WorldCat Identities

Chinn, Menzie David

Works: 161 works in 962 publications in 1 language and 7,042 library holdings
Roles: Author
Classifications: HB1, 336.34350973
Publication Timeline
Most widely held works by Menzie David Chinn
Lost decades : the making of America's debt crisis and the long recovery by Menzie David Chinn( Book )

10 editions published between 2011 and 2012 in English and held by 757 WorldCat member libraries worldwide

This book examines the role federal borrowing played in the economic collapse of 2008, describing the economic and political causes of the collapse, and discussing what the continuing impact of the debt and foreign borrowing will be on the United States in the twenty-first century. The authors, both political economists, explore the origins and long-term effects of the financial crisis in historical and comparative perspective. By 2008 the United States had become the biggest international borrower in world history, with almost half of its 6.4 trillion dollar federal debt in foreign hands. The proportion of foreign loans to the size of the economy put the United States in league with Mexico, Pakistan, and other third-world debtor nations. The massive inflow of foreign funds financed the booms in housing prices and consumer spending that fueled the economy until the collapse of late 2008. The authors explore the political and economic roots of this crisis as well as its long-term effects. They explain the political strategies behind the Bush administration's policy of funding massive deficits with the foreign borrowing that fed the crisis. They see the continuing impact of our huge debt in a slow recovery ahead
The economic integration of Greater China : real and financial linkages and the prospects for currency union by Yin-Wong Cheung( Book )

8 editions published in 2007 in English and Undetermined and held by 143 WorldCat member libraries worldwide

"Cheung, Chinn and Fujii provide an up-to-date assessment of mainland China's economic development and its integration with its neighboring economies, especially Hong Kong and Taiwan. This grouping is also known as Greater China." "In addition, the authors evaluate the prospects for a currency union in Greater China, the most extreme form of integration. Prospects of China's continued integration with the world economy, and the implications of policies in Beijing and other Pacific Rim capitals are also discussed."--Jacket
The usual suspects? : productivity and demand shocks and Asia-Pacific real exchange rates by Menzie David Chinn( Book )

23 editions published between 1997 and 1998 in English and held by 105 WorldCat member libraries worldwide

The evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivities are calculated for China, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand. Time series regressions of the real exchange rate on relative prices indicate a role for relative prices for Indonesia, Japan and Korea. When examining real exchange rates and relative productivity ratios, one finds a relationship for Japan, Malaysia, and the Philippines. Only when augmenting the regressions with real oil prices are significant relationships obtained for Indonesia and Korea. Panel regression results are slightly more supportive of a relative price view of real exchange rates. However, the panel regressions incorporating productivity variables, as well as other demand side factors, are less encouraging, except for a small subset of countries (Indonesia, Japan, Korea, Malaysia and the Philippines). Surprisingly, government spending does not appear to be a determinant of real exchange rates in the region
Real exchange rate levels, productivity and demand shocks : evidence from a panel of 14 countries by Menzie David Chinn( Book )

26 editions published between 1995 and 1997 in English and held by 103 WorldCat member libraries worldwide

This paper investigates the determinants of the real exchange rate using a panel of disaggregated data for the OECD countries. It also marries two literatures - one which uses panel data to measure relationships between changes in exchange rates to changes in the determinants, and the other which uses cointegration techniques to measure the long-run relationship between the level of the exchange rate and the level of the determining factors. The previous panel studies cannot account for deviations from long-run trend levels, while the extant literature using time series cointegration techniques can only intermittently detect and measure posited relationships. Estimating the relationships in levels is an interesting activity because it allows one to calculate trend real exchange rates. After surveying the previous litera- ture, a dynamic model of the real exchange rate is used to motivate the empi- rical exercise. In examining this problem, we exploit recent developments in the econometric analysis of nonstationary variables in panel data. The results indicate that under certain assumptions it is easier to detect cointegration in panel data than in the available time series; moreover, the estimates of reversion to trend are also estimated with greater precision. The most empirically successful models include productivity measures, government spend- ing ratios, and either the terms of trade, or the real price of oil. Using this latter model, we find that the implied equilibrium exchange rates indicate less overvaluation of the dollar than that implied by a naive version of purchasing power parity
Financial repression and capital mobility : why capital flows and covered interest rate differentials fail to measure capital market integration by Michael P Dooley( Book )

27 editions published between 1995 and 1997 in English and held by 102 WorldCat member libraries worldwide

