WorldCat Identities

Pesenti, Paolo A.

Overview
Works: 34 works in 266 publications in 1 language and 2,247 library holdings
Classifications: HB1, 332.4566094
Publication Timeline
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Publications about  Paolo A Pesenti Publications about Paolo A Pesenti
Publications by  Paolo A Pesenti Publications by Paolo A Pesenti
Most widely held works by Paolo A Pesenti
Interpreting the ERM crisis : country-specific and systemic issues by Willem H Buiter ( Book )
20 editions published between 1996 and 1998 in English and held by 453 WorldCat member libraries worldwide
Financial markets and European monetary cooperation : the lessons of the 1992-93 exchange rate mechanism crisis by Willem H Buiter ( Book )
18 editions published between 1997 and 2001 in English and held by 368 WorldCat member libraries worldwide
Why was the European Monetary System in 1992-93 swept by waves of disruptive speculative attacks? And what lessons emerge from that episode as regards the future of the European Monetary Union? A blend of theoretical and policy-oriented analysis, this book provides a comprehensive assessment of the causes and implications of the 1992-93 crisis of the exchange rate mechanism of the European Monetary System
Paper tigers? : a model of the Asian crisis by Giancarlo Corsetti ( Book )
11 editions published in 1998 in English and held by 101 WorldCat member libraries worldwide
This paper develops an interpretation of the Asian meltdown focused on moral hazard as the common source of overinvestment, excessive external borrowing, and current account deficits. To the extent that foreign creditors are willing to lend to domestic agents against future bail-out revenue from the government, unprofitable projects and cash shortfalls are re-financed through external borrowing. While public deficits need not be high before a crisis, the eventual refusal of foreign creditors to refinance the country's cumulative losses forces the government to step in and guarantee the outstanding stock of external liabilities. To satisfy solvency, the government must then undertake appropriate domestic fiscal reforms, possibly involving recourse to seigniorage revenues. Expectations of inflationary financing thus cause a collapse of the currency and anticipate the event of a financial crisis. The empirical section of the paper presents evidence in support of the thesis that weak cyclical performances, low foreign exchange reserves, and financial deficiencies resulting into high shares of non-performing loans were at the core of the Asian collapse
International dimensions of optimal monetary policy by Giancarlo Corsetti ( Book )
16 editions published between 2001 and 2002 in English and held by 99 WorldCat member libraries worldwide
"This paper provides a baseline general-equilibrium model of optimal monetary policy among interdependent economies with monopolistic firms that set prices one period in advance. Strict adherence to inward-looking policy objectives such as the stabilization of domestic output cannot be optimal when firms' markups are exposed to currency fluctuations. Such policies induce excessive volatility in exchange rates and foreign sales revenue, leading exporters to set higher prices in response to higher profit risk. In general, optimal rules trade off a larger domestic output gap against lower import prices. Monetary rules in a world Nash equilibrium lead to less exchange rate volatility relative to both inward-looking rules and discretionary policies, even when the latter do not suffer from any inflationary (or deflationary) bias. Gains from international monetary cooperation are related in an nonmonotonic way to the degree of exchange rate pass-through"--Federal Reserve Bank of New York web site
Self-validating optimum currency areas by Giancarlo Corsetti ( Book )
16 editions published in 2002 in English and held by 98 WorldCat member libraries worldwide
In this paper we show that a currency area can be a self-validating optimal policy regime, even when monetary unification does not foster real economic integration and intra-industry trade. This is because profit-maximizing producers in a currency area adopt endogenous pricing strategies that make exchange rate fluctuations highly costly in welfare terms. In our model exporters choose the degree of exchange rate pass-through onto export prices given monetary policy rules, and monetary authorities choose optimal policy rules taking firms' pass-through as given. We show that there exist two equilibria, which define two self-validating currency regimes. In the first, firms preset prices in domestic currency only, and let foreign-currency prices to be determined by the law of one price. Optimal policy rules then target the domestic output gap and floating exchange rates support the flex-price allocation. In the second equilibrium firms optimally preset prices in local currency, and a monetary union is the optimal policy choice for all countries. Although business cycles are more synchronized with a common currency, flexible exchange rates are superior in terms of welfare
