Empirically, the relative volatility of consumption to output decreases with income. The standard small-open economy real business cycle model, however, produces a positive relationship. We can recover the negative relationship when we augment the standard model with micro-founded expropriations...

We construct a novel Exchange Rate Stance Index (ERSI) to measure the magnitude of oral interventions that talk down the Australian dollar - a preference for a weaker domestic currency expressed by the Reserve Bank of Australia (RBA) through public speeches and monetary policy statements in...

This paper studies a joint monetary and fiscal policy response to an increase in public infrastructure investment in emerging market economies. I extend the neoclassical growth model to a two-sector open economy setting, and introduce heterogeneous agents to examine the distributional effects of...

This paper compares the effects of macroprudential policy, fiscal policy, and two liberalization policies on house prices and bank balance sheets and examines the welfare and distributional implications of each policy. Three prominent features of the Chinese economy, including monopolistically...

The US equity risk premium is approximated with a mean unhedged equity return. I utilize out-of-the-money put options to obtain a hedged equity return, which allows me to quantify the disaster risk premium as the difference between the means of unhedged and hedged equity returns. I demonstrate...

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

While simultaneously accounting for the effects of sovereign and corporate bond spreads, we document that emerging market economy (EME) equity returns have a strong predictive power for future output growth and account for a significant fraction of output fluctuations in these countries. Our...