Karine Gente

Does the World Real Interest Rate Affect the Real Exchange Rate? The South East Asian Experience

We analyse the consequences of US real interest rate rises on the real exchange rate (RER) in a two-good overlapping generations model of a semi-small open economy. The equilibrium RER depreciates (appreciates) when the world interest rate increases in a debtor (creditor) country. We then study empirically the reaction of the RER in a set of South East Asian (SEA) countries to shocks in US real interest rates. The results support the conclusions of the theory model at least for Singapore, Thailand and South Korea during the period 1980-2001.

Long-run relationships between international stock prices: further evidence from fractional cointegration tests

The recent empirical literature supports the view that most of the international stock prices are not pairwise cointegrated. However, by using fractional cointegration techniques, this article shows that France, Germany, Hong Kong and Japans stock prices indices are pairwise fractionally cointegrated with US stock prices. Equilibrium errors are mean reverting with half-life lying between 2 and 12 days. It is worthwhile noting that emerging markets like Brazil and Argentina are not pairwise cointegrated with the US stock market. These new results have important implications for asset pricing and international portfolio strategy.

Real Exchange Rate and Productivity in an OLG Model

This article develops an overlapping generations model to show how demography and savings affect the relationship between real exchange rate (RER) and productivity. In high-saving (low-saving) countries and/or low-population-growth-rate countries, a rise in productivity leads to a real depreciation (appreciation) whereas the RER may appreciate or depreciate in highproduction-growth-rate. Using panel data, we conclude that a rise in productivity generally causes a real exchange rate appreciation in debtor countries, a depreciation in creditor countries, an appreciation in countries whose population growth rate is low.

Should a country invest more in human or physical capital

Should a country invest more in human or physical capital? The present paper addresses this issue, considering the impact of different factor intensities between sectors on both optimal human and physical capital accumulation. Using a two-sector overlapping generations setting with endogenous growth driven by human capital accumulation, we prove that relative factor intensity between sectors drastically shapes the welfare analysis: two laissez-faire economies with the same global capital share may generate physical capital excess or scarcity, with respect to the optimum. The model for the Japanese economy, that experienced a factor intensity reversal after the oil shock, is then calibrated. It is shown that Japan invested relatively too much in human capital before 1975, but has not invested enough since 1990.

Taux de change reel et demographie dans une petite economie ouverte

Nous mettons en evidence une relation entre le taux de natalite et le taux de change reel, dans un modele a generations imbriquees. Les proprietes de cette relation sont les suivantes. D’une part, la reduction du taux de natalite provoque l’appreciation du taux de change reel. D’autre part, une variation temporaire du taux de natalite a des effets durables sur le taux de change reel de moyen terme. Ces resultats permettent d’analyser les consequences de la transition demographique – qui affecte les economies au cours du developpement – ou du baby-boom sur le taux de change reel.