40 research outputs found
Moneychangers, Private Information and Gresham’s Law in Late Medieval Europe
No full textEn este artículo retomamos una vieja explicación de la Ley de Gresham, que
descansa en el tráfico de monedas protagonizado por los cambistas. Centrándonos
en la Edad Media, presentamos materiales que sugieren que los cambistas hacían uso de la información privilegiada de que disponían en relación con el dinero, para hacer beneficios a través de operaciones de arbitraje y de retirada de la circulación de las mejores monedas. En ambos casos, su actividad daba como resultado la desaparición parcial –y a veces total– de las monedas infravaloradas.In this paper we revive an old explanation for Gresham’s law that rests on the
trafficking of coins by moneychangers. Focusing on the late Middle Ages, we
present material suggesting that moneychangers used their private information
on money to make profit through billonnage and arbitrage operations. In both cases their activity led to the partial –sometimes total– disappearance of the undervalued coins.Publicad
Currency interdependence and dollarization
No full textThis paper constructs a search model of currency interdependence, and uses it to examine how in dollarized economies the foreign currency reacts to various shocks to the domestic currency. Currency interdependence is generated by allowing sellers to take into account their outside option of trading with the domestic currency while bargaining with buyers holding the foreign currency. The shocks consist in movements in the domestic interest rate, domestic inflation and the domestic currency’s market power. We show that if the purchasing power of the domestic currency is low, any shock that increases its value, such as a higher domestic interest rate, translates into a depreciation of the foreign currency. However, the result is opposite when the purchasing power of the domestic currency is high. We show that when money is indivisible these shocks can drive in or out the foreign currency. When money is divisible, this currency substitution effect is more limited. We use our results to discuss the opportunity of various de-dollarization policies and show that some can be counterproductive
Currency interdependence and dollarization
No full textThis paper constructs a search model of currency interdependence, and uses it to examine how in dollarized economies the foreign currency reacts to various shocks to the domestic currency. Currency interdependence is generated by allowing sellers to take into account their outside option of trading with the domestic currency while bargaining with buyers holding the foreign currency. The shocks consist in movements in the domestic interest rate, domestic inflation and the domestic currency's market power. We show that if the purchasing power of the domestic currency is low, any shock that increases its value, such as a higher domestic interest rate, translates into a depreciation of the foreign currency. However, the result is opposite when the purchasing power of the domestic currency is high. We show that when money is indivisible these shocks can drive in or out the foreign currency. When money is divisible, this currency substitution effect is more limited. We use our results to discuss the opportunity of various de-dollarization policies and show that some can be counterproductive.Money Search Currency interdependence Dollarization
Three essays in financial economics : climate risk and the transition to a low carbon economy
No full textCette thèse développe un cadre d'analyse pour étudier les liens entre macroéconomie, finance et environnement. Ce cadre est ensuite utilisé pour évaluer la façon dont les politiques macro-financières pourraient participer à la lutte contre le changement climatique. Équipés de ce nouvel outil, nous apportons plusieurs contributions théoriques, méthodologiques, appliquées et empiriques. Nous mettons d'abord en lumière l'impact du changement climatique sur la mesure du taux d'intérêt naturel et proposons un nouvel indicateur mieux adapté lorsque la politique monétaire est contrainte par la borne inférieure effective sur les taux nominaux. Nous étudions ensuite les effets secondaires d'un marché de permis de carbone. Nous montrons que le niveau de prix du carbone requis pour atteindre les objectifs climatiques implique une perte de bien-être qui peut être atténuée par la mise en œuvre de poids sectoriels dans les exigences de capital des banques favorables aux secteurs les moins intensifs en carbone. Le design d’un marché de permis de carbone implique également une incertitude sur le prix du carbone qui conduit à une volatilité des primes de risque. Cette volatilité peut être supprimée par l’implémentation de règles d'assouplissement quantitatif. Enfin, nous fournissons des résultats empiriques sur les interactions entre le prix du carbone, le niveau des émissions et la technologie de réduction des émissions. Nous montrons que la troisième phase de l’ETS a contribué de manière significative à la réduction des émissions. Nous trouvons également que les prêts à long terme jouent un rôle important et significatif dans la stimulation de l'innovation