17, Number 4, Fall 2003. I have an actual journal and an extra copy in my files. Easy read, good for undergraduate teaching. Provides a synopsis of recent financial crises. Extensive treatment of the common creditor problem. Summary.
Krugman, Paul "Currency Crises", mimeo, For teaching. Teaching material. Summary
Krugman, P. (1999b), " Balance Sheets, The Transfer Problem, and Financial Crises ," in P. Isard, A. Razin, and A.K. Rose (eds.), International Finance and Financial Crises - Essays in Honor of Robert P. Flood, Kluwer Academic Publishers and International Monetary Fund. Another idea of what could be a third-generation model of the currency crises. For teaching graduate IF.
Obstfeld, M. (1994) "International Capital Mobility in the 1990s", CEPR Discussion Paper No. 902, February; also in P. Kenen (ed.) "Understanding Interdependence: The Macroeconomics of the Open Economy, Princeton University Press," 1995. Various measures of capital mobility are presented and brought to the data.
Obstfeld, M. (1998b) "Capital Flows and Instability of Expectations," in J.C. Fuhrer, S. Schuh (eds.), Beyond Shocks: What Causes Business Cycles?", Conference Series No. 42, Federal Reserve Bank of Boston, June 1998.
Obstfeld, M (2000) "International Macroeconomics: Beyond the Mandell-Fleming Model" A review of the development of international macroeconomics in the recent years and introduction to new open economy macro. For teaching graduate IF.
Rapach, David and Wohar, Mark. (2001) "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal International Economics, vol. 58, 2002, 359-385. For teaching
Rebelo, S and C.A. Vegh, (2002) "When is it Optimal to Abandon a Fixed Exchange Rate?". Taking the fixed exchange rate regime that is unsustainable as given, a paper seeks to show a case when immediate abandonement of the peg is not optimal after a fiscal shock. Optimal stopping fgramework provides one expkanation. Costs of devaluation due to dollarized liabilities provides for another. Presented at Yale Macro seminar.
Roubini, N. (2001) "Should Argentina Dollarize or Float? The Pros and Cons of Alternative Exchange Rate Regimes and their Implications for Domestic and Foreign Debt Restructuring/Reduction," mimeo, Stern School of Business, New York University, 2001. Reflections on the alternatives Argentina had in December 2001 with conclusion that Argentina is not ready for dollarizatioin, so it should float and engage in inflation targeting. For graduate and undergraduate teaching.
Stockman, A. and A. Hernandez (1988) "Exchange Controls, Capital Controls, and International Financial Markets", American Economic Review 78(3). A general equilibrium rational expectation model addresses the effects of capital controls: they lower welfare, reduce trade and affect exchange rates.Svensson, Lars. (1993) "Fixed Exchange Rates As A Means To Price Stability: What Have We Learned?" NBER Working Paper NO. 4504, October, 1993.
Van Wincoop "How Big are Potential Gains from International Risk Sharing?" Journal of international Economics, 47, 1999, 109-135. A model is presented that could be used to calculate gains from risk-sharing depending on the underlying parameters. The results for the realistic values of parameters suggest that gains could be quite large for OECD countries.
Paper with Mark. See also thisAltunbas, Yener and Blaise Gadanecz "Developing Country Economi Structure and the Pricinf of Syndicated Credits", mimeo. Some streightforward evidence on the effects of credit ratings. Plus some relevance to the BL paper.
Cantor, R. and F. Packer (1996) "Determinants and Impact of Sovereign Credit Rating", Federal Reserve Bank of New York Policy Review, October. Cross-section analysis of the determinants and impact of Moddy's and S&P sovereign credit ratings. For my paper with Mark
Cole H. and P.Kehoe "Self-Fulfilling Debt Crises" Review of Economic Studies 67(1), January 2000, pages 91-116, also Federal Reserve Bank of Minneapolis Quarterly Review, July, 1998 .A model of financial crises resulting from the loss of confidence in the government. Importantly, even thought the crises of this type are self-fulfilling, they can only occur ifcountry fundamentals are in a certain range. For my paper with Mark
Ferri, G., L. Liu and J. Stiglitz (1999) "The procyclical role of rating agencies: Evidence from the East Asian Crisis," Economic Notes 28(3). Empirical analysis shows that rating agencies could have exacerbated East Asian crisis by downgrading borrowers more than it was justified.Kaminsky, Graciela and Schmukler, Sergio. (2001) "Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?" February 28, 2001.
Metz, Christina E. “Private and Public Information in Self-Fulfilling Currency Crises”, 2002, Journal of Economics, Vol. 76, No. 1, pp 65-85. Derived derivatives with respect to alpha and beta in Morris and Shin.
Mishkin, F. (1999), "Global Financial Instability: Framework, Events, Issues," Journal of Economic Perspectives, vol. 13, Fall, 3-20. Financial instability is defined as a break-down of information flows when shocks hit the system. Recent crises are analyzed and policy problems are formulated in this framework.
