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Research

Working papers:

 

+ This material is based upon work supported by the Fondation Banque de France.

* * This  material is based upon work supported by the European Research Council grant number 210584 on "Countries' external balance sheets, dynamics of international adjustment and capital flows"

 

Papers:

                       - One TV, One Price?,  Scandinavian Journal of Economics, 2010,  112: 753–781, special issue on wage and price dynamics  with Jean Imbs, Haroon Mumtaz and Morten Ravn. Formerly circulated as: Price Convergence: What’s on TV?
        We study television prices across European countries and regions. Quality as measured by observable characteristics of televisions accounts for a large share of the international dispersion in prices. Rich economies tend to consume higher-quality goods, but sizeable international price                 differentials exist even for identical televisions. The valuation of brands differs significantly across borders. We also discuss pass through.
                      · Home Bias at the Fund Level American Economic Review, 2008, 98:2, 333-338, with Harald Hau. CEPR DP 6721, NBER WP 14172.
         This paper presents new stylized facts on the distribution of the home bias at the fund level.

· International Financial Adjustment* Journal of Political Economy, Vol. 115 n.4, 2007 Copyright © 2007 The University of Chicago. All rights reserved, with Pierre-Olivier Gourinchas. CEPR DP 4923, NBER WP 11155.

We explore the implications of a country’s external constraint for the dynamics of net foreign assets, returns and exchange rates. Deteriorations in external accounts imply future trade surpluses (trade channel) or excess returns on the net foreign portfolio (valuation channel). Using a new dataset on US gross external positions, we find that stabilizing valuation effects contribute 27% of the cyclical external adjustment. Our approach has asset pricing implications: external imbalances predict net foreign portfolio returns one-quarter to two-years ahead and net export growth at longer horizons. The exchange rate is forecastable in and out-of-sample at one quarter and beyond.
TEACHING SLIDES
[Online Appendix: available here. Longer and more detailed working paper version available here]
[Data: Gross positions and total nominal returns by asset class, flows, NXA are available here.]
[Media coverage: Financial Times, Il Sole 24 Ore, Handelsblatt, Le Monde, Sabah, Reuters].

· From World Banker to World Venture Capitalist: The US External Adjustment and The Exorbitant Privilege*, in "G7 Current Account Imbalances: Sustainability and Adjustment", Richard Clarida, editor, The University of Chicago Press, 2007, pp11-55) with Pierre-Olivier Gourinchas.

We analyse the structure of US external assets and liabilities since 1952 and break-up the "exorbitant privilege" in a return effect and a composition effect. CEPR DP 5220, NBER WP 11563.

TEACHING SLIDES
[Data: Gross positions by asset class, flows, and total nominal implicit returns are available here.]
[Media coverage: Bloomberg]


* This material is based upon work supported by the National Science Foundation under Grant No. 0519217. Any opinions, findings and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation (NSF).


· Globalization and Emerging Markets: With or Without Crash? American Economic Review, vol 96, Number 5, December 2006, pp. 1631-1651(21) with Philippe Martin, CEPR DP 5165, NBER WP 11550.

This paper develops a theory of financial crisis based on the demand side of the economy. We analyze the impact of financial and trade globalizations on asset prices, investment and the possibility of self-fulfilling financial crashes. Financial and trade globalizations have different effects on asset prices, investment and income in the emerging market and in the industrialized country. Whereas trade globalization always has a positive effect on the emerging market, financial globalization may not, especially when trade costs are high. For intermediate levels of financial transaction costs and high levels of trade costs, pessimistic expectations can be self-fulfilling and may lead to a collapse in demand for goods and assets of the emerging market. Data Appendix. This is a very thoroughly revised version of CEPR DP 3378 and NBER WP 9288 . [Media coverage: Wall Street Journal].
TEACHING SLIDES

· Exchange Rates, Equity Prices and Capital Flows, Review of Financial Studies, Vol. 19 n.1, 2006. With Harald Hau.

We show strong theoretical and empirical links between equity and exchange rate markets. We discover the 'uncovered equity parity' relation. This is a revised version of CEPR DP 3735 and NBER WP 9398. For the data set, click here.
TEACHING SLIDES

· PPP Strikes Back: Aggregation and the Real Exchange Rate, Quarterly Journal of Economics, Vol. CXX, Issue 1, pp.1-43. February 2005. with Jean Imbs, Haroon Mumtaz and Morten Ravn.

Heterogeneity in the dynamics of sectoral prices explains why aggregate price indices mean-revert slowly. When we account for this heterogeinity, the PPP puzzle is no more.

TEACHING SLIDES
Our paper has generated quite a debate. Get a summary here [Posted 11 October 2003: includes our email correspondence with Charles Engel between December 2002 and June 2003]. Here is our reply to Chen and Engel (April 2004).
For the data set, click here.
Previous December 2002 incarnation in NBER WP 9372, CEPR DP3715, IMF 03/68.

· The Determinants of Cross Border Equity Flows, Journal of International Economics, Volume 65, Issue 2, pp. 269-296, March 2005. with Richard Portes.

We show that the gravity model describes very well the pattern of international trade in assets. We link this result to information and familiarity effects.