Required reserves on banks' deposit liabilities have been utilized by both industrial and developing countries to discourage and sterilize international capital flows. In this paper we utilize an open economy macro model incorporating bank credit to evaluate this policy. The model suggests that high levels of reserve requirements are a perverse policy tool in that they amplify the effects of foreign monetary shocks, but changes in reserve requirements can insulate a repressed financial market from international financial shocks. The model also suggests that traditional measures of capital mobility such as interest parity conditions or the scale of gross private capital flows are of no value in assessing the openness of repressed financial systems
Medium-term determinants of current accounts in industrial and developing countries : an empirical exploration by Menzie David Chinn( Book )

21 editions published in 2000 in English and Undetermined and held by 88 WorldCat member libraries worldwide

This paper provides an empirical investigation of the medium-term determinants of current accounts for a large sample of industrial and developing countries. The analysis is based on a structural approach that highlights the roles of the fundamental macroeconomic determinants of saving and investment. Cross-section and panel regression techniques are used to characterize the properties of current account variation across countries and over time. We find that current account balances are positively correlated with government budget balances and initial stocks of net foreign assets. Among developing countries, measures of financial deepening are positively associated with current account balances while indicators of openness to international trade are negatively correlated with current account balances
How do UK-based foreign exchange dealers think their market operates? by Yin-Wong Cheung( Book )

24 editions published between 1999 and 2000 in 3 languages and held by 83 WorldCat member libraries worldwide

This paper summarises the results of a survey of UK based foreign exchange dealers conducted in 1998. It addresses topics in three main areas: The microeconomic operation of the foreign exchange market; the beliefs of dealers regarding the importance, or otherwise, of macroeconomic fundamental factors in affecting exchange rates; microstructure factors in FX. We find that heterogeneity of traders' beliefs is evident from the results but that it is not possible to explain such disagreements in terms of institutional detail, rank or trading technique (e.g. technical analysts versus fundamentalists). As expected, non-fundamental factors are thought to dominate short horizon changes in exchange rates, but fundamentals are deemed important over much shorter horizons that the mainstream empirical literature would suggest. Finally, market norms' and behavioural phenomena are very strong in the FX market and appear to be key determinants of the bid-ask spread
On the won and other East Asian currencies by Menzie David Chinn( Book )

14 editions published between 1997 and 1998 in English and held by 82 WorldCat member libraries worldwide

Five East Asian currencies -- the Indonesian rupiah, Korean won, Singapore dollar, Taiwanese dollar, and the Thai baht -- are modeled in the framework of a monetary specification augmented by the relative price of nontradables. This relative price variable proxies for the Balassa-Samuelson effect in East Asian real exchange rates identified in Chinn (1997b). All of the currencies fit the long run implications of various types of monetary models, according to Johansen (1988) multivariate cointegration tests. Exchange rates do the bulk of adjustment toward equilibrium, except in the cases of the Thai baht and the New Taiwan dollar. For these currencies, interest rates and money supplies move to restore equilibrium. In ex post simulation, the out-of-sample fit of the estimated models is relatively good for the won, Singapore and New Taiwan dollars, and for the baht, although in no case is the exact magnitude and timing of the currency clashes predicted. The estimated model completely fails to track the rupiah out-of-sample
Long-horizon uncovered interest rate parity by Guy Meredith( Book )

12 editions published in 1998 in English and held by 81 WorldCat member libraries worldwide

Uncovered interest parity (UIP) has been almost universally rejected in studies of exchange rate movements, although there is little consensus on why it fails. In contrast to previous studies, which have used relatively short-horizon data, we test UIP using interest rates on longer-maturity bonds for the G-7 countries. These long-horizon regressions yield much more support for UIP -- all the coefficients on interest differentials are of the correct sign, and almost all are closer to the UIP value of unity than to the zero coefficient implied by the random walk hypothesis. We then use a small macroeconomic model to explain the differences between the short- and long-horizon results. Regressions run on data generated by stochastic simulations replicate the important regularities in the actual data, including the sharp differences between short- and long-horizon parameters. In the short run from risk premium shocks in the face of endogenous monetary policy. In the long run, in contrast, exchange rate movements are driven by the "fundamentals, " leading to a relationship between interest rates and exchange rates that is more consistent with UIP
Monetary policy in Japan, Germany and the United States : does one size fit all? by Menzie David Chinn( Book )

