Reuven Glick, Group Vice President, Federal Reserve Bank of San Francisco

Reuven Glick

Group Vice President

International Research

International trade and finance, Monetary policy, Pacific Basin economies

Reuven.Glick (at)

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Profiles: Google Scholar | RePEc

Working Papers
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The Effects of Unconventional and Conventional U.S. Monetary Policy on the Dollar

2013-11 | With Leduc | May 2013

abstract (+)
We examine the effects of unconventional and conventional monetary policy announcements on the value of the dollar using high-frequency intraday data. Identifying monetary policy surprises from changes in interest rate futures prices in narrow windows around policy announcements, we find that surprise easings in monetary policy since the crisis began have had significant effects on the value of the dollar. We document that these changes are comparable to the effects of conventional policy changes prior to the crisis.
Published Articles (Refereed Journals and Volumes)
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Replicating and Projecting the Path of COVID-19 with a Model-Implied Reproduction Number

Infectious Disease Modelling 5, 2020, 635-651 | With Buckman, Lansing, Petrosky-Nadeau, and Seitelman

abstract (+)
We demonstrate a methodology for replicating and projecting the path of COVID-19 using a simple epidemiology model. We fit the model to daily data on the number of infected cases in China, Italy, the United States, and Brazil. These four countries can be viewed as representing different stages, from later to earlier, of a COVID-19 epidemic cycle. We solve for a model-implied effective reproduction number Rt each day so that the model closely replicates the daily number of currently infected cases in each country. For out-of-sample projections, we fit a behavioral function to the in-sample data that allows for the endogenous response of Rt to movements in the lagged number of infected cases. We show that declines in measures of population mobility tend to precede declines in the model-implied reproduction numbers for each country. This pattern suggests that mandatory and voluntary stay-at-home behavior and social distancing during the early stages of the epidemic worked to reduce the effective reproduction number and mitigate the spread of COVID-19.
R* and the Global Economy

Journal of International Money and Finance 105, April 2020

abstract (+)
This paper provides a synthesis of explanations for why the natural rate of interest, r*, has fallen over the last several decades. Demographic factors, declining productivity, slower output growth, and increasing inequality likely all have been important factors. Perhaps less recognized is the role of increasing global demand for safe assets, particularly by foreign investors. Suggestive empirical evidence is presented showing that foreign demand for U.S. safe assets, particularly government-provided assets, has increased dramatically, and may now be playing a much larger role in the determination of U.S. interest rates than in the past. In addition, the buildup before the 2007–2009 financial crisis of quasi-government and privately-supplied safe assets, held by both domestic and foreign investors, rendered the financial system more vulnerable to shocks that adversely affected the perceived degree of “safeness” they provided.
Unconventional Monetary Policy and the Dollar: Conventional Signs, Unconventional Magnitudes

International Journal of Central Banking 14(5), December 2018, 103-152 | With Leduc

abstract (+)
We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in interest rate future prices in narrow windows around policy announcements, we find that monetary policy surprises since the Federal Reserve lowered its policy rate to the effective lower bound have had larger effects on the value of the dollar. In particular, we document that the impact on the dollar has been roughly three to four times that following conventional policy changes prior to the 2007-08 financial crisis.
Currency Unions and Regional Trade Agreements: EMU and EU Effects of Trade

Comparative Economic Studies 59(2), June 2017, 194-209

abstract (+)
The effects of the European Economic and Monetary Union (EMU) and European Union (EU) on trade are separately estimated using an empirical gravity model. Employing a panel approach with both time-varying country and dyadic fixed effects on a large span of data (across both countries and time), it is found that EMU and EU each significantly boosted exports. EMU expanded European trade by 40% for the original members, while the EU increased trade by almost 70%. Newer members have experienced even higher trade as a result of joining the EU, but more time is necessary to see the effects of their joining EMU.
Conditional PPP and Real Exchange Rate Convergence in the Euro Area

Journal of International Money and Finance 73, May 2017, 78-92 | With Bergin and Wu

abstract (+)
While economic theory highlights the usefulness of flexible exchange rates in promoting adjustment in international relative prices, flexible exchange rates also can be a source of destabilizing shocks. We find that when countries joining the euro currency union abandoned their national exchange rates, the adjustment of real exchange rates toward their long-run equilibrium surprisingly became faster. To investigate, we distinguish between differing rates of purchasing power parity (PPP) convergence conditional on alternative shocks, which we refer to as “conditional PPP.” We find that the loss of the exchange rate as an adjustment mechanism after the introduction of the euro was more than compensated by the elimination of the exchange rate as a source of shocks, in combination with faster adjustment in national prices. These findings support claims that flexible exchange rates are not necessary to promote long-run international relative price adjustment.
Currency Unions and Trade: A Post-EMU Reassessment

European Economic Review 87, August 2016, 78-91 | With Rose

abstract (+)
In our European Economic Review (2002) paper, we used pre-1998 data on countries participating in and leaving currency unions to estimate the effect of currency unions on trade using (then-) conventional gravity models. In this paper, we use a variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which includes the European Economic and Monetary Union (EMU). We have three findings. First, our assumption of symmetry between the effects of entering and leaving a currency union seems reasonable in the data. Second, our preferred methodology indicates that EMU has boosted exports by around 50%. While other estimation techniques yield different results, a panel approach with both time-varying country and dyadic fixed effects on a large span of data (across both countries and time) seems to deliver insensitive and reliable results. Third, different currency unions have different trade effects.
Mussa Redux and Conditional PPP

