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Then we study how past credit accumulation impacts the behavior of not only output but also other key macroeconomic variables such as investment, lending, interest rates, and inflation. The facts that we uncover lend support to the idea that financial factors play an important role in the modern business cycle. Journal of International Economics 8. September 2. 01. 2, 7. With Taylor abstract (+)The carry trade is the investment strategy of going long in high- yield target currencies and short in low- yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on low Sharpe ratios and negative skew, these trades could appear unattractive, even when diversified across many currencies. But more sophisticated conditional trading strategies exhibit more favorable payoffs. We apply novel (within economics) binary- outcome classification tests to show that our directional trading forecasts are informative, and out- of- sample loss- function analysis to examine trading performance. The critical conditioning variable, we argue, is the fundamental equilibrium exchange rate (FEER). Expected returns are lower, all else equal, when the target currency is overvalued. Like traders, researchers should incorporate this information when evaluating trading strategies. When we do so, some questions are resolved: negative skewness is purged, and market volatility (VIX) is uncorrelated with returns; other puzzles remain: the more sophisticated strategy has a very high Sharpe ratio, suggesting market inefficiency. International Economic Review 5. May 2. 01. 2, 6. 09- 6. With Chong and Taylor abstract (+)Frictions and perturbations may influence currency values in the short run, but it is generally acknowledged that real- exchange rates eventually settle toward equilibrium. The puzzle then is how gradually this parity is reached given the fluidity in foreign exchange markets. Wondershare Video Converter Platinum 5 1 1 With Serial . Persistent differences in the relative productivity of countries—a broad characterization of the Harrod–Balassa–Samuelson hypothesis—may help explain this puzzle.This article introduces methods to estimate equilibrium adjustment paths semiparametrically, and then sort how each of these components influences the dynamics of exchange rates.This is done in a dynamic panel setting by introducing novel local projections methods for cointegrated systems.Productivity shocks affect dynamics, and after adjusting for these factors, adjustment toward equilibrium is relatively rapid.IMF Economic Review 5.June 2. 01. 1, 3. With Schularick and Taylor abstract (+)Do external imbalances increase the risk of financial crises?This paper studies the experience of 1.It exploits the long- run data set in a number of different ways.First, the paper applies new statistical tools to describe the temporal and spatial patterns of crises and identifies five episodes of global financial instability in the past 1. Why Does Ceramic Tile Crack Isolation on this page. Second, it studies the macroeconomic dynamics before crises and shows that credit growth tends to be elevated and short- term interest rates depressed relative to the “natural rate” in the run- up to global financial crises. Third, the paper shows that recessions associated with crises lead to deeper slumps and stronger turnarounds in imbalances than during normal recessions. Finally, the paper asks to what extent external imbalances help predict financial crises. 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