Morris S. and H. Shin (2003) "Global Games: Theory and Applications" in Advances in Economics and Econometrics (Proceedings of the Eighth World Congress of the Econometric Society) (M. Dewatripont, L. Hansen and S. Turnovsky, Eds). Cambridge, England: Cambridge University Press (2003). A review of what global games are. Show that equilibrium is identical for higher-order beliefs and for "diffuse" (or naive) beliefs. And some other things.Pedvis, A. "Standard and Poor's Credit Indices Overview and Methodology," Standard and Poor's, July 23, 2002
Rigobon, R. (1998) "Informational Speculative Attacks: Good News is No News," mimeo, Sloan School of Management, MIT. A model where investors have imperfect (but the same) information about fundamentals that leads to over-investment and then learning leads to over-reaction. Relevant for my paper with Mark
Angbazo, L.A., Mei, J., Saunders, A. (1998) "Credit Spreads in the Market for Highly Leveraged Transaction Loans," Journal of Banking and Finance, volume 22, no. 10-11, October 1998, pp. 1249-82. Shows that HLT loans spreads are positively correlated with investment grade and less with junk bond spread, but correlation is positive for both. Use LPC.
Bolton, P., Freixas, X. (2000) "Equity, Bonds and Bank Debt: Capital Structure and Financial Market Equilibrium under Asymmetric Information," Journal of Political Economy, volume 108, no. 2, April 2000, pp. 324-51.
Bolton, Patrick and David S. Scharfstein (1996) "Optimal Debt Structure and the Number of Creditors", The Journal of Political Economy, 104(1), February, 1-25. A theoretical paper that shows the trade-off between default being costly enough for to deter strategic defaults, but not too expensive in case defaults are due to liquidity problems. Implications: low credit quality => maximize liquidation value by borrowing from just one creditor, high credit quality => deter strategic default - borrow from many creditors. Interpretation: those with low credit, in noncyclical industries and those with complementary assests will issue bank debt, those with opposite characteristics, issue bonds. Some references of interest.
Datta, Sudip, Mai Iskandar-Datta and Ajay Patel (1999) "Bank Monitoring and the Pricing of Corporate Public Debt", Journal of Financial Economics, 51, 435-449. Empirical analysis of the spreads on the first placement of public debt by firms, find that the dummy for the existence of the relationship with banks reduces yields significantly. Also find that reputation (proxied by firm's age) also reduces spread, supporting Diamond (1991) results. Some useful references and data sources (maybe)
Hubbard, R.G., Kuttner, K.N., Palia, D.N. (2002) "Are There 'Bank Effects' in Borrowers' Costs of Funds?: Evidence from a Matched Sample of Borrowers and Banks," Journal of Business. October 2002, vol 75, issue 4, pp.559-81.
Krishnaswami, S., Spindt, P., and Subramaniam, V. (1998) "Information assymetry, monitoring, and the placement structure of corporate debt," Journal of Financial Economics, vol. 51, 1999, 407-434. Data & method for JOF, how do they measure moral hazard?
Merton, R.C. (2000) "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," in S. Ross (ed.), The Debt Market, volume 3, Elgar Reference Collection, International Library of Critical Writings in Financial Economics, volume 5, 2000, pp. 21-42.
Aizenman, Joshua (2003), “On the Hidden Links Between Financial and Trade Opening”, NBER Working Paper No. w9906, August 2003. Empirical analysis shows that in developing countries financial liberalization is a by-product of trade liberalization. Summary
Bekaert, G., Harvey, C.R. (2000) "Capital Flows and the Behavior of Emerging Market Equity Returns," in S. Edwards (ed.), Capital Flows and the Emerging Economies: Theories, Evidence, and Controversies, NBER Conference Report Series, Chicago and London: University of Chicago Press, 2000, pp. 159-94.
Berger, A., Deyoung, R., Genay, H., and Udell, G. (2000) "Globalization of Financial Institutions: Evidence from Cross-Border Banking Performance," Brookings-Wharton Papers on Fincancial Services: 2000.
Berger, A., Dai, Q., Ongena, S., and Smith, D. (2001) "To What Extent Will the Banking Industry be Globalized? A Study of Bank Nationality and Reach in 20 European Nations," prepared for Presentation at the XIV Annual Australasian Conference in Finance and Banking. December 17-19 2001.
Demirguc-Kunt, Asli; Laeven, Luc and Levine, Ross, (2003) "Regulations, Market Structure, Institutions, and the Cost of Financial Intermediation", NBER Working Paper No. w9890, August 2003. Empirical ananlyzis showing that bank-specific characteristics are important in explaining financial intermediary costs. Summary
Johnson, Simon, Heidi Kroll and Mark Horton (1992) "New Banks in the Former Soviet Union: How Do they Operate? Stockholm Institute of Soviet and East European Economics, WP 50, 1992.
La Porta, Rafael; Lopez-de-Silane, Florencio and Shleifer, Andrei, “What Works in Securities Law?,” NBER Working Paper No. w9882, August 2003. Empirical paper that shows that private regulations of securities markets matter more than public. In fact, when controlling for private regulations, public regulations hardly matter. simple OLS with 49 observations. Summary
Butler, J.S. and Chatterjee, Patrali. (2001) "Tests of the Specification of Univariate and Bivariate Ordered Probit," The Review of Economics and Statistics. 2001, 343-347. Style for a note + refs to applications
Calfee, J., Winston, C., and Stempski, R. (2001) "Econometric Issues in Estimating Consumer Preferences From Stated Preference Data: A Case STudy of the Value of Automobile Travel Time," The Review of Economics and Statistics, vol. 83(4), November 2001, 699-707. Read for general purpose + presentation. Not an example.