Journal of Monetary Economics 68, November 2014, 101-114 | With Bergin and Wu

abstract (+)
The extreme persistence of real exchange rates found commonly in post-Bretton Woods data does not hold in the preceding fixed exchange rate period, when the half-life was roughly half as large in our sample. This finding supports sticky price models as an explanation for real exchange rate behavior, extending the classic argument of Mussa (1986) from a focus on short-run volatility to long-run dynamics. Two thirds of the rise in real exchange rate variance observed across exchange rate regimes is attributable to greater persistence of responses to shocks, including greater price stickiness, rather than to greater variance of shocks themselves.
Asset Class Diversification and Delegation of Responsibilities between Central Banks and Sovereign Wealth Funds

International Journal of Central Banking 10(3), September 2014, 129-161 | With Aizenman

abstract (+)
This paper presents a model comparing the degree of asset class diversification abroad by a central bank and a sovereign wealth fund. We show that if the central bank manages its foreign asset holdings in order to meet balance of payments needs, particularly in reducing the probability of sudden stops in foreign capital inflows, it will place a high weight on holding safer foreign assets. In contrast, if the sovereign wealth fund, acting on behalf of the Treasury, maximizes the expected utility of a representative domestic agent, it will opt for relatively greater holding of more risky foreign assets. We also show how the diversification differences between the strategies of the bank and sovereign wealth fund are affected by the government’s delegation of responsibilities and by various parameters of the economy, such as the volatility of equity returns and the total amount of public foreign assets available for management.
China’s Financial Linkages with Asia and the Global Financial Crisis

Journal of International Money and Finance 39, December 2013, 186-206 | With Hutchison

abstract (+)
This paper presents empirical evidence on asset market linkages between China and Asia and how these linkages have shifted during and after the global financial crisis of 2008-2009. We find only weak cross-country linkages in longer-term interest rates, but much stronger linkages in equity markets. This finding is consistent with the greater development and liberalization of equity markets relative to bond markets in China, as well as increasing business and trade linkages in the region. We also find that the strength of the correlation of equity prices changes between China and other Asia countries increased markedly during the crisis and has remained high in recent years. We attribute this development to greater “attentiveness” of international investors to China’s role as a source and destination of equity finance during the crisis rather than to any greater financial deepening and liberalization, as China did not implement any major policy measures during this period. By contrast, the transmission of U.S. equity returns to Asian countries decreased after the crisis.
The Micro-Macro Disconnect of Purchasing Power Parity

Review of Economics and Statistics 95(3), May 2013, 798-812 | With Bergin and Wu

abstract (+)
This paper reconciles the persistence of aggregate real exchange rates with the faster adjustment of international relative prices in microeconomic data. Adjustment to purchasing power parity deviations in aggregated data is not just a slower version of adjustment to the law of one price in microeconomic data, as arbitrage occurs in different markets, in response to distinct macroeconomic and microeconomic shocks. When half-lives are estimated conditional on macro shocks, micro relative prices exhibit just as much persistence as aggregate real exchange rates. These results challenge theories of real exchange rate persistence based on sticky prices and on heterogeneity across goods.
China’s Financial Openness and Asset Return Linkages in East Asia

In The Oxford Handbook of the Economics of the Pacific Rim, Ch. 25, ed. by Inderjit Kaur and Nirvikar Singh | Oxford: Oxford University Press, 2013 | With Hutchison

Central Bank Announcements of Asset Purchases and the Impact on Global Financial and Commodity Markets

Journal of International Money and Finance 31(8), December 2012, 2078-2101 | With Leduc

abstract (+)
We present evidence on the effects of large-scale asset purchases by the Federal Reserve and the Bank of England since 2008. We show that announcements about these purchases led to lower long-term interest rates and depreciations of the U.S. dollar and the British pound on announcement days, while commodity prices generally declined despite this more stimulative financial environment. We suggest that LSAP announcements likely involved signaling effects about future growth that led investors to downgrade their U.S. growth forecasts lowering long-term U.S. yields, depreciating the value of the U.S. dollar, and triggering a decline in commodity prices. Moreover, our analysis illustrates the importance of controlling for market expectations when assessing these effects. We find that positive U.S. monetary surprises led to declines in commodity prices, even as long-term interest rates fell and the U.S. dollar depreciated. In contrast, on days of negative U.S. monetary surprises, i.e. when markets evidently believed that monetary policy was less stimulatory than expected, long-term yields, the value of the dollar, and commodity prices all tended to increase.
The Illusive Quest: Do International Capital Controls Contribute to Currency Stability?

