We build two leveraged and non-leveraged strategies for carry trading. In the non-leveraged carry trade we show that the Sharpe ratio as a proxy for profitability has a concave form with respect to the interest rate differentials. Our model predicts the concavity of the Sharpe ratio and data...

In this paper, the link between capital inflows and real exchange rate movements in LDCs is revisited theoretically and empirically. On the theoretical side we present a simple model to show that the real exchange rate depends mainly on "real fundamentals" such as terms of trade or productivity...

This paper studies a form of Dutch disease known as the Transfer problem in developing countries. On the theoretical side, we propose a model which unifies the channel proposed by Keynes (1929), Balassa (1964) and Samuelson (1964), and Yano and Nugent (1999). The real exchange rate dynamic is...

This paper proposes theoretical and empirical analysis of the effect of capital controls and alternative exchange rate regimes on the patterns of speculative capital. I argue that the exchange rate regime and its interaction with the monetary regime can explain the patterns of speculative...

The dramatic decline in inflation across the world over the last 20 years has been largely credited to improved monetary policy. The universal nature of the phenomenon and its simultaneity with globalization however indicate that there might also be a "real" side to it. We build a model based on...

This paper studies a form of Dutch Disease known as the Transfer Problem in developing countries. On the theoretical side we present a simple model to show that the real exchange rate depends on the “real fundamentals” such as terms of trade or productivity differentials and “financial...

The dramatic decline in inflation across the world over the last 20 years has been largely credited to improved monetary policy. The universal nature of the phenomenon, however, indicates that globalization, which occurred simultaneously, also played a role. We build a model based on Melitz (<CitationRef...</citationref>

We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of...

The paper presents a simple supply side, general equilibrium model to estimate the macroeconomic effects of labor tax cuts. The model assumes that output is produced using capital, unskilled and skilled workers, and public servants. Wage formation for skilled workers features a...

We show that, in a monetary equilibrium, trade and asset prices depend on both the supply of the liquidity by the Central Bank and the liquidity of assets and commodities. As a result, monetary aggregates are informative for the conduct of monetary policy. We also show asset prices are higher in...