16 editions published in 1997 in English and held by 80 WorldCat member libraries worldwide

We study the post-war evidence for Japan to see if the same specification for both the economy and the monetary policy rule is useful for understanding Japan's economy and monetary policy. A recurrent theme in the literature on Japanese monetary policy is that there are significant differences in both the policy procedures and objectives as compared to other industrial countries. In this paper we propose an out of sample' test of a set of restrictions on a vector autoregression employed by Clarida and Gertler (1997) in their analysis of the Bundesbank's behavior. Our interpretation of the evidence is that, with minor adjustments, the same specification provides a useful framework for understanding monetary policy in Japan. Perhaps the most interesting finding is that the Bank of Japan appears to react to inflation over longer forecast horizons as compared to other central banks
Before the fall : were East Asian currencies overvalued? by Menzie David Chinn( Book )

14 editions published in 1998 in English and held by 78 WorldCat member libraries worldwide

I implement two major approaches to identifying the equilibrium exchange rate. First, the concept of purchasing power parity is tested and used to define the equilibrium real exchange rate for the Indonesian rupiah, Korean won, Malaysian ringgit, Philippine peso, Singapore dollar, Taiwanese dollar and the Thai baht. The calculated PPP rates are then used to evaluate whether these seven East Asian currencies were overvalued. The purchasing power parity calculations are performed on broad price indices, price indices of tradable goods, and price indices of export goods using the Johansen and Horvath-Watson cointegration test procedures. As of May 1997, the baht, ringgit and peso were overvalued according to this criterion. While the overvaluations are not large, they do appear to be persistent. Robustness checks for sensitivity to deflator, sample period, and numeraire currency are undertaken. Second, I calculate the implied equilibrium rates from a monetary model augmented by a proxy variable for productivity trends. The monetary models imply less substantial deviations from equilibrium. Furthermore, the results do not closely correspond to those obtained from the PPP calculations. Interestingly, both methods indicate that the Korean won was undervalued even before its recent discrete drop in value
The current account and the real exchange rate : a structural VAR analysis of major currencies by Jaewoo Lee( Book )

14 editions published in 1998 in English and held by 78 WorldCat member libraries worldwide

A sticky-price model is used to motivate a structural VAR analysis of the current account and the real exchange rate for seven major industrialized countries (the US, Canada, the UK, Japan, Germany, France and Italy). The analysis is distinguished from previous work in that it adopts minimal assumptions for identification. The empirical results are consistent with the theoretical model, as well as the sticky price intertemporal model of Obstfeld and Rogoff (1995). Permanent shocks to productivity have large long term effects on the real exchange rate, but relatively small effects on the current account; money shocks have large effects on the current account and exchange rate in the short run, but not on either variable in the long run
Empirical exchange rate models of the nineties : are any fit to survive? by Yin-Wong Cheung( Book )

22 editions published between 2002 and 2004 in English and held by 70 WorldCat member libraries worldwide

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995) and Chinn and Meese (1995) focused on similar models. In this paper we re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification incorporating the real interest differential, portfolio balance and nontradables price channels. The performance of these models is compared against two reference specifications â the purchasing power parity and the Dornbusch-Frankel sticky price monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimating the cointegrating vector over the entire sample and treating it as part of the ex ante information set as is commonly done in the literature, we also update the cointegrating vector, thereby generating true ex ante forecasts. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the â consistencyâ test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure; however, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. Moreover, one finds that these forecasts are cointegrated with the actual values of exchange rates, although in a large number of cases, the elasticity of the forecasts with respect to the actual values is different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period
Financial and capital account liberalization in the Pacific Basin : Korea and Taiwan during the 1980's by Menzie David Chinn( Book )

14 editions published between 1994 and 1996 in English and held by 69 WorldCat member libraries worldwide

This paper presents an alternative method of testing for financial capital mobility in the absence of forward exchange markets. A model of domestic interest rate determination during liberalization is applied to Korean and Taiwanese data. A variety of diagnostic and recursive tests are used to isolate structural breaks in the data. It is shown that Korean interest rates behave as if determined domestically until late 1988 or early 1989, while Taiwanese rates exhibit this behavior until early 1989. Thereafter, these economies' interest rates appear tightly linked to the EuroYen rate. These results contrast with those obtained by Reisen and Yches (1993) which indicated a single opening and closing for Korea, and no structural break for Taiwan. They also differ from those results of Jwa (1994) indicating two temporary openings for Korea. Greater integration of these domestic markets with world financial markets suggests that it will be more difficult for these countries to stabilize their economies in the face of capital inflows and outflows
Are macroeconomic forecasts informative? : cointegration evidence from the ASA-NBER surveys by Yin-Wong Cheung( Book )

