Econ 842 - Spring 2009
Syllabus
- Course Description and Outline
Lecture Notes
Lecture Slides 1
Lecture Slides 2
Lecture Slides 3
Lecture Slides 4
Lecture Slides 5
Lecture Slides 6
Lecture Slides 7 (Part A)
Lecture Slides 7 (Part B)
Lecture Slides 7 (Part C)
Lecture Slides on Risk Sharing with Lack of Commitment
Lecture Slides on International Business Cycles with Complete Markets
Lecture Slides on International Business Cycles with Exogenous Incomplete Markets
Lecture Slides on International Business Cycles with Endogenous Incomplete Markets
Lecture Slides on First Generation Currency Crisis Models
Lecture Slides on Second Generation Currency Crisis Models
Lecture Slides on the Backus-Smith Puzzle
Lecture Slides on Morris and Shin
Notes on Risk Sharing and International Portfolio Diversification
Notes on Home Bias
Notes on Open-Economy DSGE Models
Problem Sets and Exams
Problem Set 1 (due January 28)
Problem Set 1 (Solutions)
Problem Set 2 (due February 18)
Problem Set 2 (Solutions)
Problem Set 3 (due March 25)
Problem Set 3 (Solutions)
Midterm Exam (Spring 2007)
Data Sets
Exchange Rate and Current Account data for USA, UK, Canada, and Japan (quarterly, 1965-2007).
(Warning: It looks like the the national accounts data are annualized, but not the current accounts).
Papers
Current Accounts
Ventura (2002), "Towards a Theory of Current Accounts"
Ghosh (1995), "Capital Mobility Amongst the Major Industrialized Countries: Too Little or Too Much?", Economic Journal
Glick & Rogoff (1995), "Global vs. Country-Specific Productivity Shocks and the Current Account", Journal of Monetary Economics
Engel & Rogers (2006), "The U.S. Current Account Deficit and the Expected Share of World Output", Journal of Monetary Economics
Gourinchas & Rey (2007), "International Financial Adjustment", Journal of Political Economy
Caballero et. al. (2008), "An Equilibrium Model of Global Imbalances and Low Interest Rates", American Economic Review
"When a Flow Becomes a Flood", from The Economist January, 24, 2009
Exchange Rates
Rogoff (1996), "The Purchasing Power Parity Puzzle", Journal of Economic Literature
Engel (1999), "Accounting for U.S. Real Exchange Rate Changes", Journal of Political Economy
Canzoneri et. al. (1999), "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries", JIE
Kocherlakota & Pistaferri (2007), "Household Heterogeneity and Real Exchange Rates", Economic Journal
Engel (2006), "Exchange Rate Models", NBER Reporter
Engel & West (2005), "Exchange Rates and Fundamentals", Journal of Political Economy
Engel & West (2004), "Accounting for Exchange Rate Variability in Present Value Models when the Discount Factor is Near 1", American Econ. Review
Meese (1990), "Currency Fluctuations in the Post-Bretton Woods Era", Journal of Economic Perspectives
Mark & Sul (2001), "Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Sample", J. of Intl. Economics
Bacchetta & van Wincoop (2006), "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?", Amercan Economic Review
Engel (1996), "The Forward Discount Anomaly and the Risk Premium: A Survey", Journal of Empirical Finance
Burnside et. al. (2006), "The Returns to Currency Speculation", NBER working paper.
Chakraborty & Evans (2008), "Can Perpetual Learning Explain the Forward Premium Puzzle?", Journal of Monetary Economics
Kim (2009), "Exchange Rates and Fundamentals Under Adaptive Learning", Journal of Economic Dynamics and Control
"Burger-Thy-Neighbor Policies", from The Economist February 9, 2009
Risk Sharing and Home Bias
Obstfeld & Rogoff (2000), "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?", NBER Macro Annual
Lewis (1999), "Trying to Explain Home Bias in Equities and Consumption", Journal of Economic Literature
Cole & Obstfeld (1991), "Commodity Trade and Risk-Sharing: How Much do Financial Markets Matter?", J. of Monetary Economics
Gourinchas & Jeanne (2006), "The Elusive Gains from International Financial Integration", Review of Economic Studies
Baxter et. al. (1998), "Nontraded Goods, Nontraded Factors, and International Nondiversification", Journal of International Economics
Heathcote & Perri (2004), "The International Diversification Puzzle is Not As Bad As You Think", working paper
Obstfeld (1994), "Risk-Taking, Global Diversification and Growth", American Economic Review
Cochrane et. al (2006), "International Risk Sharing is Better Than You Think, or Exchange Rates are Too Smooth", Journal of Monetary Economics
Veldkamp & van Nieuwerburgh (2006), "Information Immobility and the Home Bias Puzzle", working paper
Business Cycles
Backus, Kehoe & Kydland (1992), "International Real Business Cycles", Journal of Political Economy
Backus & Smith (1993), "Consumption and Real Exchange Rates in Dynamic Economies with Nontraded Goods", Journal of International Economics
Baxter & Crucini (1995), "Business Cycles and the Asset Structure of Foreign Trade", International Economic Review
Kehoe & Perri (2002), "International Business Cycles with Endogenous Incomplete Markets", Econometrica
Obstfeld & Rogoff (2000), "New Directions for Stochastic Open-Economy Models", Journal of International Economics
Lane (2001), "The New Open Economy Macroeconomics: A Survey", Journal of International Economics
Chari et. al (2002), "Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?", Review of Economic Studies
Bergin (2006), "How Well Can the New Open Economy Macroeconomics Explain the Exchange Rate and Current Account?", J. Intl. Money and Finance
Currency Crises
Obstfeld (1996), "Models of Currency Crises with Self-Fulfilling Features", European Economic Review
Morris & Shin (1998), "Unique Equilibrium in a Model of Self-Fulfilling Attacks", American Economic Review
Hellwig et.al. (2006), "Self-Fulfilling Currency Crises: The Role of Interest Rates", American Economic Review