Curran, M. and Velic, A. (2019). Real Exchange Rate Persistence and Country Characteristics: A Global Analysis, Journal of International Money and Finance, 97, 35-56 [appendix].
Monetary Growth and Financial Sector Wages, (with Matthew Fagerstrom), September 2019.
Abstract: We investigate the relation between monetary growth and the growth of and compensation in the financial industry since the end of the Bretton Woods system. Estimating structural vector autoregressions, we find that the growth of the monetary base is positively associated with a higher differential between financial and average wages, but not with a larger financial industry.
Preference Heterogeneity, Inflation, and Welfare, (with Scott Dressler), February 2019.
Abstract: This paper assesses the welfare implications of long-run inflation in an environment with essential money, a competing illiquid asset, and potential ex-ante heterogeneity of households with respect to their behavioral measures of risk aversion and elasticity of intertemporal substitution. The results show that the relative liquidity position of households' portfolio as well as potential inter-cohort transfers of resources can deliver fewer welfare costs to inflation than has been previously reported, and in some instances net welfare benefits to low levels of positive inflation. These results hold in versions of the model calibrated to both US and euro area data.
The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis, (with Adnan Velic), August 2018.
Abstract: Using global data on aggregate stock market prices, this paper finds that the standard capital asset pricing model (CAPM) fares much better than suggested in the literature. At shorter time horizons, our results also show that the positive risk-reward relation can collapse during times of high volatility. Compared to advanced and emerging markets, we retrieve evidence of lower systematic risks across frontier stock market portfolios. We find that countries characterized by higher levels of financial and trade openness, exchange rate volatility, and larger economic size are exposed to higher systematic covariances with the world stock market. Conversely, we obtain evidence of an inverse link between international reserves and systematic risks in national equity.
Interest Rate Volatility and Macroeconomic Dynamics: Heterogeneity Matters, (with Adnan Velic), October 2017 [appendix].
Abstract: We examine the relation between real interest rate volatility and aggregate fluctuations for a diverse sample of countries. Compiling a new dataset that includes calm and volatile emerging and advanced countries, the substantial variation in our data yields novel results: (i) stochastic volatility outperforms Markov-switching in representing interest rates, (ii) some advanced economies can be more volatile than emerging markets, and (iii) creditors take on more debt following volatility shocks. We build and show how an equilibrium business cycle model with uncertainty shocks can generate these facts. Sample heterogeneity produces significant parameter differences, playing an important role in distinguishing the effects of volatility shocks.
- International Financial Macroeconomics
- Computational Macroeconomics
- Monetary Economics
- Growth Theory
- New Macroeconometrics
- Time Series Econometrics
- Bayesian Methods
- DSGE Models
- High Performance Computing
- Parallel Programming