Essays in International Macroeconomics and Finance
type: CreativeWork
description: This collection of essays examines the topic of macroeconomic stabilisation in an international context, focusing on monetary policy, capital controls and exchange rates. Chapter 1, written in collaboration with Giancarlo Corsetti and Joao Duarte, reconsiders the effects of common monetary policy shocks across countries in the euro area, using a data-rich factor model and identifying shocks with high-frequency surprises around policy announcements. We show that the degree of heterogeneity in the response to shocks, while being low in financial variables and output, is significant in consumption, consumer prices and macro variables related to the labour and housing markets. Mirroring country-specific institutional and market differences, we find that home ownership rates are significantly correlated with the strength of the housing channel in monetary policy transmission. We document a high dispersion in the response to shocks of house prices and rents and show that, similar to responses in the US, these variables tend to move in different directions. In Chapter 2, I build a two-country, two-good model to examine the welfare effects of capital controls, finding that under certain circumstances, a shut-down in asset trade can be a Pareto improvement. Further, I examine the robustness of the result to parameter changes, explore a wider set of policy instruments and confront computational issues in this class of international macroeconomic models. I document that within an empirically relevant parameter span for the trade elasticity, the gains from capital controls might be significantly larger than suggested by previous contributions. Moreover, I establish that a refined form of capital controls in the shape of taxes and tariffs cannot improve upon the outcome under financial autarky. Finally, results show that the conjunction of pruning methods and endogenous discount factors can remove explosive behaviour from this class of models and restore equilibrating properties…
abstract: This collection of essays examines the topic of macroeconomic stabilisation in an international context, focusing on monetary policy, capital controls and exchange rates. Chapter 1, written in collaboration with Giancarlo Corsetti and Joao Duarte, reconsiders the effects of common monetary policy shocks across countries in the euro area, using a data-rich factor model and identifying shocks with high-frequency surprises around policy announcements. We show that the degree of heterogeneity in the response to shocks, while being low in financial variables and output, is significant in consumption, consumer prices and macro variables related to the labour and housing markets. Mirroring country-specific institutional and market differences, we find that home ownership rates are significantly correlated with the strength of the housing channel in monetary policy transmission. We document a high dispersion in the response to shocks of house prices and rents and show that, similar to responses in the US, these variables tend to move in different directions. In Chapter 2, I build a two-country, two-good model to examine the welfare effects of capital controls, finding that under certain circumstances, a shut-down in asset trade can be a Pareto improvement. Further, I examine the robustness of the result to parameter changes, explore a wider set of policy instruments and confront computational issues in this class of international macroeconomic models. I document that within an empirically relevant parameter span for the trade elasticity, the gains from capital controls might be significantly larger than suggested by previous contributions. Moreover, I establish that a refined form of capital controls in the shape of taxes and tariffs cannot improve upon the outcome under financial autarky. Finally, results show that the conjunction of pruning methods and endogenous discount factors can remove explosive behaviour from this class of models and restore equilibrating properties…
author: Mann, Samuel
language: en
keywords: Monetary Policy, High-Frequency Identification, Monetary Union, Labour Market, Housing Market, Capital Controls, Terms of Trade, International Risk-Sharing, Welfare, Pruning, Endogenous Discount Factors, New Open Economy Macroeconomics, Exchange Rates, Value, Carry Trade, Risk Premia, Emerging Markets
license: https://apollo8-f-pro.lib.cam.ac.uk/bitstreams/ebf38db0-ace7-44a4-ba85-dee1998e0ce6/download
license: https://www.rioxx.net/licenses/all-rights-reserved/
date published: 2018-10-20
date modified: 2026-07-22T22:24:01Z
provider: Cambridge University
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Cambridge

PropertyValue
property ID: DOI
value: 10.17863/CAM.27341