International Review of Economics and Finance 20(1), January 2011, 59-70 | With Hutchison

abstract (+)
We investigate the effectiveness of capital controls in insulating economies from currency crises, focusing in particular on both direct and indirect effects of capital controls and how these relationships may have changed over time in response to global financial liberalization and the greater mobility of international capital. We predict the likelihood of currency crises using standard macroeconomic variables and a probit equation estimation methodology with random effects. We employ a comprehensive panel data set comprised of 69 emerging market and developing economies over 1975-2004. Both standard and duration-adjusted measures of capital control intensity (allowing controls to “depreciate” over time) suggest that capital controls have not effectively insulated economies from currency crises at any time during our sample period. Maintaining real GDP growth and limiting real overvaluation are critical factors preventing currency crises, not capital controls. However, the presence of capital controls greatly increases the sensitivity of currency crises to changes in real GDP growth and real exchange rate overvaluation, making countries more vulnerable to changes in fundamentals. Our model suggests that emerging markets weathered the 2007-2008 crisis relatively well because of strong output growth and exchange rate flexibility that limited overvaluation of their currencies.
Collateral Damage: Trade Disruption and the Economic Impact of War

The Review of Economics and Statistics 92(1), February 2010, 102-127 | With Taylor

abstract (+)
Conventional wisdom in economic history suggests that conflict between countries can be enormously disruptive of economic activity, especially international trade. We study the effects of war on bilateral trade with available data extending back to 1870. Using the gravity model, we estimate the contemporaneous and lagged effects of wars on the trade of belligerent nations and neutrals, controlling for other determinants of trade, as well as the possible effects of reverse causality. We find large and persistent impacts of wars on trade, national income, and global economic welfare. We also conduct a general equilibrium comparative statics exercise that indicates costs associated with lost trade might be at least as large as the conventionally measured direct costs of war, such as lost human capital, as illustrated by case studies of World Wars I and II.
Endogenous Tradability and Some Macroeconomic Implications

Journal of Monetary Economics 56(8), November 2009, 1086-1095 | With Bergin

abstract (+)
While nontraded goods play an important role in many open economy macroeconomic models, these models have difficulty explaining the low volatility in the relative price of nontraded goods. In contrast to macroeconomic convention, this paper argues that the share of nontraded goods is endogenous, a time-varying product of macroeconomic shocks and trade costs that are heterogeneous across goods. A simple open economy model demonstrates that trade cost heterogeneity and a time varying margin of tradedness dramatically reduces the volatility of nontraded prices. This also reduces the ability of real exchange rate adjustments to dampen current account imbalances.
Sterilization, Monetary Policy, and Global Financial Integration

Review of International Economics 17(4), September 2009, 777-801 | With Aizenman

abstract (+)
This paper investigates the changing pattern and efficacy of sterilization within emerging market countries as they liberalize markets and integrate with the world economy. We estimate the marginal propensity to sterilize foreign asset accumulation associated with net balance of payments inflows, across countries, and over time. We find that the extent of sterilization of foreign reserve inflows has risen in recent years to varying degrees in Asia as well as in Latin America, consistent with greater concerns about the potential inflationary impact of reserve inflows. We also find that sterilization depends on the composition of balance of payments inflows.
Navigating the Trilemma: Capital Flows and Monetary Policy in China

Journal of Asian Economics 20(3), May 2009, 205-224 | With Hutchison

abstract (+)
In recent years China has faced an increasing trilemma–how to pursue an independent domestic monetary policy and limit exchange rate flexibility, while at the same time facing large and growing international capital flows. This paper analyzes the impact of the trilemma on China’s monetary policy as the country liberalizes its goods and financial markets and integrates with the world economy. It shows how China has sought to insulate its reserve money from the effects of balance of payments inflows by sterilizing through the issuance of central bank liabilities. However, we report empirical results indicating that sterilization dropped precipitously in 2006 in the face of the ongoing massive buildup of international reserves, leading to a surge in reserve money growth. We estimate a vector error correction model linking the surge in China’s reserve money to broad money, real GDP, and the price level. We use this model to explore the inflationary implications of different policy scenarios. Under a scenario of continued rapid reserve money growth (consistent with limited sterilization of foreign exchange reserve accumulation) and strong economic growth, the model predicts a rapid increase in inflation. A model simulation using an extension of the framework that incorporates recent increases in bank reserve requirements also implies a rapid rise in inflation. By contrast, model simulations incorporating a sharp slowdown in economic growth such as that seen in late 2008 and 2009 lead to less inflation pressure even with a substantial buildup in international reserves.
Sovereign Wealth Funds: Stylized Facts about their Determinants and Governance

International Finance 12(3), Winter 2009, 351-386 | With Aizenman

abstract (+)
Concerns about the implications of foreign investments by sovereign wealth funds (SWFs) stem in large part from apprehensions about the objectives and governance quality of these institutions. This paper contributes to better understanding of the stylized facts of sovereign wealth funds by providing statistical analysis of a range of characteristics of SWFs, including the motivation for their establishment as well as their size, governance, and effect on reserve management behavior. Specifically, it estimates what factors foster the establishment of SWFs as well as affect their size. It also investigates the extent to which the governance and transparency of individual SWFs correlate with domestic and global governance practices. Lastly, it analyzes how asset accumulation by SWFs may affect central bank holdings of official reserves.
Pegged Exchange Rate Regimes–A Trap?

