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Saturday, December 18, 2010

Talk on US financial regulatory reform, by Viral Acharya

Viral Acharya will do a talk Recent developments in financial regulatory policy in the United States: Review and Critique at NIPFP (1st floor conference room) at 4:30 PM on Monday the 20th of December. All are invited. The talk will be followed by snacks on the lawns of NIPFP.

This will draw upon the work of many scholars at the NYU Stern School of Business, which has given two books: Restoring financial stability: How to repair a failed system (Viral V. Acharya, Matthew Richardson, 2009) and Regulating Wall Street: The Dodd-Frank Act and the new architecture of global finance (Viral V. Acharya, Thomas F. Cooley, Matthew P. Richardson, Ingo Walter, 2010).

Tuesday, August 10, 2010

Three interesting meetings

The 7th research meeting of the NIPFP DEA Research Program

This is 31 August and 1 September; here is the program.

A pair of mini-courses

From 6 to 10 September, we have a pair of mini courses: Sanjay Banerji will teach on financial crises, and Sourafel Girma will teach on the new quasi-experimental econometrics.

NIPFP Macroeconomics Symposium

On 14 September 2010, we have the NIPFP Macroeconomics Symposium.

Wednesday, August 4, 2010

Understanding the ADR Premium under Market Segmentation

Understanding the ADR premium under market segmentation by Matthieu Stigler, Ajay Shah and Ila Patnaik.

The abstract reads: Capital controls can induce large and persistent deviations from the Law of One Price for cross-listed stocks in international capital markets. A considerable literature has explored firm-specific factors which influence ADR pricing when LOP is violated. In this paper, we examine the interlinkages between Indian ADR premiums and macro economic time-series. We construct an ADR premium index, whereby diversification across firms diminishes idiosyncratic fluctuations associated with each security. We find that the S&P 500 index and the domestic Nifty index influence the ADR Premium Index. Positive shocks to the ADR premium index precede higher purchases by foreign investors on the domestic market, and precede positive returns on the domestic index.

You might like to see: the stock of papers from the NIPFP Macro/Finance Group.

Two papers on monetary policy

Monetary policy in an uncertain world: Probability models and the design of robust monetary rules by Paul Levine.

The abstract reads: The past forty years or so has seen a remarkable transformation in macro-models used by central banks, policymakers and forecasting bodies. This paper describes this transformation from reduced-form behavioural equations estimated separately, through contemporary micro-founded dynamic stochastic general equilibrium (DSGE) models estimated by systems methods. In particular by treating DSGE models estimated by Bayesian-Maximum-Likelihood methods I argue that they can be considered as probability models in the sense described by Sims (2007) and be used for risk-assessment and policy design. This is true for any one model, but with a range of models on offer it is also possible to design interest rate rules that are simple and robust across the rival models and across the distribution of parameter estimates for each of these rivals as in Levine et al. (2008). After making models better in a number of important dimensions, a possible road ahead is to consider rival models as being distinguished by the model of expectations. This would avoid becoming `a prisoner of a single system' at least with respect to expectations formation where, as I argue, there is relatively less consensus on the appropriate modelling strategy.

A Floating versus Managed Exchange Rate Regime in a DSGE Model of India by Nicoletta Batini, Vasco Gabriel, Paul Levine and Joseph Pearlman.

The abstract reads: We first develop a two-bloc model of an emerging open economy interacting with the rest of the world calibrated using Indian and US data. The model features a financial accelerator and is suitable for examining the effects of financial stress on the real economy. Three variants of the model are highlighted with increasing degrees of financial frictions. The model is used to compare two monetary interest rate regimes: domestic Inflation targeting with a floating exchange rate (FLEX(D)) and a managed exchange rate (MEX). Both rules are characterized as a Taylor-type interest rate rules. MEX involves a nominal exchange rate target in the rule and a constraint on its volatility. We find that the imposition of a low exchange rate volatility is only achieved at a significant welfare loss if the policymaker is restricted to a simple domestic inflation plus exchange rate targeting rule. If on the other hand the policymaker can implement a complex optimal rule then an almost fixed exchange rate can be achieved at a relatively small welfare cost. This finding suggests that future research should examine alternative simple rules that mimic the fully optimal rule more closely.

You might like to see: the stock of papers from the NIPFP Macro/Finance Group.

Monday, February 15, 2010

Talk at R/Rmetrics Singapore Conference 2010 on measurement of the exchange rate regime

Anmol Sethy will do a talk on our work on testing, dating and monitoring exchange rate regimes at the R/Rmetrics Singapore Conference 2010, including some recent progress on parallel computation. For background, see this paper, which talks about the ideas, and the open source R package fxregime. This is now fairly mature work: many of the papers at the NIPFP DEA Program website have utilised the ideas and code. The 6th meeting of the NIPFP-DEA Research Program (9 and 10 March) is going to have interesting new work in this field.

Saturday, February 13, 2010

Come work for us

Come work for the NIPFP-DEA Research Program:

We are looking for people with a Masters or a Ph.D. with an economics / econometrics / statistics background with an interest in the fields visible in the above URL. Computer programming skills, ideally in R or matlab, are desirable.

Please send your resume to Anurodh Sharma : anurodh54 at gmail dot com.

Friday, January 22, 2010

Seminar by Paul Levine: Monetary Policy in an Uncertain World

Please join us for this seminar: 5 PM on 25th January (Monday), at NIPFP, followed by snacks on the NIPFP lawns.