Interest Rate Volatility and Macroeconomic Dynamics: A Cross-Country Analysis, (with Adnan Velic), October 2017 [appendix].
Abstract: This paper examines the relation between interest rate volatility and aggregate fluctuations for 27 countries. We compile data, finding that stochastic volatility outperforms Markov-switching. Interest rate volatility is high and persistent overall. There is nevertheless substantial heterogeneity internationally. Interestingly, while developed countries are typically less volatile, some advanced economies like Ireland are more volatile than certain emerging markets like the Philippines. Volatility increases at higher interest rate levels, while it is negatively correlated with measures of macroeconomic performance like output, consumption and investment. We build and show how an equilibrium business cycle model with uncertainty shocks can generate these facts.
Real Exchange Rate Persistence and Country Characteristics, (with Adnan Velic), October 2017 [appendix].
Abstract: This paper examines the persistence of real exchange rates across 151 countries. We employ univariate time series techniques on a country-by-country basis allowing for deterministic structural breaks and nonlinearities in the adjustment process. Our findings suggest that bilateral exchange rates display higher rates of persistence than multilateral exchange rates, with the latter exhibiting half-lives of less than 1 year. Assessing country results by stage of economic development, we find that industrial countries display higher levels of exchange rate inertia than developing countries. We retrieve evidence indicating that higher inflation, nominal exchange rate volatility, trade openness and proximity to reference country are associated with faster rates of real exchange rate convergence. Conversely, international financial integration is only found to be a significant factor at the country group level, with differential effects across cohorts.
- International Financial Macroeconomics
- Computational Macroeconomics
- DSGE Models
- New Macroeconometrics
- Time Series Econometrics
- Bayesian Methods
- High Performance Computing
- Parallel Programming