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Rebucci, Alessandro

Overview
Works: 61 works in 247 publications in 1 language and 1,672 library holdings
Roles: Author, Editor, Contributor
Classifications: HG3881.5.I58, 332.042
Publication Timeline
Key
Publications about Alessandro Rebucci
Publications by Alessandro Rebucci
Most widely held works by Alessandro Rebucci
IMF-supported programs : recent staff research by Ashoka Mody( Book )
6 editions published in 2006 in English and held by 132 libraries worldwide
Research work by the IMF's staff on the effectiveness of the country programs the organization supports, which has long been carried out, has intensified in recent years. IMF analysts have sought to "open up the black box" by more closely examining program design and implementation, as well as how these influence programs' effectiveness. Their efforts have also focused on identifying the lending, signaling, and monitoring features of the IMF that may affect member countries' economic performance. This book reports on a large portion of both the new and the continuing research. It concludes that IMF programs work best where domestic politics and institutions permit the timely implementation of the necessary measures and when a country is vulnerable to, but not yet in, a crisis. It points to the need for a wider recognition of the substantial diversity among IMF member countries and for programs to be tailored accordingly while broadly maintaining the IMF's general principle of uniformity of treatment.--Publisher's description
The transmission mechanism of European monetary policy : is there heterogeneity? Is it changing over time? by Matteo Ciccarelli( Book )
13 editions published between 2001 and 2002 in English and held by 47 libraries worldwide
This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, France, Italy, and Spain, we show that: (i) there are differences in the timing of the effects of monetary policy on economic activity, but their cumulative impact after two years is rather homogeneous; (ii) the transmission mechanism seems to have changed over time in the run-up to EMU but its degree of heterogeneity has not decreased; (iii) the "European-wide" effects of monetary policy may have become faster in the second half of the 1990s. We interpret this evidence by conjecturing that the transmission mechanism of monetary policy had already become relatively homogenous in the second part of the 1990s
The valuation channel of external adjustment by Fabio Ghironi( Book )
25 editions published between 2005 and 2009 in English and held by 31 libraries worldwide
International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabilities. We examine this valuation channel in a dynamic equilibrium portfolio model with international trade in equity. By separating asset prices and quantities, we can characterize the first-order dynamics of valuation effects and the current account in macroeconomic dynamics. Specifically, we disentangle the roles of excess returns, capital gains, and portfolio adjustment for consumption risk sharing when financial markets are incomplete
Measuring contagion with a Bayesian time-varying coefficient model by Matteo Ciccarelli( Book )
10 editions published in 2003 in English and held by 28 libraries worldwide
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It distinguishes contagion not only from interdependence but also from structural breaks and can be used to investigate positive as well as negative contagion. The proposed measure appears to work well using both simulated and actual data
Retail bank interest rate pass-through : is Chile atypical? by Marco Espinosa-Vega( Book )
9 editions published in 2003 in English and held by 23 libraries worldwide
This paper investigates empirically the pass-through of money market interest rates to retail banking interest rates in Chile, the United States, Canada, Australia, New Zealand, and five European countries. Overall, Chile's pass-through does not appear atypical. Based on a standard error-correction model, we find that, as in most countries considered, Chile's measured pass-through is incomplete. But Chile's pass-through is also faster than in many other countries considered and is comparable to that in the United States. While we find no significant evidence of asymmetry in Chile's pass-through across states of the interest rate or monetary policy cycle, we do find some evidence of parameter instability, around the time of the Asian and Russian crises. However, we do not find evidence that the switch to a more flexible exchange rate regime in 1999 and the "nominalization" of Chile's interest rate targets in 2001 have affected significantly the pass-through process
Oil shocks and external balances by Lutz Kilian( Book )
15 editions published in 2007 in English and held by 23 libraries worldwide
This paper studies the effects of demand and supply shocks in the global crude oil market on several measures of countries' external balance, including the oil and non-oil trade balances, the current account, and changes in net foreign assets (NFA) during 1975-2004. We explicitly take a global perspective. In addition to the U.S., the Euro area and Japan, we consider a number of country groups including oil exporters and middle-income oil-importing economies. We find that the effect of oil shocks on the merchandise trade balance and the current account, which depending on the source of the shock can be large, depends critically on the response of the nonoil trade balance, and differs systematically between the U.S. and other oil importing countries. Using the Lane-Milesi-Ferretti NFA data set, we document the presence of large and systematic (if not always statistically significant) valuation effects in response to oil shocks, not only for the U.S., but also for other oil-importing economies and for oil exporters. Our estimates suggest that increased international financial integration will tend to cushion the effect of oil shocks on NFA positions for major oil exporters and the U.S., but may amplify it for other oil importers