Journal of Money, Credit, and Banking 40(4), June 2008, 817-835 | With Aizenman

abstract (+)
We analyze the role of an exchange rate peg as a commitment mechanism to achieve inflation stability when multiple equilibria are possible. We show that there are ex ante large gains from choosing a more conservative regime not only in order to mitigate inflation bias from time inconsistency but also to avoid high inflation equilibria. In these circumstances, using a pegged exchange rate as an anti-inflation commitment device can create a “trap” whereby the regime initially confers gains in anti-inflation credibility but ultimately results in an exit occasioned by a big enough adverse real shock that creates large welfare losses to the economy.
A Model of Endogenous Nontradability and its Implications for the Current Account

Review of International Economics 15(5), November 2007, 916-931 | With Bergin

abstract (+)
This paper studies how nontraded goods limit the ability of a country to finance current account deficits. It uses an intertemporal model of the current account for a small open economy where goods are endogenously nontraded due to explicit trade costs. The economy has an endowment of two goods with differing trade costs, either of which can be traded or nontraded in equilibrium. The model implies that current account deficits impose a cost, in the form of raising the effective interest rate in the country. The findings differ from some recent studies: first, in that the interest rate rises even for countries with modest current account deficits; secondly, the interest rate cost eventually reaches an upper bound as current account deficits grow, and progressively more nontraded goods become traded to service the debt. Panel regression analysis of interest rate and current account data are consistent with our conclusions.
Tradability, Productivity, and International Economic Integration

Journal of International Economics 73(1), September 2007, 128-151 | With Bergin

abstract (+)
This paper develops a model of endogenously tradable goods to study the implications of international integration for price dispersion and pricing to market. A distinctive feature of the model is heterogeneity in both trade costs and productivity. The model highlights the role of heterogeneity in shaping how new entrants at the extensive margin differ from incumbent traders, thereby giving extensive margin movements distinctive implications relative to the intensive margin. In particular, the model predicts that international integration mainly along the extensive margin should be associated with a more limited degree of price convergence. This prediction finds support in cross-sectional regressions on European data and offers insight into recent integration episodes.
Global Price Dispersion: Are Prices Converging or Diverging?

Journal of International Money and Finance 26(5) , September 2007, 703-729 | With Bergin

abstract (+)
This paper documents significant time-variation in the degree of global price convergence over the last two decades. In particular, there appears to be a general U-shaped pattern with price dispersion first falling and then rising in recent years, a pattern which is remarkably robust across country groupings and commodity groups. This time-variation is difficult to explain in terms of the standard gravity equation variables common in the literature, as these tend not to vary much over time or have not risen in recent years. However, regression analysis indicates that this time-varying pattern coincides well with oil price fluctuations, which are clearly time-varying and have risen substantially since the late 1990s. As a result, this paper offers new evidence on the role of transportation costs in driving international price dispersion.
Currency Crises, Capital Account Liberalization, and Selection Bias

Review of Economics and Statistics 88(4), November 2006, 698-714 | With Guo and Hutchison

abstract (+)
Are countries with unregulated capital flows more vulnerable to currency crises? Efforts to answer this question properly must control for self-selection bias, because countries with liberalized capital accounts may also have sounder economic policies and institutions that make them less likely to experience crises. We employ a matching and propensity-score methodology to address this issue in a panel analysis of developing countries. Our results suggest that, after controlling for sample selection bias, countries with liberalized capital accounts experience a lower likelihood of currency crises.
Productivity, Tradability, and the Long-Run Price Puzzle

Journal of Monetary Economics 53(8), November 2006, 2041-2066 | With Bergin and Taylor

abstract (+)
Long-run cross-country price data exhibit a puzzle. Today, richer countries exhibit higher price levels than poorer countries, a stylized fact usually attributed to the Balassa-Samuelson (BS) effect. But looking back 50 years, this effect virtually disappears from the data. What is often assumed to be a universal property is actually quite specific to recent times, emerging a half century ago and growing steadily over time. What might potentially explain this historical pattern? We develop an updated BS model inspired by recent developments in trade theory, where a continuum of goods are differentiated by productivity, and where tradability is endogenously determined. Firms experiencing productivity gains are more likely to become tradable and crowd out firms not experiencing productivity gains. As a result the usual BS assumption–that productivity gains be concentrated in the traded goods sector–emerges endogenously, and the BS effect on relative price levels likewise evolves gradually over time.
Military Expenditure, Threats, and Growth

Journal of International Trade and Economic Development 15(2), June 2006, 129-155 | With Aizenman

abstract (+)
This paper clarifies one of the puzzling results of the economic growth literature: the impact of military expenditure is frequently found to be nonsignificant or negative, yet most countries spend a large fraction of their GDP on defense and the military. We start by empirical evaluation of the nonlinear interactions between military expenditure, external threats, corruption, and other relevant controls. While growth falls with higher levels of military spending, given the values of the other independent variables, we show that military expenditure in the presence of threats increases growth. We explain the presence of these nonlinearities in an extended version of Barro and Sala-i-Martin (1995), allowing the dependence of growth on the severity of external threats, and on the effective military expenditure associated with these threats.
Capital Controls and Exchange Rate Instability in Developing Countries

