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作者：Cerra, Valerie; Saxena, Sweta Chaman
作者单位：International Monetary Fund
摘要：We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentals-based models very successful in beating a random walk in out-of-sample prediction. (C) 2010 International Monetary Fund. Published by Elsevier B.V. All rights reserved.
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作者：Lane, Philip R.; Shambaugh, Jay C.
作者单位：Dartmouth College; Trinity College Dublin; National Bureau of Economic Research
摘要：A major focus of the recent literature on the determination of optimal portfolios in open-economy macroeconomic models has been on the role of currency movements in determining portfolio returns that may hedge various macroeconomic shocks. However, there is little empirical evidence on the foreign currency exposures that are embedded in international balance sheets. Using a new database, we provide stylized facts concerning the cross-country and time-series variation in aggregate foreign curre...
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作者：Chor, Davin
作者单位：Singapore Management University
摘要：This paper develops an approach for quantifying the importance of different sources of comparative advantage by extending the Eaton and Kortum (2002) model to predict industry trade flows In this framework comparative advantage is determined by the interaction of country and industry characteristics with countries specializing in industries whose production needs they can best meet with their factor endowments and institutional strengths I estimate the model parameters using (i) OLS and (ii) a...
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作者：Mondria, Jordi; Wu, Thomas; Zhang, Yi
作者单位：University of California System; University of California Santa Cruz; University of Toronto; University of California System; University of California Santa Cruz
摘要：This paper explores the joint determination of home bias and attention allocation. We overcome the typical challenge associated with evaluating attention allocation theories by using a new internet search query dataset to measure how much information investors decide to process. Employing an instrumental variables approach, we find empirical evidence of a two-way causality between home bias and attention. Our estimates suggest that if all countries were to receive the same level of attention a...
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作者：Debaere, Peter; Mostashari, Shalah
作者单位：University of Virginia; Centre for Economic Policy Research - UK; Texas A&M University System; Texas A&M University College Station
摘要：With disaggregate tariff data we study the impact of changing tariffs on the range of goods countries export to the United States. Our probits with country and good effects show tariffs tend to have a statistically significant but small impact: at best 5% of the increasing extensive margin for 1989-1999 and 12% for 1996-2006 is explained by tariff reductions. This suggests the extensive margin has not amplified the impact of tariffs on trade flows to such an extent that the relatively moderate...
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作者：Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki
作者单位：Vanderbilt University; National Bureau of Economic Research; Kansai University
摘要：Volatile and persistent real exchange rates are observed not only in aggregate series but also in micro-price data at the retail level. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price stickiness, empirical frequencies of micro price adjustment cannot replicate the time series properties of the Law of One Price (LOP) deviations. We extend their sticky price model by combining good-specific price adjustment with information stickiness in the sense of ...
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作者：Krishna, Kala; Tan, Ling Hui
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; National Bureau of Economic Research; International Monetary Fund
摘要：This paper revisits the effects of tariffs and quotas in a competitive setting where three results are thought to hold These are that quotas are equivalent to specific tariffs, the form of tariffs specific or ad valorem does not matter, and that the way in which a quota is allocated has no real effects as it only affects the allocation of rents, not their size We show that all three of these results are false when entry/exit is endogenous Equivalence holds only if the initial level of entry is...
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作者：Spiegel, Mark M.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - San Francisco
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作者：Mitra, Devashish; Ranjan, Priya
作者单位：University of California System; University of California Irvine; Syracuse University
摘要：In a two-sector, general-equilibrium model with labor-market search frictions, we find that the wage increases and sectoral unemployment decreases upon offshoring in the presence of perfect intersectoral labor mobility. If, as a result, labor moves to the sector with the lower (or equal) vacancy costs, there is an unambiguous decrease in economywide unemployment. With imperfect intersectoral labor mobility, unemployment in the offshoring sector can rise, with an unambiguous unemployment reduct...
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作者：Forbes, Kristin J.
作者单位：Massachusetts Institute of Technology (MIT); National Bureau of Economic Research
摘要：Why are foreigners willing to invest over $2 trillion per year in the United States? This paper tests various hypotheses and finds that standard portfolio allocation models and diversification motives are poor predictors of foreign holdings of U.S. liabilities. Instead, foreigners hold greater shares of their investment portfolios in the United States if they have less developed financial markets. The magnitude of this effect decreases with income per capita. Countries that trade more with the...