Benefits and spillovers of greater competition in Europe : a macroeconomic assessment by Tamim A Bayoumi ( Book )
12 editions published in 2004 in English and held by 93 WorldCat member libraries worldwide
"Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labor markets, this paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the rest of the industrial world, the paper draws three conclusions. First, greater competition produces large effects on macroeconomic performance, as measured by standard indicators. In particular, we show that differences in competition can account for over half of the current gap in GDP per capita between the euro area and the US. Second, it may improve macroeconomic management by increasing the responsiveness of wages and prices to market conditions. Third, greater competition can generate positive spillovers to the rest of the world through its impact on the terms of trade"--Federal Reserve Board web site
The simple geometry of transmission and stabilization in closed and open economies by Giancarlo Corsetti ( )
16 editions published in 2005 in English and held by 86 WorldCat member libraries worldwide
"This paper provides an introduction to the recent literature on macroeconomic stabilization in closed and open economies. We present a stylized theoretical framework, and illustrate its main properties with the help of an intuitive graphical apparatus. Among the issues we discuss: optimal monetary policy and the welfare gains from macroeconomic stabilization; international transmission of real and monetary shocks and the role of exchange rate pass-through; the design of optimal exchange rate regimes and monetary coordination among interdependent economies"--NBER website
Welfare and macroeconomic interdependence by Giancarlo Corsetti ( Book )
9 editions published in 1997 in English and held by 86 WorldCat member libraries worldwide
The paper develops a simple choice-theoretic model suitable for carrying out welfare" analyses of the international transmission of monetary and fiscal policies. The model can be" solved in closed form and illustrated in terms of the simplest graphical apparatus provide the analysis of macroeconomic interdependence, structural spillovers strategic complementarities with rigorous but intuitive micro-foundations. In contrast with the" traditional literature, our findings emphasize the positive externalities of foreign monetary" expansions and foreign fiscal contractions on domestic welfare, while highlighting the" ambiguous welfare effects of domestic policy shocks
A center-periphery model of monetary coordination and exchange rate crises by Willem H Buiter ( Book )
10 editions published in 1995 in English and held by 84 WorldCat member libraries worldwide
The paper analyzes the modalities and consequences of a breakdown of cooperation between the monetary authorities of inflation-prone Periphery Countries that use an exchange rate peg as an anti- inflationary device, when the Center is hit by an aggregate demand shock. Cooperation in the Periphery is constrained to be symmetric: costs and benefits must be equal for all. Our model suggests that there are at least two ways in which a generalized crisis of the exchange rate system may emerge. The first is when the constrained cooperative response of the Periphery is a moderate common devaluation while the non-cooperative equilibrium has large devaluations by a few countries. An exchange rate crisis emerges if Periphery countries give in to their individual incentives to renege on the cooperative agreement. In the second case, the Center shock is not large enough to trigger a general devaluation in the constrained cooperative equilibrium; yet some of the Periphery countries would devalue in the Nash equilibrium, making the monetary stance in the system more expansionary. In this case, reversion to Nash is collectively rational. We offer this model as a useful parable for interpreting the collapse of the EMR in 1992-93
What caused the Asian currency and financial crisis? by Giancarlo Corsetti ( Book )
15 editions published in 1998 in English and held by 82 WorldCat member libraries worldwide
The paper explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even if market overreaction and herding caused the plunge of exchange rates, asset prices, and economic activity to be more severe than warranted by the initial weak economic conditions. The second part of the paper presents a reconstruction of the Asian meltdown -- from the antecedents in 1995-96 to the recent developments in the summer of 1998 -- in parallel with a survey of the debate on the strategies to recover from the crisis, the role of international intervention, and the costs and benefits of capital controls
What caused the Asian currency and financial crisis? by Giancarlo Corsetti ( Book )
