Central bank research hub - Papers by Fernando Alvarez
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Research hub papers by author Fernando AlvarezenThe Pass-Through of Large Cost Shocks in an Inflationary Economy
http://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc844.pdf
Central Bank of Chile Working Papers by Fernando Alvarez and Andy NeumeyerThe Pass-Through of Large Cost Shocks in an Inflationary Economy2019-10-01T00:00:44ZWe describe several events in Argentina between 2012 and 2018 in which public utilities or the exchange rate increase by a large amount in a single month. During these months the nominal increase in our measure of the cost of the goods included in the core CPI was as high as 10%. Motivated by these events, we use a menu cost model of price adjustment to derive the theoretical pass-through of large cost shocks to consumer prices for an economy with an underlying inflation rate of the order of 25% per year, as well as the impact of these shocks on the size and on the frequency of price changes. Using a comprehensive, never used in the price adjustment literature, micro-data set underlying the construction of the core CPI for the city of Buenos Aires we compare the theoretical effect of the cost shocks to the empirical one. As predicted by the theory we find that despite the high level of underlying inflation, the large frequency of both price increases and decreases points to the importance of idiosyncratic firm shocks, such as the ones we use in our model. Right after large increases in costs, both the fraction of price increases and the average size of price increases dramatically rises, while the size of price decreases stays approximately the same, just at the simple model predicts. On the other hand, the model predicts a small decrease in the fraction of price decreases which we don't observe in the data. We conclude that for large sudden changes in cost, consumer prices behave almost as if they were fully flexible. On the other hand, for small shocks the short-term pass-through will be smaller and its half-life larger.The Pass-Through of Large Cost Shocks in an Inflationary EconomyFull texthttp://si2.bcentral.cl/public/pdf/documentos-trabajo/pdf/dtbc844.pdfFernando AlvarezAndy NeumeyerFernando Alvarez and Andy Neumeyer2019-10Central Bank of Chile Working PapersSmall and large price changes and the propagation of monetary shocks
https://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT-492_01.pdf
Bank of France Working Papers by Fernando Alvarez, Hervé Le Bihan and Francesco LippiSmall and large price changes and the propagation of monetary shocks2014-07-08T17:36:59ZWe document the presence of both small and large price changes in individual price records from the CPI in France and the US. After correcting for measurement error and cross-section heterogeneity, the size-distribution of price changes has a positive excess kurtosis. We propose an analytical menu cost model that encompasses several classic models, as Taylor (1980), Calvo (1983), Reis (2006), Golosov and Lucas (2007) and accounts for observed cross-sectional patterns. We show that the ratio of kurtosis to the frequency of price changes is a sufficient statistics for the real effects of monetary policy in a large class of models.Small and large price changes and the propagation of monetary shocksAbstracthttps://www.banque-france.fr/en/economics-statistics/research/working-paper-series/document/492-1.htmlFull texthttps://www.banque-france.fr/uploads/tx_bdfdocumentstravail/DT-492_01.pdfHervé Le BihanFernando AlvarezFrancesco LippiFernando Alvarez, Hervé Le Bihan and Francesco Lippi2014-06Bank of France Working PapersE3E5Mandatory Disclosure and Financial Contagion
http://www.chicagofed.org/digital_assets/publications/working_papers/2014/wp2014_04.pdf
Chicago Fed Working papers by Fernando Alvarez, Gadi BarlevyMandatory Disclosure and Financial Contagion2014-05-01T06:19:59ZMandatory Disclosure and Financial ContagionAbstracthttp://www.chicagofed.org/webpages/publications/working_papers/2014/wp_04.cfmGadi BarlevyFernando AlvarezFernando Alvarez, Gadi Barlevy2014-05Federal Reserve Bank of Chicago Working PapersMandatory Disclosure and Financial Contagion
http://www.chicagofed.org/webpages/publications/working_papers/2014/wp_04.cfm
Chicago Fed Working papers by Fernando Alvarez, Gadi BarlevyMandatory Disclosure and Financial Contagion2014-05-01T06:19:59ZThis paper analyzes the welfare implications of mandatory disclosure of losses at nancial institutions when it is common knowledge that some banks have incurred losses but not which ones. We develop a model that features contagion, meaning that banks not hit by shocks may still su er losses because of their exposure to banks that are. In addition, we assume banks can pro tably invest funds provided by outsiders, but will divert these funds if their equity is low. Investors thus value knowing which banks were hit by shocks to assess the equity of the banks they invest in. We find that when the extent of contagion is large, it is possible for no information to be disclosed in equilibrium but for mandatory disclosure to increase welfare by allowing investment that would not have occurred otherwise. Absent contagion, mandatory disclosure cannot raise welfare, even if markets are frozen.Mandatory Disclosure and Financial ContagionAbstracthttp://www.chicagofed.org/webpages/publications/working_papers/2014/wp_04.cfmGadi BarlevyFernando AlvarezFernando Alvarez, Gadi Barlevy2014-05Federal Reserve Bank of Chicago Working PapersIf Exchange Rates Are Random Walks Then Almost Everything We Say About Monetary Policy Is Wrong
http://www.minneapolisfed.org/research/WP/WP650.pdf
Minneapolis Fed Working Papers by Fernando Alvarez, Andrew Atkeson, and Patrick J. KehoeIf Exchange Rates Are Random Walks Then Almost Everything We Say About Monetary Policy Is Wrong2007-03-22T07:14:59ZIf Exchange Rates Are Random Walks Then Almost Everything We Say About Monetary Policy Is WrongAbstracthttp://www.minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=1085Full texthttp://www.minneapolisfed.org/research/WP/WP650.pdfAndrew AtkesonFernando AlvarezPatrick J. KehoeFernando Alvarez, Andrew Atkeson, and Patrick J. Kehoe2007-03Federal Reserve Bank of Minneapolis Working PapersFixed Term Employment Contracts in an Equilibrium Search Model
http://www.chicagofed.org/publications/workingpapers/wp2005_14.pdf
Chicago Fed Working papers by Fernando Alvarez, Marcelo VeraciertoFixed Term Employment Contracts in an Equilibrium Search Model2005-12-10T07:10:00ZFixed Term Employment Contracts in an Equilibrium Search ModelAbstracthttp://www.chicagofed.org/economic_research_and_data/wp_abstract.cfm?pubsID=742Full texthttp://www.chicagofed.org/publications/workingpapers/wp2005_14.pdfFernando AlvarezMarcelo VeraciertoFernando Alvarez, Marcelo Veracierto2005-12Federal Reserve Bank of Chicago Working PapersInterest Rates and Inflation
http://www.minneapolisfed.org/research/wp/wp609.pdf
Minneapolis Fed Working Papers by Fernando Alvarez, Robert E. Lucas, Jr., and Warren E. WeberInterest Rates and Inflation2004-04-15T17:34:00ZInterest Rates and InflationAbstracthttp://www.minneapolisfed.org/research/wp/wp609.htmlFull texthttp://www.minneapolisfed.org/research/wp/wp609.pdfFernando AlvarezWarren E. WeberRobert E. LucasFernando Alvarez, Robert E. Lucas, Jr., and Warren E. Weber2001-01Federal Reserve Bank of Minneapolis Working PapersTime-Varying Risk, Interest Rates and Exchange Rates in General Equilibrium
http://www.minneapolisfed.org/research/wp/wp627.pdf
Minneapolis Fed Working Papers by Fernando Alvarez, Andrew Atkeson, and Patrick J. KehoeTime-Varying Risk, Interest Rates and Exchange Rates in General Equilibrium2004-04-15T17:34:00ZTime-Varying Risk, Interest Rates and Exchange Rates in General EquilibriumAbstracthttp://www.minneapolisfed