Journal of International Money and Finance 24(3), April 2005, 387-412 | With Hutchison

abstract (+)
A large literature on the appropriate sequencing of financial liberalization suggests that removing capital controls prematurely may contribute to currency instability. This paper investigates whether legal restrictions on international capital flows are associated with greater currency stability. We employ a comprehensive panel data set of 69 developing economies over the 1975-1997 period, identifying 160 currency crises. We control for macroeconomic, political, and institutional characteristics that influence the probability of a currency crisis, employ alternative measures of restrictions on international payments, and account for possible joint causality between the likelihood of a currency attack and the imposition of capital controls. We find evidence that restrictions on capital flows do not effectively insulate economies from currency problems; rather, countries with less restrictive capital controls and more liberalized regimes appear to be less prone to speculative attacks.
Does a Currency Union Affect Trade? The Time Series Evidence

European Economic Review 46(6), June 2002, 1125-1151 | With Rose

abstract (+)
Does leaving a currency union reduce international trade? We answer this question using a large annual panel data set covering 217 countries from 1948 through 1997. During this sample a large number of countries left currency unions; they experienced economically and statistically significant declines in bilateral trade after accounting for other factors. Assuming symmetry, we estimate that a pair of countries that starts to use a common currency experiences a near doubling in bilateral trade.
Is Money Still Useful for Policy in East Asia?

In Inflation Targeting: Theories, Empirical Models, and Implementation in Pacific Basin Economies, Proceedings of 14th Pacific Basin Central Bank Conference | Bank of Korea, 2002 | With Moreno

abstract (+)
Since the East Asian crises of 1997, a number of East Asian economies have allowed greater exchange rate flexibility and abandoned monetary targets in favor of inflation targeting, apparently because the perceived usefulness of money as a predictor of inflation (i.e., the information content of money) has fallen. In this paper, we discuss factors that are likely to have influenced the stability of the relationship between money and inflation, particularly in the 1990s, and then assess this relationship in a set of East Asian economies. We focus on (1) the stability of the behavior of the velocity of money; (2) the ability of money growth to predict inflation as measured by tests of Granger causality, and (3) the contribution of money to the variance of the forecast error of inflation. We find evidence that, with a few exceptions in which capital flows were particularly large, velocity remained generally stable, as did the relationship between money growth and inflation. However, the contribution of money to inflation forecast errors fell considerably in the 1990s, reducing its value as an information variable to monetary authorities.
Fixed versus Flexible Exchange Rates: Is It Possible to Manage in the Middle?

In Financial Markets and Policies in East Asia, ed. by de Brouwer | New York: Routledge Press, 2001

abstract (+)
This paper reviews the theoretical and empirical basis for the view that intermediate (“soft”) exchange rate regimes have become increasingly less feasible. It shows that the proportion of countries with hard currency pegs or flexible exchange rates has increased over time, and that the countries remaining in the “shrinking middle” typically must restrict capital movements. The paper also assesses the feasibility of alternative exchange rate arrangements for the developing countries of East Asia. This paper was presented to the conference on “Financial Markets and Policies in East Asia” at the Australian National University, Canberra, September 4-5, 2000.
Financial Crises in Emerging Markets: An Introductory Overview

In Financial Crises in Emerging Markets, ed. by Glick, Moreno, and Spiegel | New York: Cambridge University Press, 2001. 1-34 | With Moreno and Spiegel

Banking and Currency Crises: How Common Are Twins?

In Financial Crises in Emerging Markets, ed. by Glick, Moreno, and Spiegel | New York: Cambridge University Press, 2001 | With Hutchison

abstract (+)
The coincidence of banking and currency crises associated with the Asian financial crisis has drawn renewed attention to causal and common factors linking the two phenomena. In this paper, we analyze the incidence and underlying causes of banking and currency crises in 90 industrial and developing countries over the 1975-1997 period. We measure the individual and joint (“twin”) occurrence of bank and currency crises and assess the extent to which each type of crisis provides information about the likelihood of the other. We find that the twin crisis phenomenon is most common in financially liberalized emerging markets. The strong contemporaneous correlation between currency and bank crises in emerging markets is robust, even after controlling for a host of macroeconomic and financial structure variables and possible simultaneity bias. We also find that the occurrence of banking crises provides a good leading indicator of currency crises in emerging markets. The converse does not hold, however, as currency crises are not a useful leading indicator of the onset of future banking crises. We conjecture that the openness of emerging markets to international capital flows, combined with a liberalized financial structure, make them particularly vulnerable to twin crises.
Foreign Reserve and Money Dynamics with Asset Portfolio Adjustment: International Evidence

Journal of International Financial Markets, Institutions, and Money 10(3-4), December 2000, 229-247 | With Hutchison

abstract (+)
In this paper we argue that more complete modeling of foreign exchange intervention and sterilization dynamics is necessary when there are adjustment costs to changing private portfolios and/or the central bank attempts to balance longer-run monetary control against short-term exchange rate objectives. We show that measured correlations between domestic credit and foreign asset changes, often interpreted as ‘sterilization coefficients,’ may be misleading because they vary with the pattern of disturbances as well as private agent and central bank behavior. We assess the empirical significance of this issue by estimating vector error correction models of the domestic and foreign asset components of the monetary base for Japan and Germany. In both countries, we find that that the impact of foreign exchange intervention on domestic credit falls markedly after several months, implying that the degree of sterilization decreases over time. However, the monetary base remained largely insulated as foreign asset positions were subsequently ‘unwound.’
Contagion and Trade: Why Are Currency Crises Regional?

