1,721,173 research outputs found
Toward a new paradigm in open economy modeling: where do we stand?
Get PDFThis paper provides a selective, up-to-date survey of the recent, fast-growing literature on new open economy macroeconomics. Lucio Sarno begins with a review of the seminal paper in this literature, describing the baseline model proposed therein. He then covers a number of variants and generalizations of the baseline model involving the allowance for nominal rigidities, pricing to market, alternative preference specifications, and alternative financial markets structures. The author also discusses the recent stochastic extensions of these models, especially focusing on their implications for the link between risk and exchange rates and on new directions for the relevant literature.Econometric models ; Macroeconomics
How well do monetary fundamentals forecast exchange rates?
Get PDFFor many years after the seminal work of the Meese and Rogoff (1983a), conventional wisdom held that exchange rates could not be forecast from monetary fundamentals. Monetary models of exchange rate determination were generally unable to beat even a naive no-change model in out-of-sample forecasting. More recently, the use of sophisticated econometric techniques, panel data, and long spans of data has convinced some researchers (Mark and Sul, 2001) that monetary models can forecast a small, but statistically significant part of the variation in exchange rates. Others remain skeptical, however (Rapach and Wohar, 2001b; Faust, Rogers, and Wright, 2001). It remains a puzzle why even the most supportive studies find such a small predictable component to exchange rates. This article reviews the literature on forecasting exchange rates with monetary fundamentals and speculates as to why it remains so difficult.Foreign exchange rates ; Forecasting
Transmission of the U.S. Subprime Crisis to Emerging Markets: Evidence on the Decoupling-Recoupling Hypothesis
Get PDFWe find that emerging markets appeared to be somewhat insulated from developments in U.S. financial markets from early 2007 to summer 2008. From that point on, however, emerging markets responded very strongly to the deteriorating situation in the U.S. financial system and real economy. Policy measures taken in emerging markets to insulate themselves from global financial developments proved inadequate in the face of the credit crunch and decline in international trade that followed the Lehman bankruptcy in September 2008.
Collective opinion formation in a business climate survey
Get PDFA large body of literature has proposed models inspired by particle physics as formalizations of collective processes in the economic and social spheres of human societies [1, 2, 3, 4]. However, attempts at empirical validation of such models have been very sparse so far. This paper develops a broadly applicable methodology for estimating the parameters of microscopic models of social interactions. Its application to a popular business climate survey indicates that the collective behaviour of the survey respondents is well explained by a simple ‘particle’ model of social interactions. This result also lends support to the view that the large fluctuations of investors’ and consumers’ confidence are mostly due to ‘animal spirits’ rather than new information
Risk bubbles and market instability
Get PDFWe discuss a simple model of correlated assets capturing the feedback effects induced by portfolio investment in the covariance dynamics. This model predicts an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical correlations very similar to those observed in real markets. Maximum likelihood estimates of the model’s parameter for empirical data indeed confirms this conclusion. We show that this picture is confirmed by the empirical analysis for different choices of the time horizon
Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon
No full textTransitory and permanent components of saving and investment: an empirical study of international capital flows in Japan by Eric Girardin, Lucio Sarno and Mark P. Taylor This paper presents an empirical study of the difference between the short- and the long-run saving-investment correlation coefficient using quarterly Japanese data, in an attempt to shed light both on the Feldstein-Horioka regression's validity in quantifying the degree of international capital mobility and on its implications. We also empirically assess the effectiveness of the abolition of exchange controls, which removed all restrictions on capital flows between Japan and the international economy in 1980. Consistent with our economic intuition and the logical consequences of the Feldstein-Horioka interpretation, our results suggest that the short-run saving-investment association is significantly stronger than the corresponding long-run association and, in contrast with much of the relevant empirical literature, Japan appears to have been highly financially integrated into the global economy since 1980. pital flows ; transitory and permanent components ; Kalman filter. [fre] Composantes permanente et transitoire de l'épargne et de l'investissement : une étude empirique des flux internationaux de capitaux au Japon par Eric Girardin, Lucio Sarno et Mark P. Taylor .. Cet article présente une étude empirique de la différence entre les coefficients de corrélation de court et de long terme entre l'épargne et l'investissement en utilisant des données trimestrielles japonaises, afin d'apporter un éclairage à la fois sur la validité de la régression de Feldstein-Horioka pour mesurer le degré de mobilité internationale du capital et sur ses conséquences. Nous évaluons également empiriquement l'efficacité de l'abolition des contrôles des changes qui en 1980 a supprimé toute restriction sur les mouvements de capitaux entre le Japon et l'économie internationale. En conformité avec nos a priori d'économistes et avec les conséquences logiques de l'interprétation de Feldstein et Horioka, nos résultats suggèrent que l'association de court terme entre l'épargne et l'investissement est significativement plus forte que l'association de long terme correspondante et qu'en opposition avec la plus grande partie de la littérature empirique dans ce domaine, le Japon apparaît être fortement intégré financièrement avec l'économie globale depuis 1980
A short note on the problematic concept of excess demand in asset pricing models with mean-variance optimization
Get PDFReferring to asset pricing models where demand is proportional to excess returns and said to be derived from a mean-variance optimization problem, the note formulates what probably is common knowledge but hardly ever made an explicit subject of discussion. This is an insufficient distinction between the desired holding of the risky asset on the part of the speculative agents, which is the solution to the optimization problem and usually directly presented as excess demand, and the desired change in this holding, which is what should reasonably constitute the excess demand on the market. The note arrives at the conclusion that in models with a market maker the story of the maximization of expected wealth should be dropped
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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