Reuven Glick - Profile on Academia.edu (original) (raw)
Papers by Reuven Glick
Australian Economic Papers, 2002
Exchange rates have been given increasing consideration in the conduct of monetary policy. This a... more Exchange rates have been given increasing consideration in the conduct of monetary policy. This article develops a model of the determination of the exchange rate, interest rate, price level, and level of output to derive the optimal response ofmonetary authorities to exchange rate movements. The relative magnitudes and persistence of disturbances, as well as the structure of the economy, are shown to play roles. Advocates ofusing monetary policy to maintain greater fixity of exchange rates view monetary shocks as the predominant source of disturbances to the economy.
Federal Reserve Bank of San Francisco, Working Paper Series, 2019
This paper provides a synthesis of explanations for why the natural rate of interest, r*, has fal... more 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.
European Economic Review
In our European Economic Review (2002) paper, we used pre-1998 data on countries participating in... more 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.
This paper clarifies one of the puzzling results of the economic growth literature: the impact of... more This paper clarifies one of the puzzling results of the economic growth literature: the impact of military expenditure is frequently found to be non-significant or negative, yet most countries spend a large fraction of their GDP on defense and the military. We start by empirical evaluation of the non-linear 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. JEL Classification: E62, F43, N10, O41, O47
This paper presents empirical evidence on asset market linkages between China and Asia and how th... more 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 contras...
Federal Reserve Bank of San Francisco, Working Paper Series
We demonstrate a methodology for replicating and projecting the path of COVID-19 using a simple e... more 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 R t 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 R t 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.
Federal Reserve Bank of San Francisco, Working Paper Series, Oct 28, 2016
The effects of the European Economic and Monetary Union (EMU) and European Union (EU) on trade ar... more 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.
Federal Reserve Bank of San Francisco, Working Paper Series
a Federal Reserve Bank of San Francisco b Bank of Canada We examine the effects of unconventional... more a Federal Reserve Bank of San Francisco b Bank of Canada 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.
2007 Annual Pacific Basin Conference: summary
Frbsf Economic Letter, 2008
This year's Pacific Basin conference brought together papers on a variety of internation... more This year's Pacific Basin conference brought together papers on a variety of international topics, including international pricing behavior and exchange rates, foreign reserve management, the efficacy of capital controls, Asian financial market integration, and developments in China. ; This Economic Letter summarizes the papers presented at the 2007 Annual Pacific Basin conference held at the Federal Reserve Bank of San Francisco on June 8-9, 2007, under the sponsorship of the Bank's Center for Pacific Basin Studies. The papers are listed at the end and are available online.
Is money still useful for policy in East Asia?
Since the East Asian crises of 1997, a number of East Asian economies have allowed greater exchan... more 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.
Off-balance-sheet liquidity and monetary control
Exchange rate policy and interdependence: perspectives from Pacific Basin countries : a conference sponsored by the Center for Pacific Basin Studies, Federal Reserve Bank of San Francisco, September 16-18, 1992
New results in support of the fiscal policy ineffectiveness proposition
ABSTRACT
Japanese capital flows in the 1980s
Economic Review, Feb 1, 1991
Real exchange rate effects of monetary shocks under fixed and flexible exchange rates: theory and cross-country evidence
ABSTRACT
Does a Currency Union A?ect Trade? The Time-Series Evidence
Cepr Discussion Papers, Aug 1, 1998
Currency crises tend to be regional; they affect countries in geographic proximity. This suggests... more Currency crises tend to be regional; they affect countries in geographic proximity. This suggests that patterns of international trade are important in understanding how currency crises spread, above and beyond any macroeconomic phenomena. We provide empirical support for this hypothesis. Using data for five different currency crises (in 1971, 1973, 1992, 1994, and 1997) we show that currency crises affect clusters of countries tied together by international trade. By way of contrast, macroeconomic and financial influences are not closely associated with the crosscountry incidence of speculative attacks. We also show that trade linkages help explain crosscountry correlations in exchange market pressure during crisis episodes, even after controlling for macroeconomic factors.
Australian Economic Papers, 2002
Exchange rates have been given increasing consideration in the conduct of monetary policy. This a... more Exchange rates have been given increasing consideration in the conduct of monetary policy. This article develops a model of the determination of the exchange rate, interest rate, price level, and level of output to derive the optimal response ofmonetary authorities to exchange rate movements. The relative magnitudes and persistence of disturbances, as well as the structure of the economy, are shown to play roles. Advocates ofusing monetary policy to maintain greater fixity of exchange rates view monetary shocks as the predominant source of disturbances to the economy.
Federal Reserve Bank of San Francisco, Working Paper Series, 2019
This paper provides a synthesis of explanations for why the natural rate of interest, r*, has fal... more 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.
European Economic Review
In our European Economic Review (2002) paper, we used pre-1998 data on countries participating in... more 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.
This paper clarifies one of the puzzling results of the economic growth literature: the impact of... more This paper clarifies one of the puzzling results of the economic growth literature: the impact of military expenditure is frequently found to be non-significant or negative, yet most countries spend a large fraction of their GDP on defense and the military. We start by empirical evaluation of the non-linear 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. JEL Classification: E62, F43, N10, O41, O47
This paper presents empirical evidence on asset market linkages between China and Asia and how th... more 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 contras...
Federal Reserve Bank of San Francisco, Working Paper Series
We demonstrate a methodology for replicating and projecting the path of COVID-19 using a simple e... more 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 R t 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 R t 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.
Federal Reserve Bank of San Francisco, Working Paper Series, Oct 28, 2016
The effects of the European Economic and Monetary Union (EMU) and European Union (EU) on trade ar... more 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.
Federal Reserve Bank of San Francisco, Working Paper Series
a Federal Reserve Bank of San Francisco b Bank of Canada We examine the effects of unconventional... more a Federal Reserve Bank of San Francisco b Bank of Canada 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.
2007 Annual Pacific Basin Conference: summary
Frbsf Economic Letter, 2008
This year's Pacific Basin conference brought together papers on a variety of internation... more This year's Pacific Basin conference brought together papers on a variety of international topics, including international pricing behavior and exchange rates, foreign reserve management, the efficacy of capital controls, Asian financial market integration, and developments in China. ; This Economic Letter summarizes the papers presented at the 2007 Annual Pacific Basin conference held at the Federal Reserve Bank of San Francisco on June 8-9, 2007, under the sponsorship of the Bank's Center for Pacific Basin Studies. The papers are listed at the end and are available online.
Is money still useful for policy in East Asia?
Since the East Asian crises of 1997, a number of East Asian economies have allowed greater exchan... more 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.
Off-balance-sheet liquidity and monetary control
Exchange rate policy and interdependence: perspectives from Pacific Basin countries : a conference sponsored by the Center for Pacific Basin Studies, Federal Reserve Bank of San Francisco, September 16-18, 1992
New results in support of the fiscal policy ineffectiveness proposition
ABSTRACT
Japanese capital flows in the 1980s
Economic Review, Feb 1, 1991
Real exchange rate effects of monetary shocks under fixed and flexible exchange rates: theory and cross-country evidence
ABSTRACT
Does a Currency Union A?ect Trade? The Time-Series Evidence
Cepr Discussion Papers, Aug 1, 1998
Currency crises tend to be regional; they affect countries in geographic proximity. This suggests... more Currency crises tend to be regional; they affect countries in geographic proximity. This suggests that patterns of international trade are important in understanding how currency crises spread, above and beyond any macroeconomic phenomena. We provide empirical support for this hypothesis. Using data for five different currency crises (in 1971, 1973, 1992, 1994, and 1997) we show that currency crises affect clusters of countries tied together by international trade. By way of contrast, macroeconomic and financial influences are not closely associated with the crosscountry incidence of speculative attacks. We also show that trade linkages help explain crosscountry correlations in exchange market pressure during crisis episodes, even after controlling for macroeconomic factors.