The Experts below are selected from a list of 279 Experts worldwide ranked by ideXlab platform
Enrique G Mendoza - One of the best experts on this subject based on the ideXlab platform.
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precautionary demand for foreign assets in sudden stop economies an assessment of the new merchantilism
2007Co-Authors: Ceyhun Bora Durdu, Enrique G Mendoza, Marco E TerronesAbstract:Financial globalization had a rocky start in emerging economies hit by Sudden Stops. Foreign reserves have grown very rapidly since then, as if those countries were practicing a New Mercantilism that views foreign reserves as a war-chest for defense against Sudden Stops. This paper conducts a quantitative assessment of this argument using a stochastic Intertemporal Equilibrium framework in which precautionary foreign asset demand is driven by output variability, financial globalization, and Sudden Stop risk. In this framework, credit constraints produce endogenous Sudden Stops. We find that financial globalization and Sudden Stop risk can explain the surge in reserves but output variability cannot. These results hold using the Intertemporal preferences of the Bewley-Aiyagari-Hugget precautionary savings model or the Uzawa-Epstein setup with endogenous impatience.
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precautionary demand for foreign assets in sudden stop economies an assessment of the new mercantilism working paper 2007 10
2007Co-Authors: Bora C Durdu, Enrique G Mendoza, Marco E TerronesAbstract:Financial globalization in emerging economies has been challenged by a series of Sudden Stops since the mid 1990s. Foreign reserves grew very rapidly during this period; hence, it is often argued that we live in the era of a New Mercantilism in which large stocks of reserves are a war chest for defense against Sudden Stops. We conduct a quantitative assessment of this argument using a stochastic Intertemporal Equilibrium framework with incomplete asset markets in which precautionary saving affects foreign assets through three mechanisms: business cycle volatility, financial globalization, and
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the terms of trade the real exchange rate and economic fluctuations
International Economic Review, 1995Co-Authors: Enrique G MendozaAbstract:This paper examines the relationship between terms of trade and business cycles using a three-sector Intertemporal Equilibrium model and a large multicountry database. Results show that terms-of-trade shocks account for nearly one-half of actual GDP variability. The model explains weak correlations between net exports and terms of trade (the Harberger, Laursen, and Metzler effect), and produces large and weakly correlated deviations from purchasing power parity and real interest rate parity. Terms-of-trade shocks cause real appreciations and positive interest differentials, although productivity shocks have opposite effects. The puzzle that welfare gains of international asset trading are negligible is left unresolved. Copyright 1995 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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The Effects of Macroeconomic Shocks in a Basic Equilibrium Framework
Staff Papers, 1992Co-Authors: Enrique G MendozaAbstract:The macroeconomic effects of random shocks to output, the terms of trade, and the real interest rate are examined using an Intertemporal Equilibrium model of a small open, endowment economy. Equilibrium stochastic processes are computed numerically and compared with actual stylized facts. The model rationalizes the Harberger-Laursen-Metzler effect, but cannot produce countercyclical net exports and large real exchange rate fluctuations. The quantitative implications of the model are compared with the implications of the elasticities approach, and their sensitivity to changes in preference parameters and in the persistence of shocks is examined.
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Robustness of Macroeconomic Indicators of Capital Mobility
IMF Working Papers, 1992Co-Authors: Enrique G MendozaAbstract:The performance of macroeconomic indicators of capital mobility is examined in the context of an Intertemporal Equilibrium model of a small open economy. Recursive numerical solution methods are used to compute measures of consumption smoothing, savings-investment correlation, and the variability and output-correlation of investment that characterize the model in the presence of income disturbances. None of these statistics is a reliable indicator of capital mobility unless information regarding differences in preferences, technology, and the nature of stochastic shocks can be taken into account.
Cuong Le Van - One of the best experts on this subject based on the ideXlab platform.
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Intertemporal Equilibrium with heterogeneous agents, endogenous dividends and collateral constraints
2018Co-Authors: Stefano Bosi, Cuong Le Van, Ngoc-sang PhamAbstract:We build a dynamic general Equilibrium model with heterogeneous producers and financial frictions (collateral constraints and incompleteness). First, we provide a characterization to check whether a sequence is an Equilibrium or not. Second, we study the effects of financial imperfections on output and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.
