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| Author | : Sang-Beom Kim |
| Publisher | : |
| Total Pages | : 296 |
| Release | : 1992 |
| Genre | : Business cycles |
| ISBN | : |
| Author | : Kihyun Park |
| Publisher | : |
| Total Pages | : 147 |
| Release | : 2010 |
| Genre | : |
| ISBN | : |
This dissertation studies the dynamic effects of various economic shocks in a two-sector small open economy. It is divided into three essays. Essays 1 and 2 have a theoretical focus; they involve the developing of intertemporal optimizing models of a small open economy. In these essays, we use the representative-agent framework to derive dynamic macroeconomic effects. Specifically, in the first essay we examine the effects of monetary policy targeted at an inflation rate in a small open economy. We adopt a two-sector dependent economy where money is introduced through various cash-in-advance (CIA) constraints. Results are very significant and sensitive to various CIA constraints as well as relative capital intensities. Higher inflation will generate more investment in the economy leading to a higher level of capital stock and a lower level of net foreign assets in the long-run when the nontraded sector is more capital intensive and households need cash for purchasing tradable goods. However, the long-run effects are completely opposite if households need real balances for purchasing nontradable goods instead. In the second essay we examine the effects and the associated dynamics of an increase in international oil prices and domestic inflation. We show that an increase in oil prices or higher domestic inflation lowers the level of investment, production, and consumption in the long-run. The economy experiences a current account surplus along with a fall in capital stock by holding more foreign traded bonds. Transitional dynamics significantly depend on sectoral capital intensity as well. In essay 3 we investigate the explanatory power of yield spread in predicting economic activities in developing economies. We employ both the Markov regime switching model (MS) and the probit model to estimate the probability of recessions during the Asian financial crisis. We find that three-regime MS model is better predictor of recessions than tworegime MS model. The MS results are also compared with that of the standard probit model for comparison. The MS model does not significantly improve the forecasting ability of the yield spread in forecasting business cycles.
| Author | : J. L. Ford |
| Publisher | : |
| Total Pages | : 248 |
| Release | : 1990 |
| Genre | : Business & Economics |
| ISBN | : |
Open economy macroeconomics is a major focus of research interest stimulated in part by the increasing interdependence of the world economy and by the move towards floating exchange rates. This important new book addresses several central issues in the macroeconomic theory of different forms of open economies under differing degrees of dependency.
| Author | : Franz Gehrels |
| Publisher | : Springer |
| Total Pages | : 208 |
| Release | : 1991 |
| Genre | : Business & Economics |
| ISBN | : |
The large aggregates in the economy - consumption, investment, production of the domestic and the international sectors, international capital flows, financial accumulation and indebtedness - are analysed in this book as problems in time-optimisation for enterprises and households. The effects of fiscal and monetary policies along with exchange-rate variation are examined, and their simultaneous use for stabilizing demand are found to be necessary. All household decisions on consumptions, savings, and financial disposition are conditioned by uncertainty, and similarly for firms, who make more complex simultaneous decisions on production, real investment, financing, and market strategy. The marginal efficiency-of-investment function derived from these decisions is fundamentally different from the marginal productivity of capital in the neoclassical sense. An economy which grows through the accumulation of capital, increase in labor supply, and technological progress is the framework in which all of these variables move. This codetermines the allocation of factors between domestic and international production, and the development of foreign trade. The growth both of the public debt and of international investment are treated in depth.
| Author | : Helmut Frisch |
| Publisher | : Springer |
| Total Pages | : 437 |
| Release | : 2016-07-27 |
| Genre | : Business & Economics |
| ISBN | : 1349128848 |
The integration of market economies is one of the most remarkable features of international economics, which has important implications for macroeconomic performance in open economies. Equally important is the declining relevance of the real versus the monetary theory dichotomy. These papers focus on those aspects of monetary policy which relate to credibility and non-neutrality; the domestic adjustment to foreign shocks; the interdependence of open economies and their strategic interactions. An important section is also devoted to the innovative modelling of exchange rate dynamics.
| Author | : Richard Hemming |
| Publisher | : International Monetary Fund |
| Total Pages | : 62 |
| Release | : 2002-12 |
| Genre | : Business & Economics |
| ISBN | : |
This paper reviews the theoretical and empirical literature on the effectiveness of fiscal policy. The focus is on the size of fiscal multipliers, and on the possibility that multipliers can turn negative (i.e., that fiscal contractions can be expansionary). The paper concludes that fiscal multipliers are overwhelmingly positive but small. However, there is some evidence of negative fiscal multipliers.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
This dissertation addresses three issues in international macroeconomics. The first chapter examines optimal portfolio decisions in a monetary open economy DSGE model. In a complete market environment, Engel and Matsumoto (2005) find that sticky price can generate equity home bias. However, their result is sensitive to the structure of the financial market. In an incomplete market environment, we find "super home bias" in the equilibrium equity portfolio, which casts doubt on the ability of sticky price in describing the observed equity portfolios. We further show that introducing sticky wages helps to match the data. The second chapter analyzes the welfare impact of financial integration in a standard monetary open-economy model. Financial integration may have negative effects on welfare if integration occurs in the presence of nominal price rigidities and constraints on the efficient use of monetary policy. The reason is that financial integration leads to excessive terms of trade volatilities. From a policy perspective, the model implies that developing economies that are experiencing financial integration may attempt to alleviate the welfare cost of integration by stabilizing the exchange rate. This prediction is consistent with the widespread reluctance to following freely floating exchange rates among these economies. On the other hand, for advanced economies that have the ability to operate efficient inflation targeting monetary policies, financial integration is always beneficial. Thus, the model accounts for the observed acceleration in cross-border asset trade among advanced economies in the early 1990s as it was mainly the industrial countries that switched to an inflation targeting regime at the time. The third chapter uses an open-economy neoclassical growth model to explain the saving and investment behavior of the U.S. and a group of other OECD countries. We find that while the model explains investment quite well, it tends to overpredict U.S saving a.
