Econ 842 - Spring 2014

Syllabus

-  Course Description and Outline

Lecture Notes

Lecture Slides 1
Two Period Model - Part1  (Endowment Economy)
Two Period Model - Part 2  (Comparative Statics)   Slides for 2-Country Model
Two Period Model - Part 3  (Production and Investment)
Lecture Slides 2
Slides on Valuation Effects (Gourinchas&Rey) and Investment Risk (Ventura)
Lecture Slides 3
Lecture Slides 4
Lecture Slides 5
Lecture Slides 6
Lecture Slides 7 (Part A)
Lecture Slides 7 (Part B)
Lecture Slides 7 (Part C)
Lecture Slides on Risk Sharing with Lack of Commitment
Lecture Slides on International Business Cycles with Complete Markets
Lecture Slides on International Business Cycles with Exogenous Incomplete Markets
Lecture Slides on International Business Cycles with Endogenous Incomplete Markets
Lecture Slides on First Generation Currency Crisis Models
Lecture Slides on Second Generation Currency Crisis Models
Lecture Slides on the Backus-Smith Puzzle
Lecture Slides on Morris and Shin
Lecture Slides on Angeletos and Werning
Lecture Slides on Bai and Zhang
Lecture Slides on Van Nieuwerburgh and Veldkamp
Lecture Slides on "Growing Like China"
Notes on Risk Sharing and International Portfolio Diversification
Notes on Home Bias
Notes on Open-Economy DSGE Models

Additional Textbook Material

 "Lectures in Open Economy Macroeconomics"  by M. Uribe
---  A graduate level text.  Chapters 2-4 are useful background.

 "International Macroeconomics"  by M. Uribe and S. Schmitt-Grohe
--- An undergraduate text.  A useful reference. A lot of the same topics, but using simple graphs and 2-period models.

Some Background Reading

The Economist  (5-14-09)  --  "Birth Pains"

The Economist  (1-22-11)  --  "The Rise of the Redback/Stranger than Fiction"

The Economist  (2-23-11)  --  "Learning to Like Inflation"

Feldstein  (1-28-11)  --  "The End of China's Surplus"

The Economist  (9-25-10)  --  "A Mao in Every Pocket"

The Economist  (11-6-10)  --  "Beyond Bretton Woods 2"

Krugman  (2011)  --  "Can Europe Be Saved?"

Bernanke  (2009) --  "Asia and the Global Financial Crisis"

Obstfeld and Rogoff (2009)  --  "Global Imbalances and the Financial Crisis"

<>Problem Sets and Exams

Problem Set 1  (due February 20)
Problem Set 2  (due April 11)
Final Exam  (Spring 2011)

Data Sets

Exchange Rate and Current Account data for USA, UK, Canada, and Japan (quarterly, 1965-2007).
(Warning:  It looks like the the national accounts data are annualized, but not the current accounts).

Updated data set  (quarterly, 1965-2009)
(Warning: Look for coding errors and unit inconsistencies! The online IFS database appears to be a mess.)

Papers

Old Term Papers

Callum McLeod (2009),  "International Business Cycles"
Adam Tubridy (2009),  "Public Information in a Global Game"
Min Xu (2009),  "The Exchange Rate in China"

Current Accounts

Ventura (2002), "Towards a Theory of Current Accounts"
Ghosh (1995),  "Capital Mobility Amongst the Major Industrialized Countries: Too Little or Too Much?",  Economic Journal
Glick & Rogoff (1995),  "Global vs. Country-Specific Productivity Shocks and the Current Account",  Journal of Monetary Economics
Engel & Rogers (2006),  "The U.S. Current Account Deficit and the Expected Share of World Output",  Journal of Monetary Economics
Gourinchas & Rey (2007),  "International Financial Adjustment",  Journal of Political Economy
Caballero et. al. (2008), "An Equilibrium Model of Global Imbalances and Low Interest Rates",  American Economic Review
Mendoza et. al.  (2009),  "Financial Integration, Financial Development, and Global Imbalances",  Journal of Political Economy
"When a Flow Becomes a Flood",  from The Economist  January, 24, 2009

Exchange Rates

Rogoff (1996),  "The Purchasing Power Parity Puzzle",  Journal of Economic Literature
Engel (1999),  "Accounting for U.S. Real Exchange Rate Changes",  Journal of Political Economy
Canzoneri et. al. (1999),  "Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries",  JIE
Kocherlakota & Pistaferri (2007),  "Household Heterogeneity and Real Exchange Rates",   Economic Journal
Engel (2006),  "Exchange Rate Models",   NBER Reporter
Engel & West (2005), "Exchange Rates and Fundamentals",  Journal of Political Economy
Engel & West (2004),  "Accounting for Exchange Rate Variability in Present Value Models when the Discount Factor is Near 1",  American Econ. Review
Meese (1990),  "Currency Fluctuations in the Post-Bretton Woods Era",  Journal of Economic Perspectives
Mark & Sul (2001),  "Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Sample",  J. of Intl. Economics
Bacchetta & van Wincoop (2006),  "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?",   Amercan Economic Review
Engel (1996),  "The Forward Discount Anomaly and the Risk Premium: A Survey",  Journal of Empirical Finance
Burnside et. al. (2006),  "The Returns to Currency Speculation",  NBER working paper.
Chakraborty & Evans (2008),  "Can Perpetual Learning Explain the Forward Premium Puzzle?",   Journal of Monetary Economics
Kim (2009),  "Exchange Rates and Fundamentals Under Adaptive Learning",  Journal of Economic Dynamics and Control 
"Burger-Thy-Neighbor Policies",  from The Economist  February 9, 2009

Risk Sharing and Home Bias

Obstfeld & Rogoff (2000),  "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?",  NBER Macro Annual
Lewis (1999),  "Trying to Explain Home Bias in Equities and Consumption",   Journal of Economic Literature
Cole & Obstfeld (1991),  "Commodity Trade and Risk-Sharing: How Much do Financial Markets Matter?",   J. of Monetary Economics
Gourinchas & Jeanne (2006),  "The Elusive Gains from International Financial Integration",  Review of Economic Studies 
Gourinchas & Jeanne (2012),  "Capital Flows to Developing Countries: The Allocation Puzzle",  Review of Economic Studies 
Song, Storesletten, % Zilibotti (2011),  "Growing Like China",  American Economic Review
Heathcote & Perri (2008),  "The International Diversification Puzzle Is Not As Bad As You Think", working paper
Obstfeld (1994),  "Risk-Taking, Global Diversification and Growth",  American Economic Review
Van Nieuwerburgh & Veldkamp (2009),  "Information Immobility and the Home Bias Puzzle",  Journal of Finance

Business Cycles

Backus, Kehoe & Kydland (1992), "International Real Business Cycles",   Journal of Political Economy
Backus & Smith (1993),  "Consumption and Real Exchange Rates in Dynamic Economies with Nontraded Goods",   Journal of International Economics
Baxter & Crucini (1995),  "Business Cycles and the Asset Structure of Foreign Trade",   International Economic Review
Kehoe & Perri (2002),  "International Business Cycles with Endogenous Incomplete Markets",  Econometrica 
Bai & Zhang  (2010),  "Solving the Feldstein-Horioka Puzzle with Financial Frictions",  Econometrica
Obstfeld & Rogoff (2000),  "New Directions for Stochastic Open-Economy Models",  Journal of International Economics
Lane (2001),  "The New Open Economy Macroeconomics: A Survey",  Journal of International Economics
Chari et. al (2002),  "Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates?",  Review of Economic Studies
Bergin (2006),  "How Well Can the New Open Economy Macroeconomics Explain the Exchange Rate and Current Account?",  J. Intl. Money and Finance

Currency Crises

Obstfeld (1996),  "Models of Currency Crises with Self-Fulfilling Features",  European Economic Review
Morris & Shin (1998),  "Unique Equilibrium in a Model of Self-Fulfilling Attacks",  American Economic Review
 Angeletos & Werning (2006),  "Crises and Prices: Information Aggregation, Multiplicty, and Volatility",   American Economic Review