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作者：Rueth, Sebastian K.
作者单位：Ruprecht Karls University Heidelberg; Goethe University Frankfurt
摘要：How do nominal exchange rates adjust after surprise contractions in monetary policy? While the seminal contribution by Dornbusch provides concise predictions-exchange rates appreciate, i.e., overshoot on impact before depredating gradually-empirical support for his hypothesis is at best mixed. I argue that the failure to discover overshooting may result from assumptions researchers have imposed to recover structural VARs. Specifically, simultaneous feedback effects between interest rates and e...
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作者：Bevilaqua, Julia; Hale, Galina B.; Tallman, Eric
作者单位：University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
摘要：We document that positive association between corporate and sovereign cost of funds borrowed on global capital markets weakens during periods of unusually high sovereign yields, when some corporate borrowers are able to issue debt that is priced at lower rates than sovereign debt. This state-dependent sensitivity of corporate yields to sovereign yields has not been previously documented in the literature. We demonstrate that this stylized fact is observed across countries and industries as wel...
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作者：Redl, Chris
作者单位：Bank of England
摘要：This paper uses a data rich environment to produce direct econometric estimates of macroeconomic and financial uncertainty for 11 advanced nations. These indices exhibit significant independent variation from popular proxies and provide a refinement of the influential work of [Jurado et al., 2015] that results in improved real-time performance. We use this new data in combination with narrative evidence to jointly identify macro uncertainty and financial shocks. Macro uncertainty shocks are id...
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作者：Kamber, Gunes; Wong, Benjamin
作者单位：International Monetary Fund; Monash University
摘要：We develop an empirical model to study the influence of global factors in driving trend inflation and the inflation gap. We apply our model to 7 developed economies and 21 emerging market economies. Our results suggest that while global factors can have a sizeable influence on the inflation gap, they play only a marginal role in driving trend inflation. Much of the influence of global factors in the inflation gap may be reflecting commodity price shocks. Finally, we find the effect of global f...
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作者：Beck, Guenter W.; Kotz, Hans-Helmut; Zabelina, Natalia
作者单位：Universitat Siegen
摘要：Studies employing micro price data to examine the extent of international goods market integration tend to find that borders imply arbitrage-impeding transaction costs, inducing market segmentation. Within monetary unions, these effects are found to be very minor though, at least when online prices are considered. However, analyzing household scanner price data from three euro area member states, Belgium, Germany and the Netherlands, we document that households face (and pay) significantly dif...
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作者：Gumpert, Anna; Li, Haishi; Moxnes, Andreas; Ramondo, Natalia; Tintelnot, Felix
作者单位：Leibniz Association; Ifo Institut; University of Munich; University of Chicago; University of Oslo; University of California System; University of California San Diego; National Bureau of Economic Research
摘要：This paper studies the life-cycle dynamics of exporters and multinational enterprises (MNEs). Using rich firm-level data, we document a comprehensive set of facts on entry, exit, and growth of new exporters and new MNEs. Guided by these facts, we build a model based on the standard proximity-concentration trade-off extended to incorporate time-varying firm productivity and sunk costs of MNE entry. The calibrated version of the model goes far in matching cross-sectional and dynamic moments of t...
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作者：Gray, Rowena; Montresor, Giulia; Wright, Greg C.
作者单位：University of California System; University of California Merced; University of Mannheim
摘要：The extent to which firms respond to labor supply shocks has important implications for local and national economies. We exploit firm-level panel data on product and process innovation activities in the United Kingdom and find that the large, unanticipated, low-skill labor supply (immigration) shock generated by the 2004 expansion of the European Union to Eastern European countries increased process innovation and reduced product innovation, with overall innovation activity going up. This impl...
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作者：Farrokhi, Farid
作者单位：Purdue University System; Purdue University
摘要：This paper develops a multi-country general equilibriummodel that incorporates crude oil global sourcing by refineries and refined oil demand by downstream industries that are connected through international trade and input-output linkages. I exploit detailed data on crude oil imports of US refineries, and derive a new procedure that allows for an all-in-one estimation of which suppliers refineries select and how much they buy from each. Using the estimates to evaluate counterfactual policies,...
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作者：Guilloux-Nefussi, Sophie
作者单位：European Central Bank; Bank of France
摘要：The decline in the sensitivity of inflation to domestic slack observed in developed countries since the mid-1980s has been often attributed to globalization. However, this intuition has so far not been formalized. I develop a general equilibrium setup in which the sensitivity of inflation to marginal cost decreases in response to a fall in trade costs. In order to do so, I add three ingredients to an otherwise standard two-country new-Keynesian model: strategic interactions, endogenous entry o...
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作者：Kaas, Leo; Mellert, Jan; Scholl, Almuth
作者单位：Goethe University Frankfurt; Dortmund University of Technology; University of Konstanz
摘要：Sovereign debt wises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and Ovate interest rate spreads are counter-cyclical. This paper presents a model of a small open economy that accounts for these empirical regularities. It includes private firms, which finance a fraction of imports by external debt and are subject to idiosyncratic productivity risk. and a government, which b...