Golan, A., Judge, G., and Perloff, J. (1992) " Estimation and inference with censored and ordered multinomial response data," Journal of Econometrics. vol. 79, 1997, 23-51. Only tngentionaly related to the metrix paper. Max entropy estimator of censored & ordered probit.
Ruud, Paul. (1983) "Sufficient Conditions for the Consistency of Maximum Likelihood Estimation Despite Misspecification of Distribution in Multinomial Discrete Choice Models," Econometrica, vol. 51, no. 1, January, 1983.
Arslanalp, Serkan and Henry, Peter. (2002) "Debt Relief: What do the Markets Think?" NBER Working Paper 9369, December 2002. Paper examines response of some debtor countries’ stock markets to news of their signing the Brady agreement. See 60% abnormal return. Summary
Durbin E., and David T.C.Ng (2002) "The Sovererign Ceiling and Emerging Market Corporate Bond Spreads" a.k.a. “Uncovering Country Risk in Emerging Market Bond Prices,” Board of Governors of the Federal Reserve System International Finance Discussion Papers No. 639, July 1999.
Edwards, S (1995). "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," in G. Bird and P.N. Snowden (eds), International Debt, Elgar Reference Collection, vol 1, 1995, pp.167-75.
Hajivassiliou, Vassilis and McFadden, Daniel. (1990) "The Method of Simulated Scores for the Estimation of LDV Models With an Application to External Debt Crises," Cowles Foundation Discussion Paper no. 967, December 1990. Methodology for DRES
Kamin, Steven and Kleist, Karsten. (1999) "The Evolution and Determinants of Emerging Market Credit Spreads in the 1990's," BIS Working Papers. No. 68, May 1999. Relevant info for secondary spread estimate
Reinhart, Carmen M.; Rogoff, Kenneth S. and Savastano, Miguel A., (2003) Debt Intolerance, NBER Working Paper No. 9908, August 2003. Foreign debt to GDP ratio has a negative effect on credit rating for low and middter rating countries and positive effect for high rating countries. Summary
Rose, Andrew. (2002) "One Reason Countries Pay Their Debts: Renegotiation and International Trade," NBER Working Paper 8853, March 2002. Results useful to DRES. Renegotiation is associated with economically and statistically significant decline in bilateral trade between a debtor and its creditors. Paper tries to quantify this relationship. Uses dates of Paris club agreements as appropriate default dates. Makes sense here since do not want to punish before the talks are finished. Summary.
Tomz, M. "Who Wants to Repay the Foreign Debt? Public Opinion and Economic Sophistication in Argentina," Paper prepared for the Annual Meetings of the Midwest Political Science Association, April 2003.
Chan, K., Chen, C., and Steiner, T. (2002) "Production in the Finance Literature Institutional Reputation, and Labor Mobility in Academia: A Global Perspective," Financial Management. Winter 2002, 131-156.
"Emerging Markets: The Contraction in External Financing and Its Impact on Financial Systems," International Capital Markets: Development Prospects, and Key Policy Issues, September 1999, IMF. Russ, crisis proj. A lot about Russia
Aerni, P., Junge, G. (1998) "Cross-Border Emerging Market Bank Lending," in R.M. Levich (ed.), Emerging Market Capital Flows: Proceedings of a Conference Held at the Stern School of Business, New York University on May 23-24, 1996, New York University Salomon Center Series on Financial Markets and Institutions, volume 2, 1998, pp. 293-305.
Allen, T.J. (1999) "Developments in the International Syndicated Loan Market in the 1980s," in M.K. Lewis (ed.), The Globalization of Financial Services, Elgar Reference Collection, Globalization of the World Economy, volume 7, 1999, pp. 305-11.
Allen, F. and D. Gale (1998a) "Optimal Financial Crises", Journal of Finance, 53(4), 1245-1284 A model in which financial crises are driven by fundamentals. In this model bank runs can be first-best efficient, however, if they are costly, central bank intervention can be Pareto-improving . Based on Diamond-Dybvig framework.
Allen, F. and D. Gale (2000) "Financial Contagion", Journal of Political Economy, 108, p. 1-33. A model shows that when inter-regional claim structure is incomplete, a small liquidity preference shock can cause contagion in equilibrium without reference to the sunspot multiple equilibria. Based on Diamond-Dybvig framework and Allen-Gale (1998) model.
Brennan, M.J., Cao, H.H. (1999) "International Portfolio Investment Flows," in M.J. Brennan, Financial Markets and Corporate Finance: Selected Papers of Michael J. Brennan, Financial Economists of the Twentieth Century Series: Cheltenham, 1999, pp. 333-62.
Brown, S.J., Goetzmann, W.N., Park, J. (2000) "Hedge Funds and the Asian Currency Crisis of 1997," Journal of Portfolio Management, volume 26, no. 4, Summer 2000, pp. 95-101. Test the hypothesis that dramatic negative returns to certain Asian currencies versus the dollar were correlated to large positions, short or long, taken by the funds. No evidence of the effect. Summary
Buiter, Willem H., Giancarlo M. Corsetti and Paolo A. Pesenti (1998) "Interpreting the ERM Crisis: Country-specific and Systemic Issues", Princeton Studies in International Finance, 84, March 1998. Most literature has approached ERM as the sum of independent unilateral pegs against the currency of the “center” country, autonomously pursued by “periphery” countries. This study takes a systemic approach to the ERM crisis that considers structural policy spillovers. Summary
Calvo, G. (1999) Contagion In Emerging Markets: when Wall Street is a carrier (Technical Supplement to "Understanding the Russian Virus"), May 2, 1999. A model showing that learning costs could lead to investors herd behavior and thus contagion. Relevant to my research
Chang, R and A. Velasco (1998) "The 1997-98 Financial Crisis: Why in Asia? Why Not in Latin America?", mimeo How crisis works: international financial liquidity -> curency depreciation -> fall in profits -> layouts and fall in production -> financial collapse CAN be a cause. Not only fundamentals matter.