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Intertemporal Equilibrium with heterogeneous agents, endogenous dividends and collateral constraints
Journal of Mathematical Economics, 2018Co-Authors: Stefano Bosi, Cuong Le Van, Ngoc-sang PhamAbstract:We build a dynamic general Equilibrium model with heterogenous producers and financial market imperfections (collateral constraints and incompleteness). First, we prove the existence of Equilibrium and provide a tractable characterization to check whether a sequence is an Equilibrium. Second, we study the effects of financial imperfections on economic growth and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.
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Intertemporal Equilibrium with financial asset and physical capital
Economic Theory, 2015Co-Authors: Cuong Le Van, Ngoc-sang PhamAbstract:International audienceWe build an infinite-horizon dynamic deterministic general Equilibrium model with imperfect markets (borrowing constraints), in which heterogeneous agents invest in capital or/and financial asset and consume. There is a representative firm which maximizes its profit. Firstly, the existence of Intertemporal Equilibrium is proved even if aggregate capital is not uniformly bounded. Secondly, we study the interaction between the financial market and the productive sector. We also explore the nature of physical capital bubble and financial asset bubble as well
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Intertemporal Equilibrium with financial asset and physical capital
Economic Theory, 2015Co-Authors: Cuong Le Van, Ngoc-sang PhamAbstract:We build an infinite-horizon dynamic deterministic general Equilibrium model with imperfect markets (borrowing constraints), in which heterogeneous agents invest in capital or/and financial asset and consume. There is a representative firm which maximizes its profit. Firstly, the existence of Intertemporal Equilibrium is proved even if aggregate capital is not uniformly bounded. Secondly, we study the interaction between the financial market and the productive sector. We also explore the nature of physical capital bubble and financial asset bubble as well.
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Intertemporal Equilibrium with financial asset and physical capital
2014Co-Authors: Cuong Le Van, Ngoc-sang PhamAbstract:We build an infinite-horizon dynamic deterministic general Equilibrium model with imperfect markets (because of borrowing constraints), in which heterogeneous agents invest in capital or/and financial asset, and consume. There is a representative firm who maximizes its profit. Firstly, the existence of Intertemporal Equilibrium is proved even if aggregate capital is not uniformly bounded. Secondly, we study the interaction between the financial market and the productive sector. We also explore the nature of physical capital bubble and financial asset bubble as well.
Kazuo Nishimura - One of the best experts on this subject based on the ideXlab platform.
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Instability and fluctuations in Intertemporal Equilibrium models: Presentation
Journal of Mathematical Economics, 2007Co-Authors: Tapan Mitra, Kazuo Nishimura, Alain VendittiAbstract:Abstract This paper introduces the special issue of the Journal of Mathematical Economics on Instability and Fluctuations in Intertemporal Equilibrium Models .
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Introduction to Intertemporal Equilibrium Theory: Indeterminacy, Bifurcations, and Stability☆
Journal of Economic Theory, 2001Co-Authors: Tapan Mitra, Kazuo NishimuraAbstract:Institute of Economic Research, Kyoto University, Yoshida Honmachi,Sakyoku, Kyoto 606, Japannishimurakier.kyoto-u.ac.jpThis paper provides an overview of the basic concepts of Intertemporal equi-librium theory, and discusses the frameworks and techniques used in this subject.It then goes on to introduce the main themes discussed in the papers included inthis symposium issue. Journal of Economic Literature Classification Numbers: C61,D90, O41.
Hashem M Pesaran - One of the best experts on this subject based on the ideXlab platform.
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the role of economic theory in modelling the long run
The Economic Journal, 1997Co-Authors: Hashem M PesaranAbstract:This argues for a closer link between the modelling of the long-run relations in applied economics and the Intertemporal Equilibrium notion from economic theory.(This abstract was borrowed from another version of this item.)
Fabio Petri - One of the best experts on this subject based on the ideXlab platform.
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Hick's recantation of the temporary Equilibrium method ∗
Review of Political Economy, 1991Co-Authors: Fabio PetriAbstract:This article deals with the neglecct of the economics profession towards Hick's change of mind, after Value and capital, concerning the appropriateness of the use of the notion of temporary Equilibrium analysis. In what follows a reconstruction and critical evalaiton of Hicks's views on the legitimacy of the Equilibrium method will be undertaken. It will be argued that Hicks's rejection of both the traditional (long-period) marginalist general Equilibrium and the post-Walrasian alternative of temporary or Intertemporal Equilibrium raises wider issues that pose problems for contemporary treatments of such matters.
