This paper studies external sovereign bonds as an asset class. It compiles a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. The main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ...
Negative interest rates remain a controversial policy for central banks. We study a novel signalling channel and ask under what conditions negative rates should exist in an optimal policymaker’s toolkit. We prove two necessary conditions for the optimality of negative rates: a time-consistent policy setting and a preference for policy smoothing. These conditions allow negative rates to signal policy ...
Diese Arbeit umfasst drei Kapitel zur Debatte über makroökonomische Politik unter Unsicherheit und Ungleichheit. Das erste Kapitel zeigt auf, dass ein geringes Maß an Unsicherheit mit einer effektiveren Ausgabenpolitik einhergeht, und dass fiskalpolitische Ausgaben grundsätzlich ein wirksames Instrument zur Stabilisierung von Konjunkturzyklen sind. Das zweite Kapitel liefert Belege dafür, dass der ...
Diese Dissertation besteht aus drei Aufsätzen, die die Rolle unterschiedlichester Arten von finanziellen Friktionen sowohl auf Firmenseite, als auch auf Bankenseite, für die Übertragung von finanziellen Schocks und Geldpolitik analysieren. Im ersten Aufsatz, "Firm Heterogeneity and the Capital Market", studiere ich welche Art von Finanzbeschränkungen der Firmen für die Übertragung von Kapitalmarktfinanzierungsschocks, ...
Spillovers from US monetary policy entail spillbacks to the domestic economy. Applying counterfactual analyses in a Bayesian proxy structural vector-autoregressive model we find that spillbacks account for a non-trivial share of the slowdown in domestic real activity following a contractionary US monetary policy shock. Spillbacks materialise as a monetary policy tightening depresses foreign sales and ...
We test for the empirical relevance of partial and asymmetric dominant-currency pricing (DCP), the hypothesis that large but not necessarily identical shares of economies’ export and import prices are sticky in US dollar. We first set up a structural three-country New Keynesian dynamic stochastic general equilibrium model which nests DCP, producer-currency pricing and local-currency pricing. Under ...
Sovereign borrowers may tighten their fiscal stance in order to signal their creditworthiness to lenders. In a model of sovereign debt with incomplete information, I show that a trustworthy country may reduce its debt beyond the optimal level in order to separate itself from less reliable countries. Since austerity is costly, the gains in the price of debt from separating need to be high enough, as ...