Corsetti, Giancarlo and Bernardo Guimaraes, Nouriel Roubini (2003), "The Tradeoff an International Lender of Last Resort to Deal with Liquidity Crisis and Moral Hazard Distortions A Model of the IMP's Cataliytic Finance Approach", mimeo, March 2003.
Corsetti, G., Morris, S., Shin, H.S. (1999) "Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders," Paper prepared for a seminar in the Bank of Italy, October 1999.
Demirgue-Kunt, A., Maksimovic, V. (2002) "Funding Growth in Bank-Based and Market-Based Financial Systems: Evidence from Firm Level Data," Journal of Financial Economics, volume 65, no. 3, September 2002, pp. 337-63.
Douglas, Seymour and Mohsen Fardmanesh (2003) "Foreign Exchange Controls, Fiscal and Monetary Policy, and the Black Market Premium, mimeo, May 2003. Some few strange countries. Use Granger causality test. Manage to find exchange controls have effects.
Eichengreen, B., Fishlow, A. (1998) "Contending with Capital Flows: What is Different about the 1990s?" in M. Kahler (ed.), Capital Flows and Financial Crises, Council on Foreign Relations, Ithaca: 1998, pp. 23-68.
Eichengreen, B., Hausmann, R., and Panizza, U. (2002) "Original Sin: The Pain, the Mystery, and the Road to Redemption", prepared for the conference "Currency and Maturity Matchmaking:Redeeming Debt from Original Sin," Inter-American Development Bank, November 2002.
Eichengreen, Barry and Ahoka Mody (2000a) "Lending Booms, Reserves and the Sustainability of Short-Term Debt: Inferences from the Pricing of Syndicated Bank Loans," Journal of Development Economics, volume 63, issue 1, October 2000, pp. 5-44.
Eichengreen, B., Mody, A. (2000b) "What Explains Changing Spreads on Emerging-Market Debt?" in S. Edwards (ed.), Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, University of Chicago Press, 2000, pp. 107-34.
Eichengreen, B., Rose, A.K., Wyplosz, C. (1995) "Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks," Economic Policy: A European Forum, volume 0, issue 21, October 1995, pp. 249-96.
Fukuda, Shin-ichi. (2001) "The Impacts of Bank Loans on Economic Development: An Implication for East Asia from an Equilibrium Contract Theory," NBER-East Asia Seminar on Economics, vol. 10, Regional and Global Capital Flows: Macroeconomic Causes and Consequences. A model based on Diamond (91) but without moral hazard with short and long-term debt in order to show that efficient monitoring activities by banks may increase the probability of a liquidity shortage in the competitive international bank loan market.
Goldberg, Linda (2003), “Financial FDI and Host Countries: New and Old Lessons”, Federal Reserve Bank of New York, March 6, 2003. Mahesh has it. Skepticism about whether the real benefits from (real) FDI to the host country justify the sometimes large incentives offered to attract foreign investors. Interesting to discuss financial FDI in this framework. Summary.
Goldberg, L., Dages, G., Kinney, D. (2000) "Foreign and Domestic Bank Participation in Emerging Markets: Lessons from Mexico and Argentina," NBER Working Paper 7714, May 2000. Overview of traditional pro and con arguments for foreign ownership in the domestic financial system. Summary
Green, E. J. and P. Lin (2000) " Diamond and Dybvig’s Classic Theory of Financial Intermediation: What’s Missing? " Federal Reserve Bank of Minneapolis Quarterly Review, Winter, 3-13.
Grinblatt, M., Titman, S., and Wermers, R. (1995) "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," The American Economic Review, 85(5), December 1995, 1088-1105.
Hajivassiliou, V., McFadden, D., Ruud, P. (1996) "Simulation of Multivariate Normal Rectangle Probabilities and their Derivatives: Theoretical and Computational Results," Journal of Econometrics, volume 72, issues 1-2, May 1996, pp. 85-134.
Hajivassiliou, V.A., Ruud, P.A. (1994) "Classical Estimation Methods for LDC Models Using Simulation," in R.F. Engle, D.L. McFadden (eds.), Handbook of Econometrics, volume 4, Elsevier Science, 1994, pp. 2384-2438.
Hamilton, J.D. (1994) "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," in A. Harvey (ed.), Time Series, volume 2, Elgar Reference Collection, International Library of Critical Writings in Econometrics, volume 5, 1994, pp. 273-300.
Kaminsky, G. and C. Reinhart (1999), "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, Vol. 89, No. 3, 473-500. Analysis of the interplay between problems in the banking sector and currency crisis.
