Imf Economic Review最新文献

Puerto Rico’s unique characteristics as a US territory allow us to examine the transmission of quasi-sovereign default risk to the real economy. Increased default probabilities predict a significant decline in monthly employment growth in government-demand-dependent industries. The relationship between increased default risk and declining employment growth further strengthens when the government undertakes austerity measures. In addition, fiscal austerity reduces output growth via a local fiscal multiplier effect. Overall, the paper presents evidence for a novel demand-driven transmission mechanism where sovereign default risk operates through austerity risk and government demand dependence.

The exchange rate elasticity of exports is often interpreted and estimated as an unconditional structural parameter in the literature. We show that this elasticity, in fact, varies across the structural shocks that generate movements in the exchange rate in the first place. We use a small-open-economy SVAR model, estimated with Canadian data, to derive estimates for the conditional exchange rate elasticity of exports (CEREE) for seven structural shocks used in the literature. Estimates for CEREEs vary in magnitude, sign, and significance across shocks. They are stronger for foreign shocks and weaker than expected by standard economic theory for domestic and exogenous exchange rate shocks. Recent developments from the dominant currency paradigm can potentially explain some, but not all, of our results. Our findings highlight the risk of treating the exchange rate elasticity as an unconditional structural relationship in forming expectations.

There is clear scientific evidence of the shift in the probability distribution of climate-related disasters in recent decades. Is this shift reflected in the behavior of forward-looking measures of economic activity such as real exchange rates? I evaluate the role of different belief formation assumptions on the ability of the model to predict the response of real exchange rates to climate-related disasters. I consider Bayesian and backward-looking belief updates as well as static beliefs with no update or a one-time update. To do so, I construct a version of the Farhi-Gabaix (2015) framework augmented with explicit belief formation. I use two approaches to model calibration and simulate the model for 47 countries for 1964–2019 using actual data for climate-related disasters. I find that in general differences in belief formation do not have much effect on the model fit because the productivity loss component dominates the predicted response. Specifically, I find that even in recent years there is no evidence of Bayesian beliefs being a better fit for the data.

Evidence suggests that sovereign defaults disrupt international trade. As a consequence, countries that are more open have more to lose from a sovereign default and are less inclined to renege on their debt. In turn, lenders should trust more open countries and charge them with lower interest rate. As a consequence of those lower rates, the country should also borrow more debt as it gets more open. This paper formalizes this idea in a sovereign debt model á la (Eaton and Gersovitz in Rev Econ Stud 48(2):289–309, 1981), proves these theoretical relations and quantifies them in a calibrated model. This paper also provides evidence suggesting a causal relationship between trade and debt, using gravitational instrumental variables from Feyrer (Am Econ J Appl Econ 11(4):1–35, 2019) as a source for exogenous variation in trade openness. The results suggest that, when imports-to-GDP ratio increases by 1%, debt-to-GDP ratio also increases by 1%, and default risks do not increase. These last results are consistent with the quantitative results from the calibrated model.

The past decade has seen a remarkable widening of global creditor and debtor positions in relation to world GDP, with the lion’s share of net external liabilities accounted for by the USA, and a surge in net global claims particularly in advanced Europe and smaller economies of advanced Asia. This has occurred despite a compression in global current account imbalances. This paper explores the factors underpinning these developments, highlighting the role of the US asset price boom and dollar appreciation in widening the net US debtor position, and examines how, where, and to what extent those valuation gains are reflected in other countries’ external accounts. It also looks at the economic and structural factors explaining the emergence of new large international creditors, highlighting common features but also important country-specific factors.

In his papers during the lead up to the birth of the European Monetary Union, Obstfeld considered whether the countries forming the EMU were sufficiently similar to survive a single monetary policy—and more importantly, whether they had the capacity to adjust to asymmetric shocks given a single monetary and exchange rate policy. The convention at the time was to take the United States as the baseline for a smoothly functioning currency union. We expand on stylized facts in the literature to illustrate how stratification in local labor market outcomes appears far more persistent in later years than 3 decades ago in the context of what (Obstfeld and Peri in Econ Policy 13(26):205–259, 1998) call non-adjustment in unemployment rates. We then extend the currency union literature by adding an additional consideration: differences in regional cyclical sensitivity. Using measures of cyclicality and Obstfeld–Peri-type non-adjustment, we explore the characteristics of places that can get left behind when local labor markets respond differently to national shocks and discuss implications for policy.

We provide a systematic empirical analysis of short-term covered interest parity (CIP) deviations for a large set of emerging market (EM) currencies. EM CIP deviations tend to be wider and more volatile compared to most G10 currencies, and may move in an opposite direction compared to G10 currencies during global risk-off episodes. Motivated by theories of financial determinants of exchange rate, we show that while offshore EM CIP deviations are sensitive to changes in FX dealers’ risk-bearing capacities and global risk aversion, onshore CIP deviations are largely unresponsive in segmented FX markets. Meanwhile, the sensitivity of offshore CIP deviations to global factors for currencies with segmented FX markets is stronger compared to their counterparts with integrated FX markets. After accounting for global factors, we find weak evidence of country default risk and FX intervention affecting EM CIP deviations.

The COVID-19 pandemic led to a collapse in international travel and tourism in 2020. We explore how the impact of the pandemic relates to countries’ dependence on tourism revenues. We document the collapse of net revenues from international travel in tourism-dependent economies, and show that the share of tourism in GDP is the most important predictor of the pandemic-induced growth shortfall in 2020 across countries, even when compared to measures of pandemic severity. Countries more dependent on foreign tourism were affected particularly severely, including by lockdowns in the countries of origin of their tourists.

We study services imports by multinational groups from tax havens and investigate to what extent those imports may have profit shifting motives. Drawing on rich data covering the universe of multinational groups with a presence in Portugal, we show that despite a high statutory rate of the corporate income tax, in the presence of strict anti-avoidance rules and a patent box regime, multinational groups do not have an excess propensity to import intra-group services from tax havens. For the havens directly targeted by anti-tax planning policies, there is even a negative excess propensity to do so. Moreover, the value of intra-group services imports from most tax havens is not found to be excessive.

Forecasting multiple macroeconomic variables with accounting identity restrictions, also known as macroframework, is useful for presenting an internally consistent economic narrative and is widely used in policy institutions. Macroframework forecasting, however, is challenging. Forecasters often have information about only a subset of (known) variables, and in the absence of a systematic way to forecast the rest of the (unknown) variables, the task is resource-intensive and involves ad-hoc adjustments. We propose a novel 2-step method to forecast unknown variables conditional on known variables, which reflects historical correlations and satisfies accounting identities. The method offers (1) the flexibility to incorporate available information in known variables and (2) the convenience to automate the forecasting of unknown variables. Applying our method to forecast GDP subcomponents in an advanced and emerging market country, we show that it improves upon alternative forecasting techniques.