The U.S. dollar and the trade deficit : what accounts for the late 1990s? by Ben Hunt( Book )
8 editions published in 2003 in English and held by 20 libraries worldwide
Monetary rules for emerging market economies by Fabio Ghironi( Book )
6 editions published in 2002 in English and held by 19 libraries worldwide
We compare the performance of a currency board, inflation targeting, and dollarization in a small, open developing economy with a liberalized capital account. We focus on the transmission of shocks to currency and country risk premia and on the role of fluctuations in premia in the propagation of other shocks. We calibrate our model on Argentina. The framework matches the second moments of key variables well. Welfare analysis suggests that dollarization is preferable to alternative regimes because it removes currency premium volatility. However, a currency board can match dollarization on welfare grounds if the central bank holds a sufficiently large stock of foreign reserves
Bayesian VARs : a survey of the recent literature with an application to the European monetary system by Matteo Ciccarelli( Book )
7 editions published in 2003 in English and held by 17 libraries worldwide
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative priors. We then discuss extensions of the basic model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice
Measuring disinflation credibility in emerging markets : a Bayesian approach with an application to Turkey by Marco Rossi( Book )
7 editions published in 2004 in English and held by 15 libraries worldwide
This paper presents an empirical measure of disinflation credibility and discusses its evolution in Turkey since the 2001 crisis. The results indicate that credibility has improved markedly over this period, boding well for the future of disinflation in Turkey
The domestic and global impact of Japan's policies for growth by Nicoletta Batini( Book )
6 editions published in 2005 in English and held by 14 libraries worldwide
Japan is facing a sizable fiscal imbalance against a backdrop of weak trend growth and growing external imbalances in the world economy. This paper examines the possible impact of fiscal adjustment and productivity-enhancing structural reforms on the Japanese and world economies. Simulation results indicate that these could reduce substantially Japan's fiscal imbalance with only limited spillovers to the rest of the world. Specifically, faster productivity growth would help lower Japan's debt and limit the tendency of fiscal consolidation to increase the external surplus. In fact, very rapid productivity growth could potentially lead to a decline in Japan's external surplus and thereby have a positive effect on global imbalance. The modest extent of the spillovers to the rest of the world reflect the small size of the shocks and the diminished size of Japan in the world economy
On the heterogeneity bias of pooled estimators in stationary VAR specifications by Alessandro Rebucci( Book )
5 editions published in 2003 in English and held by 14 libraries worldwide
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative (IV) in Monte Carlo simulations. The main results are: (i) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data specifications; (ii) in Monte Carlo simulations, slope heterogeneity must be relatively high to be a source of concern for pooled estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution
Global imbalances : the role of emerging Asia by Pietro Cova( Book )
12 editions published between 2005 and 2009 in English and held by 12 libraries worldwide
"This paper investigates the role played by emerging Asia in the emergence and evolution of the global trade imbalances. Based on simulations in a general equilibrium model of the world economy, we find that a productivity slowdown in the non-tradable sector of these economies in the second half of the 1990s fits regional macroeconomic developments relatively well, but has limited spillover effect to the United States trade balance. In contrast, an increase in the desired level of emerging Asia net foreign assets starting in 2001 not only fits regional developments relatively well, but also has a significant spillover effect to the United States."--Abstract
Net foreign asset position and consumption dynamics in the international economy by Fabio Ghironi( Book )
3 editions published in 2005 in English and held by 11 libraries worldwide
We examine the effect of non-zero, long-run foreign asset positions on consumption dynamics in response to productivity shocks in a two-country, dynamic, general equilibrium model, with different discount factors across countries populated by overlapping generations of households. We then compare the model results to those of a VAR for the United States versus the rest of the G-7. In the data, we find that permanent worldwide productivity shocks lead to net foreign asset and consumption dynamics that are consistent with interpreting the United States as the impatient economy in our model and are not consistent with symmetric models with equal discount factors
Capital control measures a new dataset by Andrés Fernández( file )
10 editions published in 2015 in English and held by 6 libraries worldwide
This paper presents and describes a new dataset of capital control restrictions on both inflows and outflows of 10 categories of assets for 100 countries over the period 1995 to 2013. Building on the data first presented in Schindler (2009) and other datasets based on the analysis of the IMF's Annual Report on Exchange Arrangements and Exchange Restrictions (AREAER), this dataset includes additional asset categories, more countries, and a longer time period. The paper discusses the manner in which information in the AREAER is translated into a usable dataset. The paper additionally characterizes the data with respect to the prevalence of controls across asset categories, the correlation of controls across asset categories and between controls on inflows and controls on outflows, the aggregation of the separate categories into broader indicators, and the comparison of this dataset with other indicators of capital controls