Journal of International Money and Finance 18(4), August 1999 | With Rose

Money and Credit, Competitiveness, and Currency Crises in Asia and Latin America

In Monetary Policy and the Structure of the Current Account. Proceedings of 13th Pacific Basin Central Bank Conference | Mexico City: Bank of Mexico, 1999 | With Moreno

Origins of the Asian Financial Crisis: Impulses and Propagation Mechanisms

In The Asian Financial Crisis: Origins, Implications, and Solutions, ed. by Hunter, Kaufman, and Krueger | Boston: Kluwer Academic Publishers, 1999

Contagion and Trade: Explaining the Incidence and Intensity of Currency Crises

In The Asian Financial Crises: Causes, Contagion, and Consequences, ed. by Agenor, Miller, Vines, and Weber | New York: Cambridge University Press, 1999 | With Rose

Is Pegging the Exchange Rate a Cure for Inflation? East Asian Experiences

In Exchange Rate Policies for Emerging Market Economies, ed. by Sweeney, Wihlborg, and Willett | Westview Press, 1999 | With Moreno and Hutchison

Exchange Rate Regimes and International Trade

In International Trade and Finance: New Frontiers for Research, Essays in Honor of Peter B. Kenen, ed. by Cohen | New York: Cambridge University Press, 1997 | With Wihlborg

Real Exchange Rate Effects of Monetary Disturbances under Different Degrees of Exchange Rate Flexibility: An Empirical Analysis

Journal of International Economics 38(3-4), May 1995 | With Kretzmer and Wihlborg

Global versus Country-Specific Productivity Shocks and the Current Account

Journal of Monetary Economics 35(1), February 1995 | With Rogoff

Capital Flows and Monetary Policy in East Asia

In Monetary and Exchange Rate Management with International Capital Mobility: Experiences of Countries and Regions along the Pacific Rim. Proceedings of 11th Pacific Basin Central Bank Conference | Hong Kong: Hong Kong Monetary Authority, 1995 | With Moreno

Foreign Exchange Intervention and Sterilization Dynamics in Japan

In International Financial Markets in Northeast Asia: Assessments and Prospects, ed. by Nam and Pyo | Korea Development Institute and Institute of World Economy, 1994

Monetary Policy, Intervention, and Exchange Rates in Japan

In Exchange Rate Policy and Interdependence: Perspectives from the Pacific Basin, ed. by Glick and Hutchison | New York: Cambridge University Press, 1994 | With Hutchison

Fiscal Policy in Monetary Unions: Implications for Europe

Open Economies Review 4(1), January 1993 | With Hutchison

Fiscal Constraints and Incentives with Monetary Coordination: Implications for Europe 1992

In Financial Regulation and Monetary Arrangements after 1992, ed. by Wihlborg, Fratianni, and Willett | Amsterdam: North-Holland, 1992 | With Hutchison

Equilibrium Adjustment with Endogenous Information and Inventories

International Economic Review, November 1991 | With Wihlborg

New Results in Support of the Fiscal Policy Ineffectiveness Proposition

Journal of Money, Credit, and Banking, August 1990 | With Hutchison

Real Exchange Rate Effects of Monetary Shocks under Fixed and Flexible Exchange Rates

Journal of International Economics, May 1990 | With Wihlborg

Financial Liberalization in the Pacific Basin: Implications for Real Interest Rate Linkages.

Journal of the Japanese and International Economies, March 1990 | With Hutchison

Does Exchange Rate Appreciation ‘Deindustrialize’ the Open Economy? A Critique of U.S. Evidence

Economic Inquiry, January 1990 | With Hutchison

Money Demand and Off-Balance-Sheet Liquidity: Empirical Analysis and Implications for Monetary Policy

Journal of Accounting, Auditing, and Finance, Spring 1989 | With Plaut

Financial Market Changes and Monetary Policy in Pacific Basin Countries

In Monetary Policy in Pacific Basin Countries, ed. by Cheng | Boston: Kluwer Academic Publishers, 1988

Monetary Policy Changes in Pacific Basin Countries

In Monetary Policy in Pacific Basin Countries, ed. by Cheng | Boston: Kluwer Academic Publishers, 1988 | With Cheng

The Role of Information Acquisition and Financial Markets in International Macroeconomic Adjustment

Journal of International Money and Finance, September 1986 | With Wihlborg

Market Neutrality Conditions and Valuation of a Foreign Affiliate

Journal of Business Finance and Accounting, Summer 1986

The Costs and Benefits of Foreign Borrowing: A Survey of Multi-Period Models

Journal of Development Studies, January 1986 | With Kharas

Economic Perspectives on Foreign Borrowing and Debt Repudiation: An Analytic Literature Review

In Monograph Series in Finance and Economics No. 4 | New York: Saloman Brothers Center for the Study of Financial Institutions, New York University, 1986

Optimal Borrowing and Investment with an Endogenous Lending Constraint

Journal of Banking and Finance, Studies in Banking and Finance 3, 1986 | With Kharas

