This paper investigates the international transmission of productivity shocks in a sample of five G7 countries. For each country, using long-run restrictions, the authors identify shocks that increase permanently domestic labor productivity in manufacturing our measure of tradables relative to an aggregate of other industrial countries including the rest of...
This article complements the structural New-Keynesian macro framework with a no-arbitrage affine term structure model. It focuses on an extended macro-model with an unobservable time-varying inflation target and the natural rate of output which are filtered from macro and term structure data. It obtains large and significant estimates of the...
This paper presents a dynamic, stochastic general equilibrium study of the causes of the international 'Great Depression'. It uses a fully articulated model to assess the relative contributions of deflation/monetary shocks, which are the most commonly, cited shocks for the Depression, and productivity shocks. It finds that productivity is the...
veral important empirical studies (e.g., Altonji, Hayashi, and Kotlikoff, 1992, 1996, 1997) find that households are not altruistically-linked in a way consistent with the standard Ricardian model, as put forward by Barro (1974). We build a two-sided altruistic-linkage model in which private transfers are made in the presence of two...
This paper examines which markets are most synchronized internationally and exhibit the greater extent of co movement. It focuses on daily data for four asset markets: bonds, equities, foreign exchange, and domestic money market. The extent of co movement and responsiveness to external shocks is examined in different ways. To...
The emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden Stops can be the outcome of the equilibrium dynamics of a...
This paper shows that sudden stops and declines in the foreign capital can be the outcome of the equilibrium dynamics of a flexible price economy with imperfect credit markets. Foreign debt is denominated in units of tradable and a liquidity constraint links credit market access to occur when real shocks...
In this paper I analyze several issues related to contagion including its definition, recent experiences, alternative channels at work, and possible prevention mechanisms. The discussion deals with the macroeconomics implications of contagion, and concentrates on the relationship between the degree of openness of the capital account and the transmission of...
While there is still much disagreement on the causes underlying recent emerging markets' crises, one factor that most observers have agreed upon is that contracting dollar' foreign currency denominated external debt as opposed to domestic currency debt created balance sheet mismatches that led to bankruptcies and dislocations that amplified downturns....
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