Most widely held works by Jaewoo Lee
Exchange rate assessments : CGER methodologies ( Book )
5 editions published in 2008 in English and held by 167 libraries worldwide
As part of this mandate, since the mid-1990s the IMF Consultative Group on Exchange Rate Issues (CGER) has provided exchange rate assessments for a number of advanced economies from a multilateral perspective, with the aim of informing the country-specific analysis of the IMF's Article IV staff reports and fostering multilateral consistency. These assessments are additional tools at the disposal of the IMF staff country desks, which are responsible for formulating exchange rate assessments as part of the Fund's bilateral surveillance, another of the IMF's core responsibilities.--Publisher's description.
Financial versus monetary mercantilism-long-run view of large international reserves hoarding by Joshua Aizenman ( Book )
12 editions published between 2006 and 2007 in English and held by 93 libraries worldwide
The sizable hoarding of international reserves by several East Asian countries has been frequently attributed to a modern version of monetary mercantilism-hoarding international reserves in order to improve competitiveness. From a long-run perspective, manufacturing exporters in East Asia adopted financial mercantilism-subsidizing the cost of capital- during decades of high growth. They switched to hoarding large international reserves when growth faltered, making it harder to disentangle the monetary mercantilism from a precautionary response to the heritage of past financial mercantilism. Monetary mercantilism also lowers the cost of hoarding through its short-term boost to external competitiveness, but may be associated with negative externalities leading to competitive hoarding.
The current account and the real exchange rate : a structural VAR analysis of major currencies by Jaewoo Lee ( Book )
8 editions published in 1998 in English and No Linguistic content and held by 92 libraries worldwide
The valuation channel of external adjustment by Fabio Ghironi ( Book )
10 editions published between 2007 and 2009 in English and held by 85 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.
International reserves : precautionary versus mercantilist views, theory and evidence by Joshua Aizenman ( Book )
4 editions published in 2005 in English and held by 61 libraries worldwide
"This paper tests the importance of precautionary and mercantilist motives in accounting for the hoarding of international reserves by developing countries, and provides a model that quantifies the welfare gains from optimal management of international reserves. While the variables associated with the mercantilist motive are statistically significant, their economic importance in accounting for reserve hoarding is close to zero and is dwarfed by other variables. Overall, the empirical results are in line with the precautionary demand. The effects of financial crises have been localized, increasing reserve hoarding in the aftermath of crises mostly in countries located in the affected region, but not in other regions. We also investigate the micro foundation of precautionary demand, extending Diamond and Dybvig (1983)'s model to an open, emerging market economy where banks finance long-term projects with short-term deposits. We identify circumstances that lead to large precautionary demand for international reserves, providing self-insurance against the adverse output effects of sudden stop and capital flight shocks. This would be the case if premature liquidation of long-term projects is costly, and the economy is de-facto integrated with the global financial system, hence sudden stops and capital flight may reduce deposits sharply. We show that the welfare gain from the optimal management of international reserves is of a first-order magnitude, reducing the welfare cost of liquidity shocks from a first-order to a second-order magnitude"--National Bureau of Economic Research web site.
Three current account balances a "semi-structuralist" interpretation by Menzie David Chinn ( Book )
5 editions published in 2005 in English and held by 55 libraries worldwide
Accounting for global dispersion of current accounts by Yongsung Chang ( Book )
6 editions published in 2009 in English and held by 45 libraries worldwide
We undertake a quantitative analysis of the dispersion of current accounts in an open economy version of incomplete insurance model, incorporating important market frictions in trade and financial flows. Calibrated with conventional parameter values, the stochastic stationary equilibrium of the model with limited borrowing can account for about two-thirds of the global dispersion of current accounts. The easing of financial frictions can explain nearly all changes in the current account dispersion in the past four decades whereas the easing of trade frictions has almost no impact on the current account dispersion.
New rates from new weights by Tamim A Bayoumi ( Book )
12 editions published between 2005 and 2006 in English and held by 28 libraries worldwide
This paper describes the result and the methodology of updating nominal and real effective exchange rate weights on the basis of trade data over 1999-2001. The underlying framework is an updated version of the IMF's current effective exchange rate calculation, which uses weights largely based on 1989-91 data. Since then, substantial changes have occurred in international trade relations, warranting a recalculation of effective exchange rate indices on the basis of new trade patterns. Updated weights show that the United States and developing countries (most notably China) have grown in their importance in global trade, while Japan and the European Union have declined, with substantial implications for the path of the dollar and exchange rate effects of emerging market crises since 1995.
The real exchange rate, mercantilism and the learning by doing externality by Joshua Aizenman ( Book )
4 editions published in 2008 in English and held by 28 libraries worldwide
This paper examines the degree to which the learning by doing externality [LBD] calls for an undervalued exchange rate, a policy suggested by recent empirical studies which concluded that mildly undervalued real exchange rate may enhance growth. We obtain mixed results. For an economy where LBD externality operates in the traded sector, real exchange rate undervaluation may be used in order to internalize this externality, if the LBD calls for subsidizing employment in the traded sector. Yet, we also find that these results are not robust to changes in the nature of the LBD externality. If the LBD externality is embodied in aggregate investment, the optimal policy calls for subsidizing the cost of capital in the traded sector, and there is no room for undervalued exchange rate policy. In addition, a deliberate undervaluation by means of hoarding reserves may backfire if the needed sterilization would increase the cost of investment in the traded sector.