Are Capital Controls Prudential? an Empirical Investigation by Andrés Fernández( Book )
5 editions published in 2013 in English and held by 4 libraries worldwide
A growing recent theoretical literature advocates the use of prudential capital control policy, that is, the tightening of restrictions on cross-border capital flows during booms and the relaxation thereof during recessions. We examine the behavior of capital controls in a large number of countries over the period 1995-2011. We find that capital controls are remarkably acyclical. Boom-bust episodes in output, the current account, or the real exchange rate are associated with virtually no movements in capital controls. These results are robust to decomposing boom-bust episodes along a number of dimensions, including the level of development, the level of external indebtedness, or the exchange-rate regime. We also document a near complete acyclicality of capital controls during the Great Contraction of 2007-2009
Aid, exports, and growth a time-series perspective on the Dutch disease hypothesis by Joong Shik Kang( file )
7 editions published between 2010 and 2013 in English and held by 4 libraries worldwide
The available evidence on the effects of aid on growth is notoriously mixed. We use a novel empirical methodology, a heterogeneous panel vector-autoregression model identified through factor analysis, to study the dynamic response of exports, imports, and per capita GDP growth to a global aid shock (the common component of individual country aid-to-GDP ratios). We find that the estimated cumulative resposive of exports and per capita GDP growth to a global aid shock are strongly positively correlated, and both responses are inversely related to exchange rate overvaluation measures. We interpret this evidence as consistent with the Dutch disease hypothesis. However, we also find that, in countries with less overvalued real exchange rates, exports and per capita GDP growth respond positively to a global aid shock. This evidence suggests that preventing exchange rate overvaluations may allow aid-receiving countries to avoid the Dutch disease
Global liquidity, house prices and the macroeconomy evidence from advanced and emerging economies by Ambrogio Cesa-Bianchi( file )
7 editions published in 2015 in English and held by 3 libraries worldwide
This paper first compares house price cycles in advanced and emerging economies using a new quarterly house price dataset covering the period 1990- 2012. It is found that that house prices in emerging economies grow faster, are more volatile, less persistent and less synchronized across countries than in advanced economies. They also correlate more closely with capital flows than in advanced economies. The analysis is then conditioned on an exogenous change to global liquidity, broadly understood as a proxy for the international supply of credit. It is found that in emerging markets a global liquidity shock has a much stronger impact on house prices and consumption than in advanced economies. Finally, holding house prices constant in response to this shock tends to dampen its effects on consumption in both advanced and emerging economies, but possibly through different channels: in advanced economies by boosting the value of housing collateral and hence supporting domestic borrowing, and in emerging markets by appreciating the exchange rate and hence supporting the international borrowing capacity of the economy
Does easing monetary policy increase financial instability? by Ambrogio Cesa-Bianchi( file )
5 editions published between 2013 and 2015 in English and held by 2 libraries worldwide
This paper develops a model featuring both a macroeconomic and a financial stability objective that speaks to the interaction between monetary and macroprudential policies. First, we find that interest rate rigidities in a monopolistic banking system have an asymmetric impact on financial stability: they lead to greater financial instability in response to contractionary shocks, while they act as an automatic financial stabilizer in response to expansionary shocks. Second, we find that when the policy interest rate is the only instrument, a monetary authority subject to the same constraints as private agents cannot always achieve a (constrained) efficient allocation and faces a trade-off between macroeconomic and financial stability in response to contractionary shocks. This has important implications for the role played by U. S. monetary policy in the run-up to the global financial crisis: the model suggests that the weak link in the U. S. policy framework was not the monetary policy stance after 2002, but rather the absence of an effective second policy pillar aimed at preserving financial stability
Global Imbalances by Alessandro Rebucci( file )
3 editions published in 2009 in English and held by 0 libraries worldwide
This paper investigates the role played by emerging Asia in the emergence and evolution of the global trade imbalances. Based on simulations in a general equilibrium model of the world economy, we find that a productivity slowdown in the non-tradable sector of these economies in the second half of the 1990s fits regional macroeconomic developments relatively well, but has limited spillover effect to the United States trade balance. In contrast, an increase in the desired level of emerging Asia net foreign assets starting in 2001 not only fits regional developments relatively well, but also has a significant spillover effect to the United States
 
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