Kaminsky, G.L., Reinhart, C.M. (2001) "Bank Lending and Contagion: Evidence from the Asian Crisis," in T. Ito, A.O. Krueger (eds.), Regional and Global Capital Flows: Macroeconomic Causes and Consequences, NBER- East Asian Seminar on Economics, volume 10, 2001.
Kashyap, A.K., Stein, J.C., Wilcox, D.W. (1996) "Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance," American Economic Review, volume 86, issue 1, March 1996, pp. 310-14.
La Porta, R., Lopez-de-Slianes, F., Schleifer, A., Vishny, R. (2000) "Investor Protection and Corporate Governance," Journal of Financial Economics, volume 58, issues 1-2, October-November 2000, pp. 3-27.
McKinnon, R. (1997) "Credible Economic Liberalizations and Overborrowing", AEA Papers and Proceedings 87(2), May. A real sector model showing that credible reforms can lead to increase in foreign capital inflow and reduce domestic saving. Excessive euphoria can result in excessive borrowing and investment. The deposit insured banks' moral hazard can exacerbate the problem by sending excessively optimistic signals to the investors. Relevant to my research.
Montiel and Reinhart, (1999) "Do capital controls and macroeconomic policies influence the volume and composition of capital flows? Evidence from the 1990s, Journal of International Money and Finance, 18, pp.619-635. An empirical analysis of the developing countries shows that sterilized interventions tend to increase the share of short-term and portfolio flows. Capital controls are found not to affect the overall volume of capital inflows, but to increase the share of FDI and decrease the share of short-term flows.
Morris, Stephen and Shin, Hyun Song. (2002) "Social Value of Public Information,"AER, December 2002. A model showing that private information can lead to ambiguous effects of increased public disclosure. For my paper with Mark
Neumann, R.M. (2003) "International Capital Flows Under Asymmetric Information and Costly Monitoring: Implications of Debt and Equity Financing," Canadian Journal of Economics, vol 36, no. 3, August 2003.
Neut, Alexandro and Velasco, Andres. (2003) "Tough Policies, Incredible Policies?" April 2003.A model of commitment to non-devaluation in the spirit of Barro-Gordon time inconsistency framework. Could be used as optimal currency denomination of debt model.
Nilsen, J. H. and R. Rovelli (2001), " Investor Risk Aversion and Financial Fragility in Emerging Economies ", forthcoming Journal of International Financial Markets, Institutions, and Money, 11, Nos. 3 / 4, Sep./Dec.
Obstfeld, Maurice and Taylor, Alan. (2003) "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," Economic Journal, April 2003, 113(487), 241-75.Using London bond market data, authors show low credibility of the interwar gold standard, as compared to the classical gold standard.
Rajan, Raghuram G. (1992) "Insiders and Outsiders: The Choice Between Informed and Arm’s-Length Debt" The Journal of Finance; Sep 1992. p.1367-400.Have abstract and intro. A model of additional costs of borrowing from the bank due to additional control by the bank.
Rigobon, R. (1999) "On the Measurement of the International Propagation of Shocks", mimeo, Sloan School of Management, MIT. Measuring consistently international propagation of shocks. The results suggest that trade and learning are more likely transmittors of contagion than liquidity, multiple equilibria and political contagion. Contagion
Sachs, J. A. Tornell and A. Velasco (1995) "The Collapse of The Mexican Peso: What Have We Learned ?" NBER No. 5142, June also Economic Policy, no. 22 (April 1996). A description and discussion of Tequila crisis.
Schmukler, S., Vesperoni, E. (2000) "Does Integration with Global Markets Affext Firms' FInancing Choices? Evidence from Emerging Economies," Paper prepared for the World Bank project, Financial Structure and Economic Development, February 1, 2000.
Schwarz S.L. (2000) "Sovereign Debt Restructuring: A bankruptcy Reorganization Approach", Cornell Law Review, 85(4), May. Written by a law professor, this paper provides a great review of the debt restructuring problem and proposes sovereign bankruptcy procedure based on Chapters 11 and 9 of US bankruptcy law. Relevant to my research
Spadafora, F. (2002), "Are crises different? A comparison using spreads on syndicated bank loans to emerging markets", mimeo (E-mailed to me by Barry), July. OLS analysis of the eme4rging market loan spreads (Loanware) in the second part of the 1990s. Important: they use *lender's* origin as a RHS variable, among others. Empirics could be much improved. Results: Asia - regional effects; Russia - global effects, no evidence of the IMF-generated moral hazard. Relevant to my research and jmp.
Van Rijckeghem, C and B. Weder (1999), "Financial Contagion: Spillovers Through Banking Centers," mimeo. (Was originaly written for WIDER conference but did not make it to the Book on Contagion) An empirical analysis of emerging markets shows that shifts in bank lending ca explain contagion from Mexico and Asia, but not Russia. Contagion.
Wolf, H. (1999) "International Asset Price and Capital Flow Comovements During Crisis: The Role of Contagion, Demonstration Effects and Fundamentals," Paper prepared for the World Bank/International Monetary Fund/World Trade Organization Conference on Capital Flows, Financial Crises, and Policies, April 15-16, 1999.
Zhang, X.A. (1999) "Testing for 'Moral Hazard' in Emerging Markets Lending," IIF Research Paper 99-1, August 1999. de Long, J.B., Schleifer, A., Summers, L.H., Waldmann, R.J. (1990) "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, volume 45, issue 2, June 1990, pp. 379-395.