15 editions published in 1998 in English and held by 81 WorldCat member libraries worldwide
The paper explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even if market overreaction and herding caused the plunge of exchange rates, asset prices, and economic activity to be more severe than warranted by the initial weak economic conditions. The first part of the paper provides an overview of economic fundamentals in Asia on the eve of the crisis, with emphasis on current account imbalances, quantity and quality of financial overlending, ' banking problems, and composition, maturity and size of capital inflows
Do nontraded goods explain the home bias puzzle? by Paolo A Pesenti ( Book )
9 editions published in 1996 in English and held by 76 WorldCat member libraries worldwide
Interpretations of the home bias puzzle in international finance have fre- quently focused on the role of fluctuations in domestic nontraded output, through their effects on the marginal utility of tradables consumption. This paper assesses the empirical evidence of this aproach, by deriving an explicit solution for the optimal international portfolio and applying the model to a set of fourteen OECD countries. Computing asset returns according to a fundamentals' approach, it is possible to account for an average gap of no more than 10-15 percantage points between estimated domestic ownership shares and domestic shares under full diversification. When stock-market data are directly used, the predicted coefficient of home bias shrinks to 3%
Monetary rules for small, open, emerging economies by Douglas Laxton ( Book )
8 editions published in 2003 in English and held by 73 WorldCat member libraries worldwide
This paper develops a variant of the IMF's Global Economic Model (GEM) suitable to analyze macroeconomic dynamics in open economies, and uses it to assess the effectiveness of Taylor rules and Inflation-Forecast-Based (IFB) rules in stabilizing variability in output and inflation. Our findings suggest that a simple IFB rule that does not rely upon any direct estimates of the equilibrium real interest rate and places a relatively high weight on the inflation forecast may perform better in small open economies than conventional Taylor rules
The role of large players in currency crises by Giancarlo Corsetti ( Book )
8 editions published in 2001 in English and held by 73 WorldCat member libraries worldwide
During recent episodes of financial turmoil some policy makers voiced concerns about aggressive, and possibly manipulative, practices by highly leveraged institutions in emerging markets. This paper addresses these concerns by reconsidering in detail, at both theoretical and empirical levels, the role of large players in currency crises. The first part of the study discusses analytical results from different models of speculative attack, suggesting that the presence of agents with market power can increase a country's vulnerability to a crisis and make other investors more aggressive in their position-taking. Both size and reputation for quality of information matter in determining large players' impact on the market. The second part of the study presents evidence on the correlation between exchange rate movements and major market participants' net currency positions, and delves into a comparative analysis of several recent crisis episodes in Thailand, Hong Kong, Malaysia, Australia, and South Africa in light of the previous theoretical results
Productivity spillovers, terms of trade and the "home market effect" by Giancarlo Corsetti ( Book )
12 editions published in 2005 in English and held by 71 WorldCat member libraries worldwide
"This paper analyzes the welfare implications of international spillovers related to productivity gains, changes in market size, or government spending. We introduce trade costs and endogenous varieties in a two-country general-equilibrium model with monopolistic competition, drawing a distinction between productivity gains that enhance manufacturing efficiency, and gains that lower the cost of firms' entry and product differentiation. Our model suggests that countries with lower manufacturing costs have higher GDP but supply a smaller number of goods at a lower international price. Countries with lower entry and differentiation costs also have higher GDP, but supply a larger array of goods at improved terms of trade. The sign of the international welfare spillovers depends on terms of trade, but also on consumers' taste for variety. Higher domestic demand has macroeconomic implications that are similar to those of a reduction in firms' entry costs"--NBER website
Rational speculative bubbles in an exchange rate target zone by Willem H Buiter ( Book )
10 editions published in 1990 in English and Undetermined and held by 68 WorldCat member libraries worldwide
