Giancarlo Corsetti's Books

One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area

By: Giancarlo Corsetti,Joao B. Duarte,Samuel Mann

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One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area

By: Giancarlo Corsetti,Joao B. Duarte,Samuel Mann

We study the transmission of monetary shocks across euro-area countries using a dynamic factor model and high-frequency identification. We develop a methodology to assess the degree of heterogeneity, which we find to be low in financial variables and output, but significant in consumption, consumer prices, and variables related to local housing and labor markets. Building a small open economy model featuring a housing sector and calibrating it to Spain, we show that varying the share of adjustable-rate mortgages and loan-to-value ratios explains up to one-third of the cross-country heterogeneity in the responses of output and private consumption.

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International Monetary Fund

Published Date

ISBN 10

1513548743

ISBN 13

9781513548746

Financial Markets and European Monetary Cooperation

The Lessons of the 1992-93 Exchange Rate Mechanism Crisis

By: Willem H. Buiter,Giancarlo Corsetti,Paolo A. Pesenti

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Financial Markets and European Monetary Cooperation

The Lessons of the 1992-93 Exchange Rate Mechanism Crisis

By: Willem H. Buiter,Giancarlo Corsetti,Paolo A. Pesenti

This book provides a comprehensive assessment of the causes and implications of the 1992-3 crisis of the exchange rate mechanism.

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242

Publisher

Cambridge University Press

Published Date

ISBN 10

0521794404

ISBN 13

9780521794404

Debt Seniority and Sovereign Debt Crises

By: Mr.Anil Ari,Giancarlo Corsetti,Luca Dedola

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Debt Seniority and Sovereign Debt Crises

By: Mr.Anil Ari,Giancarlo Corsetti,Luca Dedola

Is the seniority structure of sovereign debt neutral for a government's decision between defaulting and raising surpluses? In this paper, we address this question using a model of debt crises where a discretionary government endogenously chooses distortionary taxation and whether to apply an optimal haircut to bondholders. We show that when the size of senior tranches is small, a version of the Modigliani-Miller theorem holds: tranching just redistributes government revenues from junior to senior bondholders, while taxes and government borrowing costs remain unchanged. However, as senior tranches become sufficiently large, default costs on senior debt transpire into a stronger commitment to repay not only the senior tranche, but also the junior one. We show that there is a lower threshold for senior bonds above which tranching can eliminate default on both junior and senior debt, and an upper threshold beyond which the government defaults also on senior debt.

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International Monetary Fund

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ISBN 10

1484356217

ISBN 13

9781484356210

Sovereign Risk, Fiscal Policy, and Macroeconomic Stability

By: Giancarlo Corsetti,Mr.Keith Kuester,Mr.Andre Meier,Mr.Gernot J. Mueller

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Sovereign Risk, Fiscal Policy, and Macroeconomic Stability

By: Giancarlo Corsetti,Mr.Keith Kuester,Mr.Andre Meier,Mr.Gernot J. Mueller

This paper analyzes the impact of strained government finances on macroeconomic stability and the transmission of fiscal policy. Using a variant of the model by Curdia and Woodford (2009), we study a "sovereign risk channel" through which sovereign default risk raises funding costs in the private sector. If monetary policy is constrained, the sovereign risk channel exacerbates indeterminacy problems: private-sector beliefs of a weakening economy may become self-fulfilling. In addition, sovereign risk amplifies the effects of negative cyclical shocks. Under those conditions, fiscal retrenchment can help curtail the risk of macroeconomic instability and, in extreme cases, even stimulate economic activity.

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International Monetary Fund

Published Date

ISBN 10

1463933185

ISBN 13

9781463933180

Sovereign Risk and Belief-Driven Fluctuations in the Euro Area

By: Giancarlo Corsetti,Mr.Keith Kuester,Mr.Andre Meier,Mr.Gernot J. Mueller

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Sovereign Risk and Belief-Driven Fluctuations in the Euro Area

By: Giancarlo Corsetti,Mr.Keith Kuester,Mr.Andre Meier,Mr.Gernot J. Mueller

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent selffulfilling debt crises.

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International Monetary Fund

Published Date

ISBN 10

1475516800

ISBN 13

9781475516807

International Finance and Open-Economy Macroeconomics

By: Giancarlo Gandolfo

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International Finance and Open-Economy Macroeconomics

By: Giancarlo Gandolfo

This rigorous textbook tames technicalities and makes even the most complex models accessible to students. Its unique two-tier structure makes the book attractive for undergraduates, graduates and researchers alike. In fact, the coverage is primarily directed to undergraduate students and is mainly confined to graphic analysis and to some elementary algebra. Further, each chapter has its own mathematical appendix, in which (i) the topics treated in the text are examined at a level suitable for advanced undergraduates, graduates and researchers, and (ii) generalizations and/or topics not treated in the text (including some at the cutting edge of research) are formally examined. The new edition has been thoroughly revised and updated to reflect the latest research on international finance. This book deals with the financial side of international economics and covers all aspects of international finance. There are many books and articles by exponents of alternative points of view. I know of no other book that provides the scope, balance, objectivity and rigor of this book. the late Professor Jerome L. Stein, Brown University This book is a second edition of a volume on international finance first published in 2001. Like Giancarlo’s other books in International Economics, this book is organised as a two-books-in-one by distributing the material between text and appendices. The text provides coverage suitable for an undergraduate course while the mathematical appendices provide coverage of the topics at the frontier of the discipline and suitable for advanced undergraduate or graduate students in an international finance and international macroeconomics course. This edition updates the earlier volume and covers all the classic topics as well as the more recent advances in the theory and modelling of international finance. It includes some discussion of the empirical testing of these theories and where appropriate reference to the extensive empirical literature is also provided. This book is a valuable addition to the bookshelf of any serious International Finance Scholar and provides a treasure chest of material for any quality international finance course. Professor Pasquale M Sgro, Deakin University Giancarlo Gandolfo is one of the profession's most gifted textbook authors on mathematical modeling and international economics. His revised International Finance and Open-Economy Macroeconomics is remarkable for its scope and clarity. The book covers the older and intertemporal approaches, and topics that are usually left out of graduate treatments (the chapter on balance-of-payments accounting is a gem). Gandolfo's two-tier approach of first developing topics with graphs and basic algebra and then providing rigorous mathematics for each topic makes the book ideal for advanced undergraduate and graduate classes. Professor Michael D. Goldberg, University of New Hampshire

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Page Count

684

Publisher

Springer

Published Date

ISBN 10

3662498626

ISBN 13

9783662498620

International Economics Two

By: Giancarlo Gandolfo

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International Economics Two

By: Giancarlo Gandolfo

This second volume covers all the conventional topics of international monetary theory and open-economy macroeconomics, and a lot more besides. Gandolfo treats such further concepts as the theory of monetary integration and the European monetary union, foreign exchange crises and the Tobin tax, theory of games and international policy coordination. It follows the "two-tier" structure of the first volume, and, thanks to its self-contained treatment, may equally be used as a reference book.

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