On November 25, we will cover:
Done:
Ricardo Caballero and Arvind Krishnamurthy, "International and Domestic Collateral Constraints in a Model of Emerging Market Crises," forthcoming, Journal of Monetary Economics.
PURCHASING POWER PARITY. ETC.
* Charles Engel, “Accounting for U.S. Real Exchange Rate Changes," Journal of Political Economy, June 1999
* Charles Engel and John Rogers, "How Wide is the Border?" American Economic Review 86 (December 1996), 1112-1125.
* Charles Engel and John Rogers, "Relative Price Volatility: What Role Does the Border Play?" (update of “How Wide is the Border?” American Economic Review 86 (December 1996), 1112-1125).
* Engel, C., “Long-run PPP may not hold after all,” Journal of International Economics 57 (2000), pp. 243-273.
* Mark, Nelson, “Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability“ AER 1995. Presents evidence that exchange rates are predictable - they slowly return toward the simple monetary-model solution…
* Robert Flood and Andrew Rose, “Fixing Exchange Rates: A Virtual Quest for Fundamentals,” Journal of Monetary Economics 36 no. 1, August 1995, 3-38.
* Ken Froot, M. Kim and K. Rogoff (1995) "The Law of One Price over 700 Years", NBER W.P. No. 5132, May 1995.
* David C. Parsley and Shang-Jin Wei, “Convergence to the Law of One Price without Trade Barriers or Currency Fluctuations,” Quarterly Journal of Economics 111, November 1996: 1211-1236. Convergence to PPP across cities in the U.S., with disaggregated panel data, occurs with a half-life of 4 to 5 quarters for traded goods and 15 quarters for services; convergence is faster when initial price differences are large and cities are geographically close; but transport costs associated with distance explain only a small fraction of the difference between intra-national and international convergence rates (of 3 to 7 years); authors reject unit root without city-specific means, but cannot reject in their presence
* Martin Eichenbaum and Charles Evans, "Some Empirical Evidence on the Effects of Monetary Policy Shocks on Exchange Rates," Quarterly Journal of Economics 110, November 1995, 975-1009. money shocks cause instant real and nominal depreciations and persistent international interest-rate differencials
* Obstfeld, Maurice, and Alan Taylor, 1997, "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher’s Commodity Points Revisited," unpublished, 1997.
Charles Engel, John H. Rogers, "Violating the Law of One Price: Should We Make a Federal Case Out of It?" NBER Working Paper No. W7242, July 1999
P. Goldberg and M. Knetter, "Goods Prices and Exchange Rates: What Have We Learned?" Journal of Economic Literature, September 1997.
Rogoff, K., “The Purchasing Power Parity Puzzle,” Journal of Economic Literature, June 1996.
Paul O’Connell and S.J. Wei, “The Bigger They Are, the Harder They Fall: How Price Differences between U.S. Cities are Arbitraged,” Harvard University, 1997.
FORWARD RATES
* Fama, Eugene, Forward and Spot Exchange Rates, Journal of Monetary Economics, 14, 319- 338.
Backus, David K; Gregory, Allan W; Telmer, Chris I., 1993, Accounting for Forward Rates in Markets for Foreign Currency,. Journal of Finance. Vol. 48 (5). p 1887-1908. December
SAVINGS, INVESTMENT AND CURRENT ACCOUNT DYNAMICS
* Tesar, L., “Savings, Investment and International Capital Flows,” Journal of International Economics 31, August 1991. Survey of the literature on the saving-investment puzzle
LOW CONSUMPTION CORRELATIONS, INTERNATIONAL RISKSHARING, AND HOME BIAS
* Tesar, L. “Evaluation the Gains from International Risksharing,” Carnegie-Rochester Coference Series on Public Policy, 1995. … maybe the gains from risksharing aren’t as large as one might have expected.
French, K. and J. Poterba, “Investor Diversification and International Equity Markets,” AER 1991. Evidence on home bias.
Lewis, K., “Puzzles in International Financial Markets,” The Handbook of International Economics, ed. by Gene Grossman and Kenneth Rogoff, North Holland - Elsevier Press, 1996, chapter 37, section 2.
Lewis, K. "Why do stocks and consumption imply such different gains from international risksharing," Journal of International Economics 52, 2000, pp. 1-35.
Lewis, K., "What Can Explain the Apparent Lack of Consumption Risksharing?" JPE April 1996.
Tesar, L. and I. Werner, “Home Bias and High Turnover,” Journal of International Money and Finance, 1994. … more evidence on home bias and some additional evidence on transactions behavior.
Obstfeld, M., “Risk-Taking, Global Diversification and Growth,” AER December 1994. Shows that risksharing can have sizable implications for economic growth…
list of other papers (previously on this page)