Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the random variable. The problem of constructing a corresponding joint prediction region has been rather...
We study the interaction between contracting and equilibrium pricing when risk-averse hedgers purchase insurance from risk-neutral investors subject to moral hazard. Moral hazard limits risk-sharing. In the individually optimal contract, margins are called (after bad news) to improve risk-sharing. But margin calls depress the price of investors' assets, affecting other investors negatively....
We study the growth effects of currency undervaluation when countries employ active exchange rate management policies or impose capital controls, using a panel dataset of 185 countries. Applying two-stage regressions, we find that changes in undervaluation driven by exchange rate management and capital control policies have no significant impact on economic growth. Undervaluation that leads to...
We investigate whether changes in income distribution can explain current account developments in a sample of 20 countries for the period 1972-2007. We analyze the relationship between the personal and the functional income distribution in our sample, before disentangling their effects on the household and corporate financial balances and the current account. We find that rising (top-end) personal...
This paper addresses whether non-uniqueness of equilibrium is a substantive problem for policy analysis in New-Keynesian (NK) models. There would be a substantive problem if there were no compelling way to select among different equilibria that give different answers to critical policy questions. In fact there is: stability-under-learning. We focus our analysis on the efficacy of …fiscal...
The seminar will not take place due to the visit of François Villeroy de Galhau, Governor of the Banque de France.
We examine empirically and theoretically the joint dynamics of prices, output, employment and wages across firms. We first analyze administrative firm data for the German manufacturing sector for which price and quantity information at the nine-digit product level, together with employment, working hours and wages are available. We then develop a dynamic model of heterogeneous firms who compete...