Abel, Andrew. B. and Janice C. Eberly (2003) "Investment, Valuation, and Growth Options", mimeo, May 2003. A model showing that positive correlation between cash flows & investment does not have to be due to liquidity constraint. Yale macro workshop.
Aghion, Philippe. (2003) "Lecture 1: Appropriate Institutions
and the Growth Process," 16th Annual Simon Kuznets Memorial Lecture Series,
April 7, 2003.
Alvarez, Fernando and Andrew Atkeson, Chris Edmond (2003) "On the Sluggish Response of Prices to Money in an Inventory-theoretic Model of Money Demand", NBER WP 10016, October 2003. Explain price stickiness without rigidities by Baumot-Tobin model that generates negative correlation b/w M/Y velocity. Crucial complete mkts. Not so crucial: exogenous access to money stock. Two copies.
Alvarez, Fernando and Urban J. Jermann (2003) "Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth", mimeo, October 2003. Decomposition of pricing kernel into permanent & transitory components. Vol. limits derived & tested empirically. Closely related to equity premium puzzle.
Amador, Manuel, Ivan Werning and George-Marios Angeletos (2003) "Optimal Commitment", mimeo, October 2003. A model of hyperbolic pref. with commitment vs. flexibility. Show that min. saving requirement can be optimal. Yale macro workshop.
Bae, K.-H., G.A. Karolyi and R.M.Stulz (2000) "A new approach to measuring financial contagion," The Charles A. Dice Center for Research in Financial Economics WP 2000-13, The Ohio State University. Yet another way to measure contagion. Quotes EHM.
Baig, T., and I. Goldfajn (1999) "Financial Market Contagion in the Asian Crisis," IMF Staff Papers 46(2), June. Analyzing the impacts of own and cross-border news, authors find contagion in currency and equity markets. Scooped me!!
Bhide, A. (1999) "The Hidden Costs of Stock Market Liquidity," in K. Keasey, S. Thompson, M. Wright (eds.), Corporate Finance, volume 4 (Responses to Governance Issues), Elgar Reference Collection, 1999, pp. 195-215.
Bikhchandani, S., Hirshleifer, D., Welch, I. (1992) "A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades," Journal of Political Economy, volume 100, no. 5, October 1992, pp. 992-1026.
Calomiris, C.W., Mason, J.R. (1997) "Contagion and Bank Failures During the Great Depression: The June 1932 Chicago Banking Panic," American Economic Review, volume 87, no. 5, December 1997, pp. 863-83.
Carlson, Mark and Mitchener, Kris. (2003) "Branch Banking, Bank Competition, and Financial Stability," Workshop in Economic History, April 17, 2003. Reconciling the question of whether the branching of banks makes them more or less likely to fail using the increase in competition argument and the data for the US states in 1910-20.
Caselli, Francesco and Gennaioli, Nicola. (2002) "Dynastic Management," Macro Workshop Paper, December 2002.A model of growth where enterprenerial talent is not necessarily optimally allocated because of dynastic management.
Chao, J. and N. Swanson. "Alternative Approximations of the Bias and MSE of the IV Estimator Under Weak Identification with an Application to Bias Correction," Cowles Foundation Discussion Paper 1418, May 2003.
Abstract: This paper uses a nonlinear stochastic model to describe inflation-unemployment dynamics in the U.S. after World War II. The model is a vector autoregression with coefficients that are random walks with innovations that are arbitrarily correlated with each other and with innovations to the observables. The model enables us to detect features that have been emphasized in theoretical analyses of inflation-unemployment dynamics. Those analyses involve coefficient drift in essential ways.Cole, Harold and Ohanian, Lee. (2001) "New Deal Politics and the Persistence of the Great Depression: A General Equilibrium Analysis," Federal Reserve Bank of Minneapolis Working Paper 597, May 2001. Explaining weak recovery and growing wages at the end of the Great Depression with New Deal Policies that reduced competition and therefore increased the mark-ups.
Darvas, Z. and G. Szapary (1999) " Financial Contagion Under Different Exchange Rate Regimes ," National Bank of Hungary Working Paper 10, 1999. In references to EHM
Dueker M., (1999) "Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate", Journal of Business and Economic Statistics, 17(4), October. Dynamic probit in time series - using Gibbs Sampling makes computations easy and precise. Also and example of the article from this kind of journal.
Duflo, E. and C. Udry (2003) "Intrahousehold Resource Allocation in Cote D'Ivoire: Social Norms, Separate Accounts and Consumption Choices," Yale University Growth Center Discussion Paper 857, June 2003.
Feder, G. and K. Ross. "Risk Assessments and Risk Premiums in the Eurodollar Market," The Journal of Finance, vol 37, issue 3, June 1982, pp.679-91. Should have something on maturity-spread relationship.
Foreman-Peck, James. "Exchange Rate Illusions or, How Not To Pay For the War: The Debt Constraint on British Economic Policy in the 1920's," Middlesex University Business School, Economics DP #86, July 2000. Reference for WWI.
Frankel, Jeffrey. (2003) "A Proposed Monetary Regime for Small Commodity-Exporters: Peg the Export Price," Macro Workshop Paper, April 14, 2003. Forthcoming in International Finance. A somewhat convincing idea of pegging the prices of small open economy that exports commodities to the price of its main export, or the basket. Thus, have nominal anchor but also not be subject to the TOT shocks, at least on export side.
