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作者：Brutti, Filippo; Saure, Philip
作者单位：Swiss National Bank (SNB)
摘要：We assess the role of financial linkages for the transmission of sovereign risk in the Euro crisis. Building on the narrative approach by Romer and Romer (1989, 2010) and augmented by Mertens and Ravn (2013), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European countries. To estimate how these shocks transmit across borders, we use data on cross-country bank exposures to sovereign debt. Our results indicate that ...
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作者：Kim, Soyoung
作者单位：Seoul National University (SNU)
摘要：This paper examines the effects of government consumption shocks on the current account and the real exchange rate, as well as the influence of various country characteristics on these effects. A dataset of 18 industrial countries is used for the analysis. Panel VAR models are estimated for the groups of countries classified by country characteristics. The primary empirical findings are as follows. First, positive government consumption shocks lead, if anything, to real exchange rate depreciat...
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作者：Efing, Matthias; Hau, Harald; Kampkoetter, Patrick; Steinbrecher, Johannes
作者单位：University of Geneva; University of Geneva; University of Cologne; Leibniz Association; Ifo Institut
摘要：We use payroll data in the Austrian, German, and Swiss banking sector to identify incentive pay in the critical banking segments of treasury/capital market management and investment banking for 67 banks. We document an economically significant correlation of incentive pay with both the level and volatility of bank trading income particularly for the pre-crisis period 2003-2007, in which incentive pay was strongest. This result is robust if we instrument the bonus share in the capital market di...
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作者：Fornaro, Luca
作者单位：Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI)
摘要：This paper studies exchange rate policy in a small open economy model featuring an occasionally binding collateral constraint and Fisherian deflation. The goal is to evaluate the performance of alternative exchange rate policies in sudden stop-prone economies. The key element of the analysis is a pecuniary externality arising from frictions in the international credit markets, which creates a trade-off between price and financial stability. The main result is that depreciating the exchange rat...
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作者：Defever, Fabrice; Heid, Benedikt; Larch, Mario
作者单位：University of Nottingham; University of Bayreuth; University of Bayreuth; Leibniz Association; Ifo Institut
摘要：In this paper, we provide causal evidence that firms serve new markets which are geographically close to their prior export destinations with a higher probability than standard gravity models predict. We quantify the impact of this spatial pattern using a data set of Chinese firms which had never exported to the EU, the United States, and Canada before 2005. These countries imposed import quotas on textile and apparel products until 2005 and experienced a subsequent increase in imports of prev...
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作者：Felbermayr, Gabriel; Jung, Benjamin; Larch, Mario
作者单位：Leibniz Association; Ifo Institut; University of Munich; Leibniz Association; Ifo Institut; University Hohenheim; University of Bayreuth; Leibniz Association; Ifo Institut
摘要：The quantitative trade literature often does not distinguish between tariffs and iceberg trade costs. This paper explores qualitatively and quantitatively how this distinction matters for the gains from trade. Most obviously, tariffs generate government revenues, while icebergs do not. In models of monopolistic competition, they may also affect entry. Finally, depending on whether they are modeled as cost or demand shifters, tariffs may have different implications on profits, entry, and, in tu...
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作者：Eberhardt, Markus; Presbitero, Andrea F.
作者单位：University of Nottingham; University of Oxford; International Monetary Fund
摘要：We study the long-run relationship between public debt and growth in a large panel of countries. Our analysis builds on theoretical arguments and data considerations in modelling the debt-growth relationship as heterogeneous across countries. We investigate the debt-growth nexus adopting linear and non-linear specifications, employing novel methods and diagnostics from the time-series literature adapted for use in the panel We find some support for a negative relationship between public debt a...
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作者：Bhattarai, Saroj; Lee, Jae Won; Park, Woong Yong
作者单位：University of Texas System; University of Texas Austin; Seoul National University (SNU); University of Illinois System; University of Illinois Urbana-Champaign
摘要：We introduce financial imperfections - asymmetric net wealth positions, incomplete risk-sharing, and interest rate spreads across member countries - in a prototypical two-country currency union model and study implications for monetary policy transmission mechanism and optimal policy. In addition to, and independent from, the standard transmission mechanism associated with nominal rigidities, financial imperfections introduce a wealth redistribution role for monetary policy. Moreover, the two ...
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作者：Dalton, John T.; Leung, Tin Cheuk
作者单位：Wake Forest University; Chinese University of Hong Kong
摘要：Market distortions can lead to resource misallocation, which can further lead to inefficiency. Throughout the history of the trans-Atlantic slave trade, qualitative evidence of various sources of distortion abounds. No study, however, has quantified the inefficiency in the slave trade due to these distortions. We use a structural approach to identify the dispersion of distortions in the slave trade from wedges in first order conditions. We then calculate the TFP gains had the dispersion of dis...
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作者：Berg, Kimberly A.; Mark, Nelson C.
作者单位：Bank of Canada; University of Notre Dame; National Bureau of Economic Research
摘要：Predictive regressions for bilateral exchange rates are typically run on variables from the associated bilateral pairs of countries. These regressions characteristically have low explanatory power, which leaves room for an omitted variables interpretation. We test whether these omitted variables are from third-countries. When third-country macro factors are added to bilateral exchange rate regressions, they enter significantly and increase the adjusted R-2. A three-country exchange rate model ...
