Research papers
My research in RePEc through IDEAS!
INTERNATIONAL
MACROECONOMICS
Stock
market synchronisation and monetary integration,
June 2006, pdf. Substantially revised version of a paper
titled The macroeconomic determinants of
stock market synchronisation (pdf). UNDER
REVIEW.
This
paper evaluates the connection between stock market return comovements and
monetary integration. A panel specification is used to explain time-varying
bilateral stock market return correlations between fifteen developed economies
over the time period 1975 to 2004. Our model includes time fixed effects to
capture common international sources of comovement, controls for propagation
channels such as international trade linkages and international financial
integration, and assesses the impact of monetary integration on bilateral
correlations. The adoption of a single currency affects correlations through
the elimination of exchange rate volatility as well as through the inherent
single monetary policy and the convergence of inflation expectations.
JEL
Classification: E44, F15, F21, F36, G15.
Keywords:
Stock markets, comovement, currency union, exchange rate regime,
financial integration.
The
euro and financial integration, May 2006, with
We provide a quantitative
analysis of the impact of the euro on European financial integration. We
consider both volume- and price-based indicators. In general, we find evidence
that common membership of the euro area strengthens bilateral financial
linkages. However, we emphasize that EMU has only been one innovation driving
European financial integration in recent years, with global factors also
increasingly important.
The
duration of fixed exchange rate regimes, August 2005, Trinity Economic
Paper 18, IIIS
Discussion Paper 96.
CURRENTLY BEING REVISED.
This paper
studies the survival of fixed exchange rate regimes. The probability of an exit
from a fixed exchange rate regime depends on the time spent within this regime.
In such a context durations models are appropriate, in particular because of
the possible non-monotonic pattern of duration dependence. Non-parametric
estimates show that the pattern of duration dependence exhibits non-monotonic
behaviour and that it differs across types of economies. This behaviour
persists when we control for time-varying covariates in a proportional hazard
specification. We conclude that how long a regime has lasted will affect the
probability that it will end, in a non-monotonic fashion.
JEL Classification: F30, F31, F41.
Keywords: Exchange rate regime, currency crisis, regime transition,
duration models, survival analysis.
INTERNATIONAL
FINANCE
Testing
for financial contagion: comparing limited and full-information methods,
June 2006, pdf. Older versions: FAME Research Paper 92,
HEI
Working Paper 04/2003. See what the NZZ has to say
about this paper! Digest written for the
Supplément Haute Finance of the AGEFI Magazine!
This
paper pursues two objectives. We test for the presence of nonlinearities in the
transmission of country-specific shocks during the 1997/98 Asian crisis. Using
the full-information methodology of Favero and Giavazzi (2002) we find that the
null hypothesis of no contagion is widely rejected. The pattern of contagion is
asymmetric with important implications for international portfolio
diversification. Since our results contrast with those obtained by Rigobon
(2001, 2002) using a limited information methodology, we present Monte Carlo
simulations which show that certain necessary conditions must be satisfied for
this method to have power.
JEL Classification: C3, F3, F4, G1.
Keywords: Contagion, nonlinearities, international financial markets,
Asian crisis, simultaneous equation models.
Contagion
and interdependence among Central European economies: the impact of common
external shocks, January 2003, HEI
Working Paper 02/2003, NCCR Finrisk
Working Paper 48.
This paper is
about contagion and interdependence among Central European economies. It
investigates the extent to which country-specific shocks spread across these
countries beyond the normal channels of interdependence, taking into account
common external shocks. To model such shocks, we make use of market interest
rates and more precise measures of the stance of
JEL Classification: C32, F31, F41, G15.
Keywords: Contagion, interdependence, international
financial markets, transition economies,
fiscal
policy
Women
and budget deficits, revised version, April 2007, with Signe
Krogstrup, Trinity Economic Paper
03, HEI
Working Paper 13/2007. UNDER REVIEW.
If
women have different economic preferences than men, then female economic and
political empowerment is likely to change policy and household decisions, and
in turn macroeconomic outcomes. We test the hypothesis that female
enfranchisement leads to lower government budget deficits due gender
differences in preferences over fiscal outcomes. Estimating the impact of
women’s vote on budget deficits in a differences-in-differences
regression for Swiss cantonal panel data, we find that including women in the
electorate reduces average per capita budget deficits by a statistically
significant amount.
JEL Classification: D7, E6, H6, J16.
Keywords:
Fiscal policy, budget deficit, enfranchisement, median voter, gender.
Do
fiscal rules cause budgetary outcomes?, April 2007, with Signe
Krogstrup, Trinity Economic Paper
06. UNDER REVIEW.
This
paper focuses on the observed empirical relationship between fiscal rules and
budget deficits, and examines whether this correlation is driven by an omitted
variable, namely voter preferences. We make use of two different estimation
methods to capture voter preferences in a panel of Swiss sub-federal
jurisdictions. First, we include a recently constructed measure of fiscal
preferences. Second, we capture preferences through fixed effects with a
structural break as women are enfranchised. We find that fiscal rules continue
to have a significant impact on real budget balances.
JEL
Classification: C2, D7, E6,
H6.
Keywords:
Fiscal policy, fiscal rules, fiscal institutions, budget deficits, fiscal
preferences, endogeneity.