Froot, K.A., Stein, J.C. (1998) "Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach," Journal of Financial Economics, volume 47, 1998, pp. 55-82.
Galiani, S., Heymann, D., and Tommasi, M. (2002) "Missed Expectations: The Argentine Convertibility," December 2002. Explanation of the problems in Argentina that emphasizes expectations that went wrong.
Gourinchas, P.O and O. Jeanne "On the Benefits of Capital Account Liveralization for Emerging Economies," mimeo 2002. A simple Ramsey model, even with human capital shows taht international benefits from CA liberalization are small. Authors then argue that domestic benefits could be large and present a model where CA liberalization provides domestic property rights protection. They show that those benefits could be large. I have problems with their Ramsey model estimations. Presented at the Macro seminar at Yale on 9/10/02.
Grossman, G. and E.L.-C. Lai, "International Protection of Intellectual Property," mimeo, 2002. A simple model of patent length under non-cooperative and cooperative conditions. Shows that while cooperative outcome is Pareto-improving over Nash equilibrium, harmonization of patent law can actually hurt smaller/less develooped countries. Presented at the Trade and Development seminar at Yale on 9/9/02.
Heckman, J.J. (1990) "Statistical Models for Discrete Panel Data," in C.F. Manski, D. McFadden (eds.), Structural Analysis of Discrete Data with Econometric Applications, Cambridge: The MIT Press, 1990.
Joaimovich, Nir (2003) "Firm Dynamics, Markup Variation, and the Business Cycle", mimeo, September 2003. Shows that Solow residual = technological shock + markup. Markup is counter-cyclical. Yale macro workshop presentation.
Karatzas, I., M. Shubik, W.D. Sudderth, and J. Geanakoplos (2003) "The Harmonic Fisher Equation and the Inflationary Bias of Real Uncertainty," Cowles Foundation Discussion Paper 1424, Yale University, June 2003.
Lettau, M. and S.C. Ludvigson (2002), "Expected Returns and Expected Dividend Growth". Cointegrated VAR succeeds to predict expected returns and expected dividend growth. Presented at Finance seminar at SOM Yale.
Abstract: Most people seem to think that Russia=92s economy and fiscal situation are still crucially tied up with international oil prices and the exchange rate of the rouble, although this view has recently been challenged by some analysts. Empirical research on this topic is, however, scanty. In this paper, the impact of international oil prices and the real exchange rate on Russia's economy and fiscal policy is analysed using VAR methodology and cointegration techniques. The research period covered is 1995:Q1 =96 2001:Q3. The results indicate that in the long run a 10% permanent increase (decrease) in international oil prices is associated with a 2.2% growth (fall) in the level of Russian GDP. Respectively, a 10% real apprecia-tion (depreciation) of the rouble is associated with a 2.4% decline (increase) in the level of output. These long-run equilibrium relationships also have a significant impact on short-run dynamics through an error-correction mechanism. The estimation results confirm also a strong dependence of fiscal revenues on output and oil price fluctuations. Estimated pa-rameters and diagnostic statistics do not indicate that Russia's dependence on oil and the real exchange rate would somehow have weakened in recent year.
Romer, D. (2002) "It's Fourth Down and what does the Bellman Equation say? A Dynamic-Programming Analysis of Football Strategy." A lot of fun paper about what the title says - appendix with football rules.
Rotemberg, Julio J. (2003) "The Benevolence of the Baker: Fair Pricing under the Threat of Customer Anger, mimeo, November 2003. Regret & sales. Snow chains on the way to Tahoe: closer => price increase. Coke machines. Yale macro workshop
Shimer, Robert (2004) "The Cyclical Behavior of Equilibrium Unemployment and Vacancies: Evidence and Theory", mimeo, March 2004. Recession <=> high workers' barg. power is the only way to make Mortenson-Pessarides model match the data. Critique of using Nash bargaining in these models. Fixed wage model performs better than Nash bargaining. Yale macro workshop.
Shin, Yongseok (2003) "Optimal Fiscal Policy with Incomplete Markets", mimeo, November 2003. Closed economy, idiosyncratic risk, and no representative agent. Production economy with labor being the only factor. Only one period risk-free bond (real) traded. no money. zero net supply of assets. Borrowing constraint. Heterogeneity of agents leads to idiosyncratic risk, which provides rationale for the government to issue debt that would serve as asset for risk-sharing. Job market paper.
Tille, Cedric. (2003) "The Welfare Effect of International
Asset Markets Integration under Nominal Rigidities," February 20, 2003.
