Event

Past Events

CARF Workshops (2007)

Welfare Gains from Financial Liberalization (joint with Robert M. Townsend)

Dates 2007/5/31(Thu)16:50-18:30
Venue
Lecture Hall No.3, 3rd floor of the main Economics Building
Speaker Kenichi Ueda (International Monetary Fund)
Co-Sponsor Macroworkshop
Abstract Financial liberalization has been a controversial issue as there is little empirical evidence for its positive effects on economic growth. However, we find sizable welfare gains, 1 to 28 percent of permanent consumption though, consistent with the literature, the gain in the economic growth is ambiguous, -0.2 to 0.7 percent. We apply a canonical growth model with endogenous financial deepening to Thailand, 1976-96. As effective bank transaction costs decline, more people take advantage of financial services. We estimate the gains by comparing model simulations under the historical episode of financial liberalization to those under a hypothetical continuation of financial repression.
File(PDF)

An Efficient Dynamic Mechanism (joint with Susan Athey)

Dates 2007/5/17(thu)16:50-18:30
Venue Lecture Hall No.2, 3rd floor of the main Economics Building
Speaker Ilya Segal (Stanford University, Economic Department)
Co-Sponsor Microworkshop
Abstract This paper constructs an efficient, budget-balanced, Baysian incentive-compatible mechanism for a general dynamic environment with private information. As an intermediate result, we construct an efficient, ex post incentive-compatible mechanism, which is not budget balanced. We also provide conditions under which participation constraints can be satisfied in each period, so that the mechanism can be made self-enforcing if the horizon is infinite and players are sufficiently patient.
In our dynamic environment, agents observe a sequence of private signals over a number of periods (either finite or countable). In each period, the agents report their private signals, and make public (contractible) and private decisions based on the reports. The probability distribution over future signals may depend on both past signals and past decisions. The construction of an efficient mechanism hinges on the assumption of ”private values” (each agent’s payoff is determined by his own observations). Balancing the budget relies on the assumption of “independent types” (the distribution of each agents’s private signals does not depend on the other agents’ private information, except thorough public decisions).
File(PDF)

Operational Hedging of Transaction Exposure to Foreign Exchange Risk Arising from International Trade Contracts

Dates 2007/4/10(Tue)16:50-18:30
Venue
Lecture Hall No.3, 3rd floor of the main Economics Building
Speaker Imad Moosa (Monash University)
Co-Sponsor Microworkshop
Abstract A hybrid operational hedging technique is proposed to shift some of the foreign exchange risk from the importer to the exporter when the currency of the exporter is the currency of invoicing. This technique requires the conversion of the cash flows at a range of exchange rates calculated as some weighted average of the rates used under the risk-shifting techniques of risk sharing arrangements and currency collars. The problem of choosing the value of the parameter that determines how much of the risk is to be shifted to the exporter can be resolved by fine tuning the weights in such a way as to eliminate the sensitivity of the cash flows to the value of this parameter. The theoretical results are demonstrated with the use of monthly data on the exchange rate between the British pound and the U.S. dollar over the period January 1993-October 2006.
File(PDF)