verte. Cependant, au-delà d'un certain seuil, le prix du carbone a un effet négatif sur l'innovation verte. Nous construisons ensuite un modèle avec croissance endogène de la productivité et de la technologie d'abattement qui réplique les résultats empiriques et nous l'utilisons pour montrer comment les politiques publiques pourraient orienter la croissance vers les technologies vertes, allégeant ainsi le fardeau des entreprises lié à l'augmentation du prix du carbone. Nous calculons également des trajectoires de transition compatibles avec l'objectif net-zéro qui illustrent la façon dont la technologie d’abattement endogène affecte la dynamique de réduction des émissions.This thesis provides a framework to study the nexus between macroeconomics, finance, and the environment. This framework is then used to assess how macro-financial policies could take part in climate change mitigation. Equipped with this new tool, we provide several theoretical, methodological, applied, and empirical contributions. We first shed light on the impact of climate change on the measurement of the natural rate of interest and propose a new indicator that is better suited when monetary policy is constrained by the effective lower bound on nominal rates. We then study the side effects of a market for carbon permits. We show that the level of carbon price required to achieve climate goals imply a loss in welfare that can be mitigated through the implementation of sector-specific weights in the capital requirements of banks favorable to less carbon intensive sectors. The design of a cap and trade policy also implies uncertainty on the price of carbon that leads to volatility in risk premia. This volatility can be offset by means of quantitative easing rules. Finally, we provide empirical evidence on the interactions between the carbon price, the level of emissions, and the abatement technology. We find that the third phase of the ETS contributed significantly to emissions reduction. We also show that long-term loans play an important and significant role in boosting green innovation. However, above a certain threshold, the carbon price is found to have a negative effect on green innovation. We then proceed to build a model with endogenous growth in productivity and abatement technology to match the evidence. The endogenous abatement technology model is used to show how public policies could steer growth in green technologies, therefore easing the burden on firms related to the rise in the carbon price. We also compute transition pathways consistent with the net-zero target, which illustrate how the endogenous abatement technology affects dynamics in emissions reduction
The Costs of Inflation in Australia and New Zealand
No full textThis paper evaluates the costs of inflation in Australia and New Zealand using a compensated measure calculated by calibrating a general equilibrium search model in the vein of Lagos and Wright (2005). We look at how inflation affects the intensive margin (the quantity traded in each match) by examining the impact of various pricing protocols. We also look at how inflation affects the extensive margin (the number of trades) by making the market composition between buyers and sellers endogenous. We obtain much larger costs of inflation than existing studies, but smaller costs than similar studies conducted on the US economy. Depending on the version of the model, the costs of 10% inflation for a 250 to 200 to $1700 in New Zealand, that is between 0.5% and 4.4% of GDP and between 0.4% and 3.4% of GDP respectively. Finally it is calculated that Australia could gain up to 1.6% of GDP per annum - 1.2% for New Zealand - by implementing the Friedman rule.
Inflation and quality dispersion
No full textOne questionable aspect of price posting with directed search is the strong commitment by sellers to commit to the advertised terms of trade. In this paper I explore the welfare implications of assuming that sellers cannot commit and vary the quality of their output ex post according to realized demand. I show that such lack of commitment translates into lower participation by buyers, lower average quality, and a consumption-equivalent loss of 0.3% of annual GDP
Public spending efficiency in the OECD: Benchmarking health care, education, and general administration
No full textIn many OECD countries, changes in demography and health conditions are putting pressure on public finance. To prevent further expansion of government spending as a percentage of GDP, public spending efficiency will need to be raised. This paper uses data envelopment analysis (DEA) to assess the efficiency of welfare spending (normalized by the working-age population) in a sample of OECD countries around 2012, focussing on health care, secondary education, and general public services. The DEA model has a two input-one output structure, with at least one of the variables representing a composite indicator controlling for country-specific factors (socio-economic environment and lifestyle factors, for example). We find wide dispersion in efficiency measures across OECD countries and provide possible quantified improvements for both output and input efficiency