Price and Output Adjustment, Inventory Flexibility, and Cost and Demand Disturbances

Canadian Journal of Economics, August 1985 | With Wihlborg

Price Determination in a Competitive Industry with Costly Information and a Production Lag

Rand Journal of Economics, Spring 1985 | With Wihlborg

The Geometry of Asset Adjustment with Adjustment Costs

Journal of Financial Research, Winter 1984

R&D Effort and U.S. Exports and Foreign Affiliate Production of Manufactures

Research Policy, Winter 1982

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Policy Challenges in a Diverging Global Economy: Proceedings of the 2015 Asia Economic Policy Conference

2016 | San Francisco: Federal Reserve Bank of San Francisco | Editors Glick Spiegel

Prospects for Asia and the Global Economy: Proceedings of the 2013 Asia Economic Policy Conference

2014 | San Francisco: Federal Reserve Bank of San Francisco | Editors Glick Spiegel

Asia’s Role in the Post-Crisis Global Economy: Proceedings of the 2011 Asia Economic Policy Conference

2012 | San Francisco: Federal Reserve Bank of San Francisco | Editors Glick Spiegel

Asia and the Global Financial Crisis: Proceedings of the 2009 Asia Economic Policy Conference

2010 | San Francisco: Federal Reserve Bank of San Francisco | Editors Glick Spiegel

Financial Crises in Emerging Markets

2001 | New York: Cambridge University Press | Editors Glick Moreno Spiegel

Managing Capital Flows and Exchange Rates: Perspectives from the Pacific Basin

1998 | New York: Cambridge University Press | Editor Glick

Exchange Rate Policy and Interdependence: Perspectives from the Pacific Basin

1994 | New York: Cambridge University Press | Editors Glick Hutchison

FRBSF Publications
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Do Households Expect Inflation When Commodities Surge?

Economic Letter 2021-19 | July 12, 2021 | With Kouchekinia, Leduc, and Liu

Disagreement about U.S. and Euro-Area Inflation Forecasts

Economic Letter 2021-08 | March 22, 2021 | With Kouchekinia

How Much Does the EMU Benefit Trade?

Economic Letter 2016-09 | March 21, 2016 | With Rose

What’s Different about the Latest Housing Boom

Economic Letter 2015-34 | November 16, 2015 | With Lansing and Molitor

Prospects for Asia and the Global Economy

Economic Letter 2014-26 | September 2, 2014 | With Spiegel

Unconventional Monetary Policy and the Dollar

Economic Letter 2013-09 | April 1, 2013 | With Leduc

Asia’s Role in the Post-Crisis Global Economy

Economic Letter 2012-24 | August 13, 2012 | With Spiegel

Are Large-Scale Asset Purchases Fueling the Rise in Commodity Prices?

Economic Letter 2011-10 | April 4, 2011 | With Leduc

Consumers and the Economy, Part I: Household Credit and Personal Saving

Economic Letter 2011-01 | January 10, 2011 | With Lansing

Asia and the Global Financial Crisis: Conference Summary

Economic Letter 2010-08 | March 15, 2010 | With Spiegel

Global Household Leverage, House Prices, and Consumption

Economic Letter 2010-01 | January 11, 2010 | With Lansing

U.S. Household Deleveraging and Future Consumption Growth

Economic Letter 2009-16 | May 15, 2009 | With Lansing

2008 Annual Pacific Basin Conference: Summary

Economic Letter 2009-10 | March 13, 2009

2007 Annual Pacific Basin Conference: Summary

Economic Letter 2008-03 | February 1, 2008

Sovereign Wealth Funds: Stumbling Blocks or Stepping Stones to Financial Globalization?

Economic Letter 2007-38 | December 14, 2007 | With Aizenman

Are Global Prices Converging or Diverging?

Economic Letter 2007-24 | August 10, 2007

2006 Annual Pacific Basin Conference: Summary

Economic Letter 2007-04 | February 9, 2007

External Imbalances and Adjustment in the Pacific Basin: Conference Summary

Economic Letter 2006-04 | March 10, 2006 | With Spiegel

The Bretton Woods System: Are We Experiencing a Revival? Symposium Summary

Economic Letter 2005-32 | November 25, 2005 | With Spiegel

Does Europe’s Path to Monetary Union Provide Lessons for East Asia?

Economic Letter 2005-19 | August 12, 2005

Emerging Markets and Macroeconomic Volatility: Conference Summary

Economic Letter 2005-03 | February 4, 2005 | With Valderrama

Financial Issues in the Pacific Basin Region: Conference Summary

Economic Letter 2002-38 | December 27, 2002

Country Crises and Corporate Failures: Lessons for Prevention and Management?

