Monetary news, U.S. interest rate and business cycles in emerging economies

This paper identifies anticipated (news) and unanticipated (surprise) shocks to the U.S. Fed Funds rate using CBOT Fed Funds Future Market and assesses their propagation to emerging economies. Anticipated movements account for 80% of quarterly Fed Funds fluctuations and explain a significant fraction of the narrative monetary policy shocks. An expected 1% increase in the reference interest rate induces a fall of 2% in GDP of emerging economies two quarters before the shock materializes. Unanticipated contractionary shocks also cause a recession. Both shocks have a larger impact in emerging relative to developed economies and the financial channel is the most relevant for their transmission. Anticipation is also relevant to understand the transmission of U.S. real interest rate shocks

Monetary policy transmission in an open economy:new data and evidence from the United Kingdom

This paper constructs a new series of monetary policy surprises for the United Kingdom and estimates their effects on macroeconomic and financial variables, employing a high-frequency identification procedure. First, using local projections methods, we find that monetary policy has persistent effects on real interest rates and breakeven inflation. Second, employing our series of surprises as an instrument in a SVAR, we show that monetary policy affects economic activity, prices, the exchange rate, exports, and imports. Finally, we implement a test of overidentifying restrictions, which exploits the availability of the narrative series of monetary policy shocks computed by Cloyne and Huertgen (2014), and find no evidence that either set of shocks contains any ‘endogenous’ response to macroeconomic variables

The Micro-D classification: a new approach to identifying differentiated exports

It is common to assess the evolution of a country’s export structure as a manifestation of the extent of progress or stagnation in its development process. Performing this exercise requires determining which features of exported products denote higher stages in that process. We argue that exports of differentiated products, especially when sold to developed countries, signal the acquisition of valuable knowledge that reflects development progress. We propose a new classification, denoted Micro-D, that works at the finest aggregation level in customs nomenclatures to provide a more precise identification of differentiated products. Specifically, the classification uses package size as a proxy for product differentiation to identify differentiated food and beverage exports. Thus, it is especially—though not exclusively—suited to capturing export upgrading in land-abundant developing countries. We apply the Micro-D classification to Argentina in 1998–2011 to deliver a new picture of the country’s sources of export upgrading in this period

Patrones de acumulación, comercio exterior y evolución industrial en la Argentina

En este trabajo se estudian aspectos de las fases de crecimiento de la economía argentina desde mediados del siglo 20, con énfasis sobre el período reciente. Se examinan la magnitud y las características de la acumulación de capital físico, los rasgos del comercio exterior y la evolución sectorial del producto, especialmente en la industria manufacturera. Sobre esta base, se discuten algunos temas abiertos referidos a la conformación de una tendencia de crecimiento hacia adelante, focalizando en tres cuestiones: los requerimientos de inversión física; la generación de recursos para la acumulación y sus mecanismos de canalización hacia la formación de capital, y el esquema emergente de comercio exterior.Fil: Albornoz, Facundo. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universidad Nacional de Tres de Febrero; ArgentinaFil: Calvo, Paula. Universidad Nacional de Tres de Febrero; ArgentinaFil: Coremberg, Ariel Alberto. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; ArgentinaFil: Heymann, Carlos Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universidad de San Andrés; ArgentinaFil: Vicondoa, Alejandro. Universidad Nacional de Tres de Febrero; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Económicas; Argentin

Patrones de acumulación, comercio exterior y evolución industrial en la Argentina

En este trabajo se estudian aspectos de las fases de crecimiento de la economía argentina desde mediados del siglo 20, con énfasis sobre el período reciente. Se examinan la magnitud y las características de la acumulación de capital físico, los rasgos del comercio exterior y la evolución sectorial del producto, especialmente en la industria manufacturera. Sobre esta base, se discuten algunos temas abiertos referidos a la conformación de una tendencia de crecimiento hacia adelante, focalizando en tres cuestiones: los requerimientos de inversión física; la generación de recursos para la acumulación y sus mecanismos de canalización hacia la formación de capital, y el esquema emergente de comercio exterior.Fil: Albornoz, Facundo. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universidad Nacional de Tres de Febrero; ArgentinaFil: Calvo, Paula. Universidad Nacional de Tres de Febrero; ArgentinaFil: Coremberg, Ariel Alberto. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; ArgentinaFil: Heymann, Carlos Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina. Universidad de San Andrés; ArgentinaFil: Vicondoa, Alejandro. Universidad Nacional de Tres de Febrero; Argentina. Universidad de Buenos Aires. Facultad de Ciencias Económicas; Argentin

Monetary policy transmission in an open economy : new evidence from the United Kingdom

Fil: Vicondoa, Alejandro. Universidad de San Andrés. Departamento de Economía; Argentina."Este paper computa una nueva serie de sorpresas monetarias para el Reino Unido y estima sus efectos sobre variables macroeconómicas y financieras, empleando una estrategia de identificación que explota datos de alta frecuencia. Primero, utilizando Local Projections, encontramos que la política monetaria tiene efectos persistentes sobre las tasas de interés reales y sobre la breakeven inflation. Segundo, empleando la serie de sorpresas como un instrumento en un SVAR, mostramos que la política monetaria afecta la actividad económica, precios, tipo de cambio, exportaciones e importaciones. Finalmente, implementamos un test de sobreidentificación, que explota la disponibilidad de la serie narrativa de shocks de política monetaria para el Reino Unido computada por Cloyne y Huertgen (2014), y no encontramos evidencia de que alguna de las dos series contenga respuesta endógena de la política monetaria a las variables macroeconómicas."Palabras clave: Transmisión de la Política Monetaria, Instrumentos Externos, Identificación en Alta-Frecuencia, VAR Estructural.Cesa-Bianchi, AmbrogioThwaites, Gregor