| Author | : Mi Lu |
| Publisher | : |
| Total Pages | : 145 |
| Release | : 2013 |
| Genre | : International finance |
| ISBN | : 9781303292293 |
The world has witnessed that some countries have been benefiting substantially from economic and financial globalization and the expansion of world trade while others have not. At the same time, since economies are more interconnected shocks from one economy spread faster worldwide. With the increasing degree of integration of economies around the world, it seems crucial to study international transmission mechanisms of business cycles and policy designs in open economies. This dissertation addresses three interesting questions from the perspective of open economy macroeconomics: 1) What are the main factors to explain the secular change of the Hong Kong national saving rate? 2) What is the transmission mechanism of the U.S. monetary policy shock and other shocks to the Hong Kong economy under the Currency Board system? 3) What is the role of the banking sector and macroprudential policy in the propagation of national and international business cycles?
| Author | : Wontae Han |
| Publisher | : |
| Total Pages | : 169 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
This dissertation consists of two independent essays on open economy macroeconomics. The first chapter of the dissertation is motivated by the question: "What rationalizes the stylized facts of emerging market business and credit cycles?" Business and credit cycles in emerging countries display very volatile consumption, highly volatile and countercyclical net exports, strongly countercyclical real interest rates, and procyclical flows of credit to the household sector and to the business sector. The standard small-open-economy (SOE) model cannot generate this cyclical pattern of the interest rate and the change in credit market liabilities of households. In order to correct this irregularity and account for the data pattern, this paper augments the SOE model to include collateral constraints for the household sector and limited enforcement constraints for the banking sector. The model generates business and credit cycles consistent with Korean data and gives a rationale for highly volatile consumption, countercyclical country interest rates, and procyclical credit flows. In the counterfactual experiments, we find that the output volatility in Korea is reduced by 11% and welfare gains amount to 0.17% increase in one quarter's steady-state consumption when the default risk in the financial sector is completely eliminated. The second chapter investigates how the presence of pricing-to-market and the degree of imperfect financial market integration affects the effectiveness of optimal monetary policy. Global resource allocation can be inefficient because exporting firms may set different prices among markets and households in different countries may pay different prices for identical goods. On the other hand, political, technological, or informational barriers may hinder capital flows across countries, leading to deviations from perfect cross-country risk sharing. Considering this stylized setting, we augment a standard monetary open economy model to include the failure of the law of one price and imperfect financial market integration. We characterize the optimal monetary policy and assess its effectiveness in compared to inward-looking policies.
| Author | : |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
In Chapter 1, using panel structural VAR analysis with quarterly data from six emerging Latin American countries, we document that the effects of government spending shocks depend on the share of public debt denominated in foreign currency. We find that the ratio of public debt denominated in foreign currency is a critical determinant of the real exchange rate responses. Economies with larger exposure to the foreign currency denominated public debt (HFC) responds with a real exchange rate depreciation to an increase in government consumption expenditure, while economies with a lower ratio (LFC) respond with real exchange rate appreciation. Correspondingly, the debt-to-GDP ratio in the HFC group increases faster in response to government spending shocks. Moreover, a rise in government spending increases private consumption more significantly in the HFC group. We find that government spending shocks raise output and consumption regardless of the currency denomination of debt. Moreover, the fiscal multipliers in both two groups are above one. To offer a theoretical explanation of these observed patterns, in Chapter 2 we develop a simple small open economy version of New Keynesian Open Economy Model (NOEM) and compare two model specifications which differ in the assumption about the currency denomination of debt: a foreign-currency bond economy (FB) and a domestic-currency bond economy (DB). In the FB (DB) economy, all debt is issued in foreign (domestic) currency. Comparing these two extreme assumptions allows us to shed light on the role of currency denomination of debt in explaining the cross-country variations in the effects of government spending shocks. We show that our proposed model can replicate the empirical findings documented in Chapter 1. A novel feature of our model is that the country-specific risk premium is positively correlated with the expected exchange rate depreciation, and the correlation parameter depends on currency denomination of debt. We discuss how our modification of risk premium makes the real exchange determined by two competing forces and under what conditions a real depreciation can be generated. In Chapter 3, we propose a generalized model in which both types of debt coexist and the ratio of foreign currency debt endogenously determines the strength of exchange rate depreciation mechanism. The model is shown to replicate well the observed responses of macroeconomic variables to an increase in government spending.