17 editions published between 1996 and 1999 in English and held by 69 WorldCat member libraries worldwide

We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data
Integration, cointegration and the forecast consistency of structural exchange rate models by Yin-Wong Cheung( Book )

14 editions published between 1995 and 1997 in English and held by 69 WorldCat member libraries worldwide

Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that it is fairly easy for the generated forecasts to pass the first requirement. However, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead horizon, most series and their respective forecasts do not appear cointegrated. Of the cointegrated pairs, the restriction of unitary elasticity of forecasts with respect to actual appears not to be rejected in general. The exception to this pattern is in the case of the error correction models in the longer subsample. Using the Horvath-Watson procedure, which imposes a unitary coefficient restriction, we find fewer instances of consistency, but a relatively higher proportion of the identified cases of consistency are found at the longer horizons
Latin America and East Asia in the context of an insurance model of currency crises by Menzie David Chinn( Book )

12 editions published in 1999 in English and held by 67 WorldCat member libraries worldwide

Abstract: This paper focuses on the 1995 Latin American and 1997 East Asian crises using an insurance-based model of financial crises. First the model of Dooley (forthcoming) is described. Second, some empirical evidence for an insurance model is presented. The key variables in this approach include the ratio of foreign exchange reserves to bank loans (domestic credit) extended to the private sector, the ability of the private sector to appropriate government assets, and appropriation as measured by capital flight. We argue that the insurance model is consistent with the observed evolution of these variables in the recent crises in Latin America and Asia. Finally, we examine the statistical evidence in favor of the model using panel regressions. We find that the econometric results are consistent with the insurance model, and tend to support this approach over some competing explanations
Sectoral productivity, government spending and real exchange rates : empirical evidence for OECD countries by Menzie David Chinn( Book )

12 editions published in 1997 in English and held by 65 WorldCat member libraries worldwide

This paper investigates the long- and short-run determinants of the real exchange rate using a panel of data for fourteen OECD countries. The data are analyzed using time series and panel unit root and panel cointegration methods. Two dynamic productivity-based models are used to motivate the empirical exercise. The candidate determinants include productivity levels in the traded and in the nontraded sectors, government spending, the terms of trade, income per capita, and the real price of oil. The empirical results indicate that it is easier to detect cointegration in panel data than in the available time series; moreover, the estimate of the rate of reversion to a cointegrating vector defined by real exchange rates and sectoral productivity differentials is estimated with greater precision as long as homogeneity of parameters is imposed upon the panel. It is more difficult to find evidence for cointegration when allowing for heterogeneity across currencies. The most empirically successful model of the real exchange rate includes sectoral productivity measures in the long run relation and government spending in the short run dynamics
Traders, market microstructure, and exchange rate dynamics by Yin-Wong Cheung( Book )

14 editions published in 1999 in English and held by 64 WorldCat member libraries worldwide

We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers; (iii) The single most widely- cited reason for deviating from the standard market convention on the bid-ask spread is a thin/hectic market; (iv) Half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; and (v) 60% of respondents believe there is low predictability of exchange rates intraday. Even at medium and long run horizons, only a third of traders believe that there is high predictability
The overvaluation of Renminbi undervaluation by Yin-Wong Cheung( Book )

14 editions published in 2007 in English and held by 36 WorldCat member libraries worldwide

We evaluate whether the Renminbi (RMB) is misaligned, relying upon conventional statistical methods of inference. A framework built around the relationship between relative price and relative output levels is used. We find that, once sampling uncertainty and serial correlation are accounted for, there is little statistical evidence that the RMB is undervalued. The result is robust to various choices of country samples and sample periods, as well as to the inclusion of control variables
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Lost decades : the making of America's debt crisis and the long recovery
Alternative Names
Chinn, M. D.

Chinn, Menzie

Chinn, Menzie D.

Chinn, Menzie David

Menzie Chinn American economist

Menzie Chinn economista estadounidense

English (324)

The economic integration of Greater China : real and financial linkages and the prospects for currency union