Essays in international macroeconomics

Defence date: 8 June 2017Examining Board: Prof. Evi Pappa, EUI; Supervisor Prof. Árpád Ábrahám, EUI; Dr. Andrés Fernández Martin, Inter-American Development Bank; Prof. Morten Ravn, University College LondonThis thesis studies the effects of external shocks on emerging economies and proposes a novel methodology to assess the spillovers from financial markets to the real economy. The first chapter analyzes how anticipated and unanticipated fluctuations in the U.S. interest rate are transmitted to emerging economies. Exploiting Fed Funds future contracts, I propose a novel way to identify shocks to the U.S. interest rate. An anticipated (unanticipated) 25 basis points contractionary U.S. interest rate shock induces a fall of 0.5 percent in GDP of emerging economies one quarter before (after) the shock materializes. The observed dynamics are consistent with the predictions of a small open economy model augmented with a banking sector. Despite the change in relative prices, output significantly falls because banks face restricted access to international financial markets and, thus, tighten their credit supply. The second chapter assesses the relevance of terms of trade fluctuations to explain emerging economies business cycles. Using a sample of Latin American countries, newsaugmented Commodity-TOT (CTOT) shocks are identified by maximizing the forecast error variance share of the CTOT series at a finite future horizon. The combination of news and surprise CTOT shocks explains on average half of output fluctuations and anticipated shocks account for 53 percent of CTOT shocks. The third chapter proposes a novel methodology, called Bridge Proxy-SVAR, to study the relationship between time series sampled at different frequencies. The methodology comprises three steps: (I) identify the structural shocks of interest in high frequency systems; (II) aggregate the series of high frequency shocks at the lower frequency; (III) use the aggregated series of shocks as a proxy for the corresponding structural shock in lower frequency VARs. The Bridge Proxy-SVAR generalizes the applicability of the Proxy-SVAR and significantly mitigates temporal aggregation biases. The fourth chapter provides novel evidence on the large macroeconomic spillovers from changes in the liquidity of sovereign bonds by employing the Bridge Proxy-SVAR. Liquidity shocks, orthogonal to changes in default risk, induce strong recessionary effects in Italy.--1. Monetary news, U.S. interest rate and business cycles in emerging economies --2. Emerging economies business cycles: the role of commodity terms of trade --3. Proxy-SVAR as a bridge between mixed frequencies --4. The real effect of liquidity shocks in sovereign debt markets: evidence from Ital

The real effects of liquidity shocks in sovereign debt markets: evidence from Italy

This paper provides the first empirical evidence on the macroeconomic effects of liquidity shocks in secondary sovereign debt markets. We consider the Italian case in a VAR analysis by applying different identification strategies: recursive ordering and Proxy-SVAR. Our findings suggest that liquidity is a major driver for indicators of economic activity. A shock to the Bid-Ask Spread induces a strong (15% of the Forecast Error Variance) and persistent (10 months) effect on unemployment and indicators of confidence. Liquidity shocks are transmitted to the real economy through changes in the lending behaviors of banks. On the one hand, an exogenous fall in liquidity induces/na tightening of banks standards, particularly due to the asset and liquidity position of commercial banks. On the other hand, firms report worse credit conditions in terms of higher costs apart from the interest rate. Similar macroeconomic implications hold for Spain, whereas liquidity shocks are not a significant driver for France and Germany.The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396

The real effects of liquidity shocks in sovereign debt markets: evidence from Italy

This paper provides the first empirical evidence on the macroeconomic effects of liquidity shocks in secondary sovereign debt markets. We consider the Italian case in a VAR analysis by applying different identification strategies: recursive ordering and Proxy-SVAR. Our findings suggest that liquidity is a major driver for indicators of economic activity. A shock to the Bid-Ask Spread induces a strong (15% of the Forecast Error Variance) and persistent (10 months) effect on unemployment and indicators of confidence. Liquidity shocks are transmitted to the real economy through changes in the lending behaviors of banks. On the one hand, an exogenous fall in liquidity induces/na tightening of banks standards, particularly due to the asset and liquidity position of commercial banks. On the other hand, firms report worse credit conditions in terms of higher costs apart from the interest rate. Similar macroeconomic implications hold for Spain, whereas liquidity shocks are not a significant driver for France and Germany.The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396

The real effects of liquidity shocks in sovereign debt markets : evidence from Italy

This paper provides the first empirical evidence on the macroeconomic effects of liquidity shocks in secondary sovereign debt markets. We consider the Italian case in a VAR analysis by applying different identification strategies: recursive ordering and Proxy-SVAR. Our findings suggest that liquidity is a major driver for indicators of economic activity. A shock to the Bid-Ask Spread induces a strong (15% of the Forecast Error Variance) and persistent (10 months) effect on unemployment and indicators of confidence. Liquidity shocks are transmitted to the real economy through changes in the lending behaviors of banks. On the one hand, an exogenous fall in liquidity induces/na tightening of banks standards, particularly due to the asset and liquidity position of commercial banks. On the other hand, firms report worse credit conditions in terms of higher costs apart from the interest rate. Similar macroeconomic implications hold for Spain, whereas liquidity shocks are not a significant driver for France and Germany.The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396