TEACHING SLIDES
This is a revised version of CEPR DP 2225 and NBER WP 7336. Additional appendix with more robustness checks. For the data set, click here. Media Coverage [Newsweek].

· Financial Super-Markets: Size Matters for Asset Trade, Journal of International Economics, Volume 64, Issue 2, December 2004, 335-361 with Philippe Martin.

We study the effect of market segmentation and size of financial areas on stock market development and asset prices.

TEACHING SLIDES
This is a revised version of CEPR DP 2232 and NBER WP 8476.

· Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?, American Economic Review P&P, Volume 94, No. 2, May 2004, 126-133.

We study the links between equity and exchange rate markets using a VAR with sign restrictions. A longer version is available as NBER WP 10476. With Harald Hau.

· Non-Linearities and Real Exchange Rates Dynamics, Journal of the European Economic Association, 1 (2-3), April May 2003, 639-649.

We present evidence on non-linear adjustment for sectoral real exchange rates and link our results to economic characteristics. with Jean Imbs, Haroon Mumtaz and Morten Ravn.

· International Trade and Currency Exchange, Review of Economic Studies, 68 (2), April 2001, 443-464.

I show how network externalities and the pattern of international trade determine the internationalisation of currencies. Previous incarnation CEPR DP 2226.

· Financial Integration and Asset Returns, European Economic Review, 44 (7), ISOM, June 2000, 1327-1350.

We study the effect of financial integration and currency union on the location of stock exchanges and on welfare. With Philippe Martin. Previous incarnation CEPR DP 2282.

· Information and Capital Flows: The Determinants of Transactions in Financial Assets, European Economic Review, 45 (4-6), 783-96, 2001.

Information asymmetries are key to determine the geographical pattern of asset trade. And corporate, government bonds and equities all have different information content. With Richard Portes and Yonghyup Oh. Reprinted in Edward Elgar: 'The International Library of Critical Writings in Economics', International Financial Integration , S. Eijffinger and J. Lemmen eds. For the data set, click here.

· The Emergence of the Euro as an International Currency, Economic Policy, Volume 26, April 1998, pp. 305-343.

We spell out the factors influencing the competition between the euro and the dollar and discuss different scenarios. With Richard Portes. [Media Coverage: New York Times, Financial Times, The Economist, The Independent]

· The Euro and World Equity Flows, Journal of the Japanese and International Economies 12, December 1998, pp. 406-423.

What is the share of euro financial flows in the world. With Richard Portes.

· A Portfolio Approach for a Cross-Sectoral and Cross-National Investment Strategy in Transition Economies, Economics of Transition, Volume 5 (1), 63-96, 1997. With Willem Buiter and Ricardo Lago. Previously CEPR DP 1548.

Policy Papers:

             Quelle Reforme pour le Systeme Monetaire International? with Pierre Olivier Gourinchas and Emmanuel Farhi, January 2011.

Written comments:

Comments on "Financial Markets and the Approach of World Wars" by Niall Ferguson, Brookings Papers in Economic Activity, 2008.
Comments on Rethinking Multiple Equilibria in Macroeconomic Modelling by Morris and Shin, NBER Macro Annuals, 2000.

Comments on International Investors, the US Current Account and the Dollar by Blanchard, Giavazzi and Sa, Brookings Papers in Economic Activity, 2005.

Comments on Financial Dollarisation: Evaluating the Consequences by Eduardo Levy-Yeyati, Economic Policy, 2005.

Comments on The Geneva Report on the World Economy, by Genberg, McCauley, Park and Persaud, CEPR and ICMBS 2005.

Other publications & lectures

· Articles in voxeu.org: International Portfolio Investment under the Microscope, with Harald Hau, 2008.
- Public lecture on Financial Globalization given in Paris (in French) on July 21rst at the Université de Tous les Savoirs. Text published in: 'Qu'est-ce que la globalisation?', Université de Tous les Savoirs, sous la direction d'Yves Michaud, Editions Odile Jacob, 2004.

Public lecture also available on the web site of

 

· The Impact of a Five Year Old Euro on Financial Markets, in "The Euro at Five: Ready for a Global Role", Institute of International Economics, Washington, Adam Posen, editor, April 2005.

· La France et ses Economistes, in "Regards sur la France", Ed. par Karim Bitar et Robert Fadel, Avril 2007, Seuil.

Teaching

Chroniques dans Les Echos

                        Octobre 2007, Novembre 2007, Decembre 2007
                        Janvier 2008, Mars 2008, Avril 2008, Mai 2008, Juillet 2008, Octobre 2008,  Novembre 2008, Decembre 2008
                        Janvier 2009, Fevrier 2009, Mars 2009, Avril 2009, Mai 2009, Juillet 2009, Octobre 2009, Novembre 2009
                        Janvier 2010, Fevrier 2010, Mars 2010, Avril 2010, Mai 2010, Juin 2010, Octobre 2010,  Decembre 2010
                        Janvier 2011  Fevrier 2011

<>                            Interesting Websites

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-I am a member of the advisory board of  INET : Institute for New Economic Thinking
· Canal Educatif à la demande


 
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