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作者：Engel, Charles; Kazakova, Katya; Wang, Mengqi; Xiang, Nan
作者单位：University of Wisconsin System; University of Wisconsin Madison
摘要：We reexamine the time-series evidence on uncovered interest rate parity for the U.S. dollar versus major currencies at short-, medium-and long-horizons. The evidence that interest rate differentials predict foreign exchange returns is not stable over time and disappears alto-gether when interest rates are near the zero-lower bound. However, we find that year-on-year inflation rate differentials predict excess returns - when the U.S. y.o.y. inflation rate is relatively high, subsequent returns ...
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作者：Benigno, Gianluca; Fornaro, Luca; Wolf, Martin
作者单位：Federal Reserve System - USA; Federal Reserve Bank - New York; Center for Economic & Policy Research (CEPR); Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; University of St Gallen
摘要：We present a model that reproduces two salient facts characterizing the international mone-tary system: Fast growing emerging countries i) run current account surpluses, ii) accumulate international reserves and receive net private inflows. We study a two-sector, tradable and non-tradable, small open economy. There is a growth externality in the tradable sector and agents have imperfect access to international financial markets. By accumulating foreign re-serves, the government induces a real ...
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作者：Johri, Alok; Khan, Shahed; Sosa-Padilla, Cesar
作者单位：McMaster University; Western University (University of Western Ontario); University of Notre Dame; National Bureau of Economic Research
摘要：Empirical studies suggest that fluctuations in the level and volatility of the world interest rate affect sovereign spreads in emerging economies. We incorporate an estimated time-varying process for the world interest rate (with both level and volatility shocks) into a model of sov-ereign default calibrated to a panel of emerging economies. Time variation in the world interest rate interacts with default incentives in the model and leads to state contingent effects similar to the empirical li...
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作者：Hsu, Po-Hsuan; Taylor, Mark P.; Wang, Zigan; Xu, Qi
作者单位：National Tsing Hua University; Washington University (WUSTL); University of Hong Kong; Zhejiang University
摘要：We investigate the real effects of foreign exchange (FX) volatility on technological innovation. Using a 32-market, three-decade sample, we show that heightened FX volatility associates with significantly lower firm-level R&D expenditures, patents granted, and forward citations. The negative FX volatility-innovation relation can be attributed to precautionary savings needs and trade slowdown. The relationship is stronger for firms with financial constraints, with the use of foreign debt, and i...
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作者：Hoffmann, Mathias; Okubo, Toshihiro
作者单位：University of Zurich; Keio University
摘要：Regional banking integration allows credit to be reallocated to regions with high credit demand. Using the natural experiment of Japan's lost decade, we show that this reallocation channel mitigated the real effects from the bank liquidity shock in prefectures with many bank-dependent small firms. We propose an instrument for modern-day regional banking integration that exploits the fact that regional segmentation of banking markets in japan goes back to the institutions set up for silk export...
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作者：Macedoni, Luca; Weinberger, Ariel
作者单位：Aarhus University; George Washington University
摘要：Using data from Chile, we find that more restrictive standards are associated with a realloca-tion of domestic sales from small to large firms, which has allocative efficiency implications. Guided by this evidence, we study the welfare effects of the reallocation brought about by stricter standards in a model with monopolistically competitive, heterogeneous firms, and a general demand system. Restrictive standards have an ambiguous effect on welfare. On the one hand, they improve allocative ef...
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作者：Liu, Siming
作者单位：Shanghai University of Finance & Economics
摘要：This paper examines the state-dependent multipliers of government spending in sudden stop economies. First, I provide cross-country evidence that an increase in government spending is more effective in stimulating consumption and appreciating the real exchange rate in sudden stop crises than in normal times. To rationalize this, I then build a small open economy model with a collateral constraint on international borrowing. During a financial crisis, an adverse international shock reduces cons...
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作者：Esposito, Federico
作者单位：Tufts University
摘要：I develop a theory of risk diversification through geography. In a general equilibrium trade model with monopolistic competition and stochastic demand, risk-averse entrepreneurs exploit the spatial correlation of demand across countries to lower the variance of their global sales. The model implies that both the probability of entry and trade flows to a country are increasing in the Diversification Index, which depends on the multilateral covariance of the country's demand with all other marke...
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作者：Morrow, Peter M.; Tre, Daniel
作者单位：University of Toronto; University of Toronto; Canadian Institute for Advanced Research (CIFAR)
摘要：Differences in how countries absorb endowments of skilled and unskilled labour can be decomposed into (a) differences in the skewness of output mix towards skill-intensive industries and (b) differences in the skill intensity of each industry. The latter can be decomposed into contributions from cross-country differences in (2a) relative wages and (2b) skill-biased factor-augmenting technologies. To investigate the relative importance of each, we develop a multi-sector Eaton-Kortum model featu...
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作者：Benguria, Felipe; Choi, Jaerim; Swenson, Deborah L.; Xu, Mingzhi (Jimmy)
作者单位：University of Kentucky; University of Hawaii System; University of California System; University of California Davis; National Bureau of Economic Research; Peking University
摘要：The unexpected outbreak of the U.S.-China trade war led to dramatic increases in the import and export tariffs confronting Chinese firms, and ushered in an era of unprecedented trade policy uncertainty (TPU). To assess the effects of this development on the operations of Chinese firms we adopt a new textual analysis approach to listed firms' annual reports that allows us to create measures of TPU that vary over firms and time. Linking our new TPU measures to firm-level trade war exposure shows...
