We study the effects of aggregate income shocks in a small open economy heterogeneous agent model. By introducing a standard information friction, we are able to explain two patterns of small economies experiencing large income changes: (1) excess volatility in consumption and (2) household...

Do persistently low nominal interest rates mean that governments can safely borrow more? To address this question, I extend the model of Ghosh et al. [2013] to allow for persistent stochastic changes in nominal interest and growth rates. The key model parameter is the long-run difference between...

Do persistently low nominal interest rates mean that governments can safely borrow more? To addresses this question, I extend the model of Ghosh and others [2013] to allow for persistent stochastic changes in nominal interest and growth rates. The key model parameter is the long-run difference...

This paper examines ways to summarize the maturity structure of public debts using a small number of parameters. We compile a novel dataset of all promised future payments for US and UK government debt from every month since 1869, and more recently for Peru, Poland, Egypt, and Nigeria. We show...

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

This paper examines ways to summarize the maturity structure of public debts using a small number of parameters. We compile a novel dataset of all promised future payments for US and UK government debt from every month since 1869, and more recently for Peru, Poland, Egypt, and Nigeria. We show...