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Inflationary Equilibrium in a Stochastic Economy with Independent Agents

Geanakoplos, John; Karatzas, Ioannis; Shubik, Martin; … - Cowles Foundation for Research in Economics, Yale University - 2009

constraints generate inflation. We study stochastic economies with fiat money, a central bank, one nondurable commodity, countably … and a fixed price for the commodity. Consequently, we investigate stationary equilibria with inflation, in which aggregate … equation for the rate of inflation continues to hold and the real rate of interest is equal to the common discount rate of the …

Persistent link: https://www.econbiz.de/10004979386

On the Internationalization of Portfolios

Brainard, William C.; Tobin, James - Cowles Foundation for Research in Economics, Yale University - 1991

Portfolio theory has been an important component of open economy macroeconomic models. In those models, it is essential to distinguish among several categories of assets, both foreign and domestic, and to specify the demands and supplies. This framework has become increasingly relevant....

Persistent link: https://www.econbiz.de/10005464019

Dollar Denominated Debt and Optimal Security Design

Geanakoplos, John; Kubler, Felix - Cowles Foundation for Research in Economics, Yale University - 2003

During a crisis, developing countries regret having issued dollar denominated debt because they have to pay more when they have less. Ex ante, however, they may be worse off issuing local currency debt because the equilibrium interest rate might rise, making it more expensive for them to borrow....

Persistent link: https://www.econbiz.de/10005087365

Does One Soros Make a Difference? A Theory of Currency Crises with Large and Small Traders

Corsetti, Giancarlo; Dasgupta, Amil; Morris, Stephen; … - Cowles Foundation for Research in Economics, Yale University - 2000

Do large investors increase the vulnerability of a country to speculative attacks in the foreign exchange markets? To address this issue, we build a model of currency crises where a single large investor and a continuum of small investors independently decide whether to attack a currency based...

Persistent link: https://www.econbiz.de/10005593170

Exchange Rates and Casualties During the First World War

Hall, George J. - Cowles Foundation for Research in Economics, Yale University - 2001

I estimate a single factor model of Swiss exchange rates during World War I for five of the primary belligerents: Britain, France, Italy, Germany, and Austria-Hungary. At the outbreak of the war these nations suspended convertibility of their currencies into gold with the promise that after the...

Persistent link: https://www.econbiz.de/10005593654

A Theory of the Onset of Currency Attacks

Morris, Stephen; Shin, Hyun Song - Cowles Foundation for Research in Economics, Yale University - 1998

The swiftness and devastating impact of recent financial crises have taken many market participants by surprise, and pose challenges for economists seeking a theory of the onset of a crisis. We propose such a theory based on two features. The actions of diverse economic actors which undermine...

Persistent link: https://www.econbiz.de/10005634747

International Currency Regimes, Capital Mobility, and Macroeconomic Policy

Tobin, James - Cowles Foundation for Research in Economics, Yale University - 1991

The structure of the international monetary system is once again a topic of great interest and controversy -- among economists, business managers, financiers, and government leaders. Many members of all these groups are acutely dissatisfied with the floating exchange rate regime that succeeded...

Persistent link: https://www.econbiz.de/10005762814

Estimating Exchange Rate Equations Using Estimated Expectations

Fair, Ray C. - Cowles Foundation for Research in Economics, Yale University - 2008

This paper takes a somewhat different approach from the recent literature in estimating exchange rate equations. It assumes uncovered interest rate parity and models how expectations are formed. Agents are assumed to base their expectations of future interest rates and prices, which are needed...

Persistent link: https://www.econbiz.de/10005196056

The Invention of Inflation-Indexed Bonds in Early America

Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 2003

The world is first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the … Revolutionary War. These bonds were invented to deal with severe wartime inflation and with angry discontent among soldiers in the U …

Persistent link: https://www.econbiz.de/10005464040

Price Flexibility and Output Stability: An Old Keynesian View

Tobin, James - Cowles Foundation for Research in Economics, Yale University - 1991

The central macroeconomic issue is the same as ever. How reliable are automatic market adjustments in maintaining full employment equilibrium in the face of aggregate demand shocks? Many modern theorists assume that nominal prices, including wages, jump instantaneously to keep supply and demand...

Persistent link: https://www.econbiz.de/10005593339