The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency bard are less responsive to fundamental shocks than exchange rates under a free float, provided that the intervention rules of the Central Bank(s) are common knowledge. These results are derived after having assumed a priori that excess volatility due to rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a setup in which the existence of speculative behavior is a datum the Central Bank has to deal with. We show that the defense of the target zone in the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with the survival of the target zone itself and expectations are self-fulfilling. These results hold for a large class of exogenous and fundamental-dependent bubble processes. We show that the instantaneous volatility of exchange rates within a bard is not necessarily less than the volatility under free float and analyze the implications for interest rate differential dynamics
Deflationary shocks and monetary rules an open-economy scenario analysis by Douglas Laxton ( )
11 editions published in 2006 in English and held by 65 WorldCat member libraries worldwide
"The paper considers the macroeconomic transmission of demand and supply shocks in an open economy under alternative assumptions on whether the zero interest floor (ZIF) is binding. It uses a two country general-equilibrium simulation model calibrated to the Japanese economy vis a vis the rest of the world. Negative demand shocks have more prolonged and startling effects on the economy when the ZIF is binding than when it is not binding. Positive supply shocks can actually extend the period of time over which the ZIF may be expected to bind. More open economies hit the ZIF for a shorter period of time, and with less harmful effects. Deflationary supply shocks have different implications according to whether they are concentrated in the tradables rather than the nontradables sector. Price level path targeting rules are likely to provide better guidelines for monetary policy in a deflationary environment, and have desirable properties in normal times when the ZIF is not binding" National Bureau of Economic Research web site
Commodity prices, commodity currencies, and global economic developments by Jan J. J Groen ( )
11 editions published between 2009 and 2011 in English and Undetermined and held by 56 WorldCat member libraries worldwide
In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices, a view emphasized in the recent literature. In addition, we consider different types of factor-augmented models that use information from a large data set containing a variety of indicators of supply and demand conditions across major developed and developing countries. These factor-augmented models use either standard principal components or partial least squares (PLS) regression to extract dynamic factors from the data set. Our forecasting analysis considers ten alternative indices and sub-indices of spot prices for three different commodity classes across different periods. We find that the exchange rate-based model and especially the PLS factor-augmented model are more prone to outperform the naive statistical benchmarks. However, across our range of commodity price indices we are not able to generate out-of-sample forecasts that, on average, are systematically more accurate than predictions based on a random walk or autoregressive specifications
What caused the Asian currency and financial crisis? by Giancarlo Corsetti ( Book )
12 editions published between 1998 and 2001 in English and Undetermined and held by 50 WorldCat member libraries worldwide
Varieties and the transfer problem the extensive margin of current account adjustment by Giancarlo Corsetti ( )
7 editions published in 2008 in English and held by 44 WorldCat member libraries worldwide
"Most analyses of the macroeconomic adjustment required to correct global imbalances ignore net exports of new varieties of goods and services and do not account for firms' entry in the product market. In this paper we revisit the macroeconomics of trade adjustment in the context of the classic 'transfer problem,' using a model where the set of exportables, importables and nontraded goods is endogenous. We show that exchange rate movements associated with adjustment are dramatically lower when the above features are accounted for, relative to traditional macromodels. We also find that, for reasonable parameterizations, consumption and employment (hence welfare) are not highly sensitive to product differentiation, and change little regardless of whether adjustment occurs through movements in relative prices or quantities. This result warns against interpreting the size of real depreciation associated with trade rebalancing as an index of macroeconomic distress"--National Bureau of Economic Research web site
 
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Alternative Names
Pesenti, P. 1961-
Pesenti, P. A. 1961-
Pesenti, P. (Paolo A.)
Pesenti, Paolo
Pesenti, Paolo 1961-
Pesenti, Paolo Arturo 1961-
Languages
English (243)
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