Pierre-Olivier Gourinchas

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ABSTRACT [fre] Les variables propres à l'économie française (performances des entreprises, taux d'intérêt, etc.) ne suffisent pas à expliquer complètement les mouvements du marché boursier national. Ces derniers, en revanche, sont bien corrélés avec les variations du marché américain. Pour autant, on ne saurait en toute rigueur conclure à l'intégration des deux marchés. Wall Street n'est susceptible que d'amplifier, réduire, retarder... les tendances du marché parisien, non de les déterminer. . Une approche économétrique, issue d'une réflexion théorique sur la notion d'intégration, permet de conclure à la non-intégration des marchés français et américain. Ce résultat n'est pas paradoxal, d'abord parce que les marchés ne sont pas pour autant totalement indépendants l'un de l'autre et que des événements macro-économiques d'ordre international peuvent agir communément sur les deux marchés, ensuite parce que les intervenants sur le marché français sont attentifs aux évolutions de Wall Street, même s'ils ne sont pas engagés sur le marché américain. [eng] The Autonomy of the French Stock Market. Are the French and the American Markets Well-integrated ? - The variables which relate to the French economy (firm results, interest rates, etc.) cannot always entirely explain the movements of the national stock market. These movements, on the other hand, are well-corellated with fluctuations on the American market. One cannot, however, draw the absolute conclusion that the two markets are integrated. Wall Street may amplify, reduce or delay the trends of the Paris market, but it is not likely to determine them. An econometric approach, derived from theoretical reasoning about the concept of integration, makes it possible to conclude that the French and American markets are not integrated. This result is not paradoxical, first, because the market are not totally independent from each other and macroeconomic global international events can act simultaneously on both markets, and further because participants in the French markets closely watch trends on Wall Street, even if they are not directly involved in the American market. [spa] La autonomia del mercado bursatil francés : ¿ Los mercados francés y norteamericano están integrados ? - Las variables propias a la economía francesa (resultados de las empresas, tasas de interés, etc.) no son siempre suficientes para explicar por completo los movimientos del mercado bursatil nacional. Dichos movimientos, por el contrario, se encuentran en correlación con las variaciones del mercado norteamericano. A pesar de ello, no se puede llegar a la conclusión de que existe una integración de ambos mercados. Wall Street solo es susceptible de amplificar, reducir, hacer retroceder las tendencias del mercado parisiense, pero no de determinarlas. . Un enfoque econométrico que surge de una reflexion teórica acerca de la noción de integración permite extraer como consecuencia la no integración de los dos mercados. Este resultado no es paradójico, en primer lugar porque los mercados no son totalmente independientes uno de otro y algunos acontecimientos macroeconómicos de orden internacional pueden ejercer ciertos efectos sobre ellos. En segundo lugar, porque los que intervienen en el mercado francés están atentos a las evoluciones de Wall Street sin estar ligados al mercado norteamericano.

* Pierre-Olivier Gourinchas is the Editor of the IMF Economic Review and a Professor of Economics at UC Berkeley & Sciences Po. M. Ayhan Kose is the Co-Editor of the Review and an Assistant to the Director in the Research Department of the IMF. Thomas Helbling is the Guest Co-Editor of this special issue and the Division Chief of World Economic Studies Division in the Research Department of the IMF. In addition to the editors, the conference organization committee included A. Hakan Kara (CBRT). The editors would like to thank ...

ABSTRACT Ever since David Hume introduced his price-specie flow mechanism in 1752, the question of external adjustment has been a classic issue for international macroeconomists. In 1968 Robert Mundell asked "To what extent should surplus countries expand; to what extent should deficit countries contract?" (Mundell, 1968). The debate in those days was about the relative merits of expenditure-switching and expenditure-reducing policies, analyzed within the useful template of the Mundell-Fleming model. Subsequent research introduced microfoundations, added an explicit dynamic dimension borrowed from optimal growth theory, and highlighted the role of expectations. Throughout this process, understanding the adjustment of a country's external balances remained a key issue. By the early 1980s a modern synthesis had emerged, in the form of the intertemporal approach to the current account. It characterized the dynamics of external debt as the result of forward-looking decisions by households and investment decisions by firms, set in market structures of varying degrees of complexity. As Obstfeld remarks:

Standard theoretical arguments tell us that countries with relatively little capital benefit from financial integration as foreign capital flows in and speeds up the process of convergence. We show in calibrated exercises that conventionally measured welfare ...

Standard theoretical arguments tell us that countries with relatively little capital benefit from financial integration as foreign capital flows in and speeds up the process of convergence. We show in calibrated exercises that conventionally measured welfare gains from this type of convergence appear relatively limited for the typical emerging country. The traditional theory, then, does not seem to provide a sufficient rationale for capital account liberalization. Our approach emphasizes instead that poor countries face a number of distortions that ...

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Engel has been a major contributor to the new-open-economy macro (NOEM) literature. This literature, pioneered by Obstfeld and Rogoff (1995), aims to build models of the open economy in the New Keynesian tradition while retaining solid micro foundations and a rigorous intertemporal approach. Engel's empirical and theoretical papers have shaped and greatly influenced the direction that this research has taken. This paper offers two contributions. The first part is a survey of recent developments in the literature, both ...

Abstract: Pierre-Olivier Gourinchas is Assistant Professor of Economics at the University of California, Berkeley. His main lines of research are on precautionary savings and international financial integration. ... Related works: This item may be available elsewhere in EconPapers: Search for items with the same title. ... This site is part of RePEc and all the data displayed here is part of the RePEc data set. ... Is your work missing from RePEc? Here is how to contribute. ... EconPapers is hosted by the Swedish Business School at Örebro ...