Abstract: This paper examines, in the context of future EMU membership of the Central and Eastern European countiries (CEECs), the interaction between fiscal policy and the price level in different exchange rate regimes. The theoretical framework is based on the Fiscal Theory of the Price Level (FTPL). The re sults show that a credibly fixed exchange rate is inconsistent with fiscal irresponsibility, while adopting the common currency enables the conduct of ir-responsible policies with the result that a rise in the level of debt by one member country raises the common price level of the whole union.Habib, M.M. (2002) Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe
Abstract: This paper studies the impact of external factors on daily exchange rates and short-term interest rates in the Czech Republic, Hungary and Poland during the period August 1997 - May 2001. I find that neither exchange rates nor interest rates are influenced by short-term German interest rates. Nevertheless, I show that shocks to emerging-market risk premia had a significant impact on exchange rates in all three Central and Eastern European count-ries and on interest rates in the Czech Republic. In addition, studying the second moment of the variables, I demonstrate that Czech and Polish exchange rates were affected by volatility contagion coming from emerging markets. I find also some partial support for the volatility contagion hypothesis on Czech interest rates. These findings shed some doubts on the alleged theoretical ability of a floating exchange rate =96 such as in the Czech Republic to absorb external shocks and insulate a country's domestic monetary policy completely. However, the spill-over effect on Czech interest rates might be explained by the managed nature of the exchange rate regime, thereby re-establishing some credibility of the theory.Hu, Ling and Peter Phillips "Dynamics of the Federal Funds Target Rate: A nonstationary Discrete Choice Approach" February 2002
NBER EFG Summer 2003
Blanchard, O., Philippon, T. (2003) "The Decline of Rents, and the Rise and Fall of European Unemployment," Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Brunnermeier, M., Parker, J. (2003) "Optimal Expectations," Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Guvenen, F. (2003) "A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation or Cross-Sectional Heterogeneity?", Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Hall, R. (2003) "Wage Determination and Employment Fluctuations," Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Hsieh, C., Klenow, P. (2003) "Relative Prices and Relative Prosperity," Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Maranjian, B. (2003) "Conference Papers," Preliminary Program for NBER Economic Fluctuations and Growth Research Meeting, 2003.
Ramey, V.A., Vine, D.J. (2003) "Tracking the Source of the Decline in GDP Volatility: An Analysis of the Automobile Industry," January 2003.
Veldkamp, L. (2003) "Media Frenzies in Markets for Financial Information," Prepared for NBER Economic Fluctuations and Growth Research Meeting, 2003.
NBER SI IFM 2003
Alfaro, L., Kalemli-Ozcan, S., Volosovych, C. (2003) "Why Doesn't Capital Flow from Rich Countries to Poor Countries? An Empirical Investigation," June 2003.
Alfaro, L., Kanczuk, F. (2003) "A Sovereign Debt with Adverse Selection: A Quantitative Approach," Prepared for NBER Summer Institute, July 2003.
Broner, F., Lorenzoni, G., Schmukler, S. (2003) "Why Do Emerging Markets Borrow Short Term?" Prepared for NBER Summer Institute.
Calvo, G., Kumhof, M. (2003) "Trade Openness and Exchange Rate Misalignments," March 20, 2003.
Cheung, Y., Chinn, M.D., Pascual, A.G. (2002) "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?" June 17, 2002.
Dooley, M., Folkerts-Landau, D., Garber, P. (2003) "Dollars and Deficits: Where Do We Go From Here?" June 18, 2003.
Echeverry, J.C., Steiner, R., Fergusson, L. (2003) "Determinants and Consequences of Foreign Indebtedness in Colombian Firms," Prepared for NBER Summer Institute, July 2003.
Evans, M.D.D., Lyons, R.K. (2003) "A New Micro Model of Exchange Rate Dynamics," June 24, 2003.
Faust, J., Rogers, J.H., Wang, S.B., Wright, J.H. (2003) "The High Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements," July 2, 2003.
Flood, R.P. "Comments on: 'The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements' by Jon Faust, John H. Rogers, Shing-Yi B. Wang, and Jonathan H. Wright."
Forbes, K.J. (2003) "One Cost of the Chilean Capital Controls: Increased Financial Constraints for Smaller Trade Firms," NBER Working Paper 9777, June 2003.
Garcia, M., Lowenkron, A. (2003) "Cousin Risk: The Extent and the Causes of Positive Correlation Between Country and Currency Risks," Prepared for NBER Summer Institute, July 2003.
Gelos, G., Wei, S. (2003) "Transparency and International Investor Behavior," Prepared for NBER Summer Institute.
Haldane, A.G., Penalver, A., Saporta, V., Shin, H.S. "Analytics of Sovereign Debt Restructuring," Banking of England Working Paper.
Joyce, J.P. (2003) "Promises Made, Promises Broken: A Model of IMF Program Implementation," Wellesley College Department of Economics Working Paper No. 2003-03, June 2003.
Lane, P.R., Milesi-Ferretti, G.M. (2003) "International Financial Integration," CEPR Discussion Paper No. 3769, February 2003.
Pavlova, A., Rigobon, R. (2003) "Asset Prices and Exchange Rates," June 2003.
Sturzenegger, F. (2003) "Default Episodes in the 90s: Factbook, Toolkit and Preliminary Lessons," Prepared for NBER Summer Institute, July 2003.
CEPR Political Economy of Financial Markets. Princeton, September 2003.
Lucian Arye Bebchuk, Harvard Law School, Asymmetric Information and the Choice of Corporate Governance Arrangements
Julian Franks, London Business School, Colin Mayer, Saïd Business School, University of Oxford, Stefano Rossi, London Business School, Ownership: Evolution and Regulation
Roberto Chang, Rutgers University, Electoral Uncertainty and the Volatility of International Capital Flows
Mihir A. Desai, Harvard Business School, Alexander Dyck, Harvard Business School, and Luigi Zingales, University of Chicago, Corporate Governance and Taxastion
(there were more papers but I do not have copies)