Economic Letter 2002-18 | June 14, 2002

Capital Controls and Exchange Rate Stability in Developing Countries

Economic Letter 2001-21 | July 20, 2001 | With Hutchison

Financial Crises in Emerging Markets

Economic Letter 2001-07 | March 23, 2001 | With Moreno and Spiegel

Other Works
Show this section
Conference Summary

Policy Challenges in a Diverging Global Economy: Proceedings of the 2015 Asia Economic Policy Conference, 2016 | With Spiegel

The Currency Union Effect on Trade: Redux

Vox.EU, 2015 | With Rose

abstract (+)
The Economic and Monetary Union in Europe has recently been the source of a lot of pain. Its economic benefits often seem a lot harder to measure. This column reconsiders earlier opinions on the trade effects of currency unions using the latest data and methodologies. It suggests the euro has at least a mildly stimulating effect on exports. However, the switches and reversals across methodologies do not make allowances for any bold statements.
Prospects for Asia and the Global Economy: Conference Summary

In Prospects for Asia and the Global Economy, ed. by Reuven Glick and Mark Spiegel | Federal Reserve Bank of San Francisco, 2014. 3-13 | With Spiegel

abstract (+)
This chapter highlights the principal issues raised at the 2013 Asia Economic Policy Conference on “Prospects for Asia and the Global Economy,” held at the Federal Reserve Bank of San Francisco on November 3-5, 2013
Models of Currency Crises

In The Evidence and Impact of Financial Globalization, Ch. 33, ed. by Gerard Caprio | London: Elsevier, 2012. 485-498 | With Hutchison

abstract (+)
A currency crisis is a speculative attack on the foreign exchange value of a currency, resulting in a sharp depreciation or forcing the authorities to sell foreign exchange reserves and raise domestic interest rates to defend the currency. This article discusses analytical models of the causes of currency and associated crises, presents basic measures of the incidence of crises, evaluates the accuracy of empirical models in predicting crises, and reviews work measuring the consequences of crises on the real economy. Currency crises have large measurable costs on the economy, but our ability to predict the timing and magnitude of crises is limited by our theoretical understanding of the complex interactions between macroeconomic fundamentals, investor expectations and government policy.
Fixed versus Flexible Exchange-Rate Regimes: Do They Matter for Real Exchange-Rate Persistence?

VoxEU, October 2012 | With Bergin

abstract (+)
For many observers, one central flaw of the Eurozone is that countries lose the ability to manipulate their exchange rates to suit their needs. But this article argues that flexible exchange rates are often more likely to make things worse than make things better.
Conference Summary

In Asia’s Role in the Post-Crisis Global Economy, ed. by R. Glick and M. Spiegel | San Francisco: Federal Reserve Bank of San Francisco, 2012. 3-15 | With Spiegel

The Emerging Market Architecture: What’s Old and What’s New?

Journal of International Money and Finance 29(4), June 2010, 599-602 | With Aizenman and Lothian

Conference Summary

In Asia and the Global Financial Crisis, ed. by R. Glick and M. Spiegel | San Francisco: Federal Reserve Bank of San Francisco, 2010. 3-9 | With Spiegel

Sovereign Wealth Funds, Governance, and Reserve Accumulation

VoxEU, January 2009 | With Aizenman

abstract (+)
This column provides evidence that there is great deal of difference between the governance standards of the economies in which sovereign wealth funds have been established and the standards of the industrial economies in which they are seeking to invest. It also discusses how the expansion of asset holdings of sovereign wealth funds may reduce official reserve holdings.
Macroeconomic Effects of International Trade

In The New Palgrave Dictionary of Economics, 2nd edition, ed. by Blume and Durlauf | Palgrave Macmillan, 2008

Comments on “Searching for Non-Monotonic Effects of Fiscal Policy: New Evidence” by Giavazzi, Jappelli, Pagano, and Benedetti

In Monetary and Economic Studies, Bank of Japan | October 2005, 2005

Discussion of “Assessing Currency Implications of Intra and Inter-Regional Shocks: Application to Australasia” by Grimes

Journal of Asian Economics 16(3), June 2005, 398-402

Book review: “Capital Flows and Crises” by Eichengreen

Journal of Asian Business, 2004

Book review: “Financial Liberalization: How Far, How Fast?” ed. by Caprio, Honohan, and Stiglitz

Journal of Economic Literature, September 2003

Book review: “Changes in Exchange Rates in Rapidly Developing Economies,” ed. by Ito and Krueger

Review of International Economics, May 2002

Book review: “International Financial Contagion,” ed. by Claessens and Forbes

Journal of Economic Literature, 2002

Comments on “Do Currency Regimes Matter in the 21st Century? An Overview” by Fujiki and Otani

Monetary and Economic Studies, Bank of Japan, 2002

A Regional Contagion

Risk Magazine, February 2000 | With Rose

Prospects for Asia

Briefing for the U.S. Trade Deficit Review Commission, November 1999

The East Asian Miracle: Growth Because of Government Intervention and Protectionism or in Spite of It?

Business Economics, April 1997 | With Moreno

Comment on “Financial Sector Opportunities for the Asia Pacific Region: The Case for Canadian Banks” by Dean

In The Asia Pacific Region in the Global Economy: A Canadian Perspective, ed. by Harris | Calgary: University of Calgary Press, 1996

Comment on “Is a Yen Bloc Emerging?” by Frankel and Wei

In Economic Cooperation and Challenges in the Pacific, Joint U.S.-Korea Academic Studies 5 | Korean Economic Institute, 1995

Book review: “Macroeconomic Theory and Stabilization Policy” by Buiter

Journal of International Economics, 1992

U.S. International Service Transactions: Their Structure and Growth

FRB New York Quarterly Review, Spring 1978