A little more than three years ago, the world economy experienced a dramatic convulsion, the ripple effects of which are still with us. In the years leading to that crisis, many worried about excessive external deficits in the US, and surpluses in other parts of the world, the so-called “global imbalances.” These global imbalances are still with us. The latest IMF's World Economic Outlook forecasts that US current account deficits will worsen from 0.5 to around one percent of world output between now and the end of 2012.

Abstract We update and improve the Gourinchas and Rey (2007a) dataset of the historical evolution of US external assets and liabilities at market value since 1952 to include the recent crisis period. We find strong evidence of a sizeable excess return of gross assets over gross liabilities. The center country of the International Monetary System enjoys an “exorbitant privilege” that significantly weakens its external constraint.

Un sujet ne doit pas chasser l'autre. Depuis la fin de 2008, le G20 a fait un certain nombre de recommandations pour améliorer la régulation bancaire et financière à la lumière de la crise mondiale. Certaines propositions ont déjà été mises en œuvre, mais beaucoup reste à faire.

Abstract: This paper employs a synthetic cohort technique and Consumer Expenditure Survey data to construct average age-profiles of consumption and income over the working lives of typical households across different education and occupation groups. Using these profiles, we estimate a structural model of optimal life-cycle consumption expenditures in the presence of realistic labor income uncertainty. The model fits the profiles quite well.

The first robustness check consists in using Christiano and Fitzgerald's (2003) asymmetric bandpass filter as an alternative to the Hodrick-Prescott filter (footnote 19 in Gourinchas and Rey (2007)). The second robustness check looks at the detrending of the returns on gross assets, gross liabilities and the growth rate of household financial wealth (footnote 21). The last robustness check looks construct the weights for nxa separately for the Bretton Woods and post Bretton Woods period (footnote 23).

This paper evaluates the impact of exchange rate fluctuations on inter-and intra-sectoral job reallocation. First, a vintage model of factor reallocation in a small open economy facing real exchange rate fluctuations is developed. Movements in the real exchange rates affect the profitability of production units, and the pattern of entry and exit. The model predicts abunching'of entry and exit around the peak of predictable appreciation episodes, as less productive firms are cleansed and newcomers adopt more efficient technologies.

This paper takes a fresh look at the historical evolution of the United States external position over the postwar period by carefully constructing the US gross asset and liability positions since 1952 from underlying data and applying appropriate valuations to each component. The last two decades have been characterized by a sharp increase in international capital flows and, in particular, by a rising globalization of equity markets.

ABSTRACT A key precursor of twentieth-century financial crises in emerging and advanced economies alike was the rapid buildup of leverage. Those emerging economies that avoided leverage booms during the 2000s also were most likely to avoid the worst effects of the twenty-first century's first global crisis.

ABSTRACT The paper proposes a unified framework to study the dynamics of net foreign assets and exchange rate movements. We show that deteriorations in a country's net exports or net foreign asset position have to be matched either by future net export growth (trade adjustment channel) or by future increases in the returns of the net foreign asset portfolio (hitherto unexplored financial adjustment channel).

One of the basic motives for saving is the accumulation of wealth to insure future wel fare. Both introspection and extant research on consumption insurance find that people face substantial risks that they do not fairly pool. In theory, the consumption and wealth accu mulation of price taking households in an economy with incomplete markets differs substan tially from the behavior of these same households in the equivalent economy with complete markets.

Abstract: The textbook neoclassical growth model predicts that countries with faster productivity growth should invest more and attract more foreign capital. We show that the allocation of capital flows across developing countries is the opposite of this prediction: capital seems to flow more to countries that invest and grow less. We then introduce wedges into the neoclassical growth model and find that one needs a saving wedge in order to explain the correlation between growth and capital flows observed in the data.

This chapter explores the consequences of Social Security reform for the inequality of consumption across individuals. The basic idea is that inequality is at least in part the consequence of individual risk in earnings or asset returns. In each period, each person gets a different draw, of earnings or of asset returns, so that whenever differences cumulate over time, the members of any group will draw further apart from one another, and inequality will grow.

Abstract Will the world run out of 'safe assets' and what would be the consequences on global financial stability? We argue that in a world with competing private stores of value, the global economic system tends to favor the riskiest ones. Privately produced stores of value cannot provide sufficient insurance against global shocks. Only public safe assets may, if appropriately supported by monetary policy. We draw some implications for the global financial system.

ABSTRACT This paper presents a model of international portfolios with real exchange rate and non financial risks that accounts for observed levels of equity home bias. A key feature is that investors can trade equities as well as domestic and foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk since relative bond returns are strongly correlated with real exchange rate movements.

This is an interesting and ambitious paper on an important topic. A number of studies have documented the importance of financial development for economic growth. The authors argue that increased financial market integration in the euro zone will foster financial development, and therefore stimulate economic growth. This is a sensible argument.

The paper argues that uncoordinated national migration policies in EU countries are inefficient and lead to a ���race to the top���(overly restrictive national migration regulations). Boeri and Brucker claim that this is particularly so in the context of the recent EU enlargement where existing EU members where given the opportunity to postpone opening their labor markets to immigrants from the New Member States (NMS).

Abstract Will the world run out of 'safe assets' and what would be the consequences on global financial stability? We argue that in a world with competing private stores of value, the global economic system tends to favor the riskiest ones. Privately produced stores of value cannot provide sufficient insurance against global shocks. Only public safe assets may, if appropriately supported by monetary policy. We draw some implications for the global financial system.