Does productivity growth lead to appreciation of the real exchange rate by Jaewoo Lee ( Book )
5 editions published in 2003 in English and held by 21 libraries worldwide
We revisit the time-honored link between productivity and the real exchange rate. Consistent with the traditional view, we find that higher labor productivity tends to lead to appreciation of the real exchange rate. Contrary to the traditional view, however, we find that the positive productivity effect is transmitted through the real exchange rate based on tradable prices, rather than through relative prices between tradables and nontradables. Moreover, higher total factor productivity is found, if anything, to lead to depreciation of the real exchange rate. These last two pieces of evidence provide support for the emerging view that limited tradability of goods and services provides scope for the strategic pricing decision, which has material consequences for the aggregate real exchange rate.
Insurance value of international reserves : an option pricing approach by Jaewoo Lee ( Book )
5 editions published in 2004 in English and held by 21 libraries worldwide
A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance arrangement (e.g., an Asian Monetary Fund) and to analyzing one leg of an optimal reserve-holding decision.
Current account and real exchange rate dynamics in the G-7 countries by Jaewoo Lee ( Book )
4 editions published between 2002 and 2004 in English and held by 20 libraries worldwide
From the great moderation to the global crisis exchange market pressure in the 2000s by Joshua Aizenman ( Book )
3 editions published in 2010 in English and held by 19 libraries worldwide
This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great recession. According to our results, both financial and trade factors played important roles, yet the relative magnitude of financial considerations dominated, both during the Great Moderation and during the crisis. The coefficient of gross short-term external debt quintuples during the onset of the crisis, and then gradually declines as we let the crisis window roll forward. Capital outflow (induced by global deleveraging) was the force behind the emerging markets EMP rise during the global financial crisis, with the emerging markets' stock markets themselves only playing a secondary role. In addition, emerging markets were greatly affected by the fall in commodity prices during the initial phase of the crisis, although the relative impact of trade factors remained virtually the same in magnitude during the financial crisis and the Great Moderation period that preceded it. We also study the association between several country-level indicators, as of 2007, and the EMP measure during the height of the crisis in 2008:Q4 in a cross sectional regression. We found that that richer EMs experienced greater EMP during the crisis. Greater FDI inflows prior to the crisis were associated with a lower crisis EMP, while greater portfolio debt inflows with a higher crisis EMP, and this effect is much larger than the mitigation effect associated with greater FDI inflows. We conclude with an analysis of the factors that account for the trade and financial exposure of emerging markets during the crisis, finding that pre-crisis financial and trade openness are significant predictors of the financial and trade shock during the crisis. The severity of the financial shock was further exacerbated by financial ties to the U.S., while the trade shock was more severe in EMs with a larger commodity export share.
A fair exchange? : theory and practice of calculating equilibrium exchange rates by Tamim A Bayoumi ( Book )
4 editions published in 2005 in English and held by 17 libraries worldwide
We develop a theory-based model of equilibrium exchange rates incorporating factors that have been found to matter empirically. The model provides insights into how variables should be measured and what are appropriate cross-country restrictions. We estimate this model using a panel of 12 industrial countries. The model fits the data relatively well, implying relatively fast adjustment to equilibrium and outperforming a random walk at longer horizons. Furthermore, we find that the rate of adjustment depends on the distance from equilibrium, suggesting that part of the explanation for slow adjustment is inaccurate measures of equilibrium.
Real exchange rates and fundamentals : a cross-country perspective by Luca Antonio Ricci ( Book )
6 editions published in 2008 in English and held by 16 libraries worldwide
This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging markets. It finds evidence of a strong positive relation between the CPI-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded and nontraded goods, while statistically significant, is small. Increases in net foreign assets and in government consumption tend to be associated with appreciating real exchange rates.
International reserves : precautionary vs. mercantilist views, theory and evidence by Joshua Aizenman ( Book )
5 editions published in 2005 in English and held by 15 libraries worldwide
This paper compares the importance of precautionary and mercantilist motives in the hoarding of international reserves by developing countries. Overall, empirical results support precautionary motives; in particular, a more liberal capital account regime increases international reserves. Theoretically, large precautionary demand for international reserves arises as a self-insurance to avoid costly liquidation of long-term projects when the economy is susceptible to sudden stops. The welfare gain from the optimal management of international reserves is of a first-order magnitude, reducing the welfare cost of liquidity shocks from a first-order to a second-order magnitude.
New Zealand, selected issues and statistical appendix by Jahangir Aziz ( Book )
2 editions published in 1999 in English and held by 13 libraries worldwide
A theory of rent seeking with informational foundations by Johan Lagerlöf ( Book )
1 edition published in 2006 in English and held by 6 libraries worldwide
Kiribati, recent economic developments by R Brooks ( Book )
2 editions published in 1999 in English and held by 5 libraries worldwide
In which exchange rate models do forecasters trust by David Hauner ( Book )
2 editions published in 2011 in English and held by 3 libraries worldwide
"Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters."--Abstract.
Accounting Balance of payments Balance of payments--Econometric models Balance of trade Banks and banking Business forecasting Carbon fibers Chemical vapor deposition Commerce--Econometric models Debts, External--Econometric models Deficit financing Developing countries East Asia Economic history Economic policy Equilibrium (Economics) Europe Externalities (Economics) Finance, Public Financial institutions--Econometric models Fiscal policy--Econometric models Foreign exchange Foreign exchange--Forecasting--Econometric models Foreign exchange market Foreign exchange rates Foreign exchange rates--Econometric models Foreign exchange rates--Mathematical models Global Financial Crisis (2008-2009) Group of Seven countries Imports--Prices Industrial productivity Inflation (Finance) Insurance--Reserves International economic relations International finance International finance--Econometric models Investment analysis Japan Kiribati Labor productivity New Zealand Nylon OECD countries Prices Productivity accounting Rent (Economic theory) Statistics Strength of materials Thermoplastic composites United States
Jaewoo Lee fl.1992-
Lee, J. fl.1992-
Lee, J. (Jaewoo)
Lee, Jae-woo fl.1992-