Browsing by Author "Eichenbaum, M"
Now showing items 1-9 of 9
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Carry trade: The gains of diversification
(Journal of the European Economic Association, 2008-04-01)Market participants routinely take advantage of the failure of uncovered interest rate parity to speculate in currency markets. Perhaps the most widely used currency speculation strategy is the carry trade. In this article ... -
Do peso problems explain the returns to the carry trade?
(Review of Financial Studies, 2011-03-01)We study the properties of the carry trade, a currency speculation strategy in which an investor borrows low-interest-rate currencies and lends high-interest-rate currencies. This strategy generates payoffs that are on average ... -
Factor-Hoarding and the Propagation of Business-Cycle Shocks
(American Economic Review, 1996-12-01)This paper analyzes the role of variable capital-utilization rates in propagating shocks over the business cycle. The model on which our analysis is based treats variable capital-utilization rates as a form of factor-hoarding. ... -
Fiscal shocks and their consequences
(Journal of Economic Theory, 2004-03-01)This paper investigates the response of hours worked and real wages to fiscal policy shocks in the post-World-War II US. We identify these shocks with exogenous changes in military purchases and argue that they lead to a ... -
Government finance in the wake of currency crises
(Journal of Monetary Economics, 2006-04-01)We address three questions: (i) Can classical models be reconciled with the fact that many crises are marked by high rates of depreciation and small increases in seignorage revenue? (ii) What are the implications of different ... -
Hedging and financial fragility in fixed exchange rate regimes
(European Economic Review, 2001-06-23)Currency crises that coincide with banking crises tend to share at least three elements. First, banks have a currency mismatch between their assets and liabilities. Second, banks do not completely hedge the associated exchange ... -
Labor hoarding and the business cycle
(Journal of Political Economy, 1993-12-01)This paper investigates the sensitivity of Solow residual based measures of technology shocks to labor hoarding behavior. Using a structural model of labor hoarding and the identifying restriction that innovations to technology ... -
Small-sample properties of GMM-based wald tests
(Journal of Business and Economic Statistics, 1996-01-01)This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. ... -
Understanding booms and busts in housing markets
(Journal of Political Economy, 2016-08-01)© 2016 by The University of Chicago. All rights reserved.Some booms in housing prices are followed by busts. Others are not. It is generally difficult to find observable fundamentals that are useful for predicting whether ...
