I. Exchange Rates and International Portfolios
– Maurice Obstfeld and Kenneth Rogoff, 1996. Foundations of International Macroeconomics. Cambridge MA and London, England, MIT Press.
– Carlos A. Vegh, 2013. Open Economy Macroeconomics in Developing Countries. Cambridge MA and London, England, MIT Press.
1.1 Behavior of nominal exchange rates
– Simple models of exchange rate behaviour (PPP, UIRP, the monetary model, Taylor-rule models, Gourinchas – Rey)
– The Meese and Rogoff puzzle
– Exchange rates as asset prices
– Predictability of exchange rates
– Charles Engel and Kenneth D. West, 2005. Exchange Rates and Fundamentals, Journal of Political Economy, 113: 485–517.
– Pierre-Olivier Gourinchas and Helene Rey, 2007. International Financial Adjustment, Journal of Political Economy, 115: 665–703.
– Barbara Rossi, 2013. Exchange rate predictability. Journal of Economic Literature, 51: 1063–1119.
1.2 The Real Exchange Rate
– PPP and its failures
– The Redux model and its extensions
– Maurice Obstfeld and Kenneth Rogoff, 1995. Exchange rate dynamics redux. Journal of Political Economy, 103: 624–60.
– Alan Taylor and Mark Taylor, 2004. The Purchasing Power Parity Debate. Journal of Economic Perspectives, 18: 135–158.
1.3 Exchange Rate Regimes and Crises
– First-generation currency crisis models: the Krugman BoP model
– Second-generation models: coordination failures
– Third generation models
– Roberto Chang and Andres Velasco, 2001. A model of financial crises in emerging markets. Quarterly Journal of Economics, 116:489–517.
– Robert Flood and Peter Garber, 1984. Collapsing Exchange Rate Regimes: Some Linear Examples. Journal of International Economics, 17: 1–13.
– Paul Krugman, 1979. A Model of Balance of Payments Crises. Journal of Money, Credit, and Banking, 11: 311–325.
– Maurice Obstfeld, 1996. Models of currency crises with self-fulfilling features. European Economic Review, 40: 1037–1048.
1.4 International Asset Allocation and the Home Bias
– International portfolio allocation,
– The causes of the home bias,
– The risk premium in the exchange rate market.
– Nicolas Coeurdacier and Helene Rey. 2011. Home Bias in Open Economy Financial Macroeconomics. NBER Working Paper 17691.
– Brian Hill and Tomasz Michalski. 2014. Risk versus ambiguity and international security design. mimeo HEC Paris.
– Stijn Van Nieuwerburgh and Laura Veldkamp. 2009. Information Immobility and the Home Bias Puzzle. Journal of Finance, 64: 1187–1215.
– Hanno Lustig & Adrien Verdelhan, 2007. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk, American Economic Review, 97: 89-117.
– Hanno Lustig & Adrien Verdelhan, 2011. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply, American Economic Review, 101: 3477-3500.
1.5 International Business Cycles and Insurance
– The standard two-country model of international business cycles
– International risk sharing
– Aguiar, M. and G. Gopinath (2007). Emerging market business cycles: The cycle is the trend. Journal of Political Economy 115(1).
– Mendoza, E. G. (1991). Real business cycles in a small open economy. American Economic Review, 797–818.
– Backus, D., P. Kehoe, and F. Kydland (1992). International real business cycles. Journal of Political Economy 100: 745-75.
– Heathcote, J. and F. Perri (2002). Financial autarky and international business cycles. Journal of Monetary Economics 49: 601–627.
– Colacito, R. and M. M. Croce (2011). Risks for the long-run and the real exchange rate. Journal of Political Economy 119(1).
– Heathcote, J. and F. Perri (2014). Handbook of international Economics, Volume 4. Elsevier.
II. Sovereign debt
2.1 Why sovereign debt is specific and some history of sovereign borrowing and lending
– Panizza, U., Sturzenegger, F. and Zettelmeyer, J. (2009), The Economics and Law of Sovereign Debt and Default, Journal of Economic Literature, 47:3, 653-700.
2.2 Reputation model of sovereign debt and their limits
– Arellano, C. (2008) “Default Risk and Income Fluctuations in Emerging Economies,” American Economic Review, vol. 98, 690-712.
– Eaton, J. and M. Gersovitz (1981): “Debt with Potential Repudiation: Theoretical and Empirical Analysis,” Review of Economic Studies, 48, 289-309.
– Bulow, J. and K. Rogoff (1989): “Sovereign Debt: Is to Forgive to Forget?” American Economic Review, 79, 43-50.
2.3 Resuscitating reputation models
– Cole, H. and Kehoe, P. (1998), “Models of Sovereign Debt: Partial versus General Reputations,” International Economic Review, vol. 39, 55-70.
– Hellwig, C. and Lorenzoni G. (2009) “Bubbles and Self-Enforcing Debt,” Econometrica, vol. 77, 1137-1164.
2.4 The internal consequences of default
– Broner, F. A., A. Martin, and J. Ventura (2010): “Sovereign Risk and Secondary Markets” American Economic Review, 100, 1523-1555.
– Gennaioli, N., A. Martin, and S. Rossi (2014): “Sovereign Default, Domestic Banks, and Financial Institutions,” Journal of Finance, 69, 819-866.
– Mendoza, E. G. and V. Z. Yue (2012): “A General Equilibrium Model of Sovereign Default and Business Cycles,” The Quarterly Journal of Economics, 127, 889-946.
– Mengus, E. (2014), “Honoring Sovereign Debt or Bailing Out Domestic Residents: A Theory of Internal Costs of Default”, mimeo, TSE and HEC.