We provide new empirical evidence of a relationship between asset prices and trade-
Induced international R&D spillovers; in particular, we find that pairs of countries
that share more research and development exhibit more highly correlated stock market
returns and less volatile exchange rates.
Empirical work on asset prices suggests that pricing kernels have to be almost perfectly correlated across countries. If they are not, real exchange rates are too smooth to be consistent with high Sharpe ratios in asset markets.
How efficiently are physical and human capital allocated across countries? Observing
differences in the countries' ratios of physical and human capital to output is not conclusive
evidence of distortions since those differences may be driven by factor intensity differences
in the countries' production functions.
Consider the following facts. In 1950, the richest countries attained an average of 8 years
of schooling whereas the poorest countries 1.3 years, a large 6-fold difference. By 2005, the
difference in schooling declined to 2-fold because schooling increased faster in poor than in
Countries that trade more with each other tend to have more correlated business cycles. Yet,
traditional international business cycle models predict a much weaker link between trade and
business cycle comovement.
Latin America has had striking changes in economic performance over time. Following the
recession and debt crises of the early 1980’s, consumption declined for about ten years and consumption per-capita in the year 2004 was roughly the same as it was in 1980.
It is a robust finding that technical trading rules applied to foreign exchange markets
have earned substantial excess returns over long periods of time. However, the approach to
risk adjustment has typically been rather cursory, and has tended to focus on the CAPM.
In this paper we show that price equalization does not imply zero barriers to trade.
There are many barrier combinations that deliver price equalization, but each combination
implies a different volume of trade.
This paper deals with a classic development question: how can the process of economic
development – transition from stagnation in a traditional technology to industrialization
and prosperity with a modern technology – be accelerated?
This paper evaluates the most appropriate ways to model diffusion and jump features of high-frequency exchange rates in the presence of intraday periodicity in volatility. We show that periodic volatility distorts the size and power of conventional tests of Brownian motion, jumps and (in)finite activity.
Both global and regional economic linkages have strengthened substantially over the
past quarter century. We employ a dynamic factor model to analyze the implications of these
linkages for the evolution of global and regional business cycles.
We consider the interactions between domestic lobbying and two types of cross-border
lobbying in a Customs Union (CU). The two types of cross-border lobbying are (i) lobbying
from firms in one CU country to the governments of other CU countries, and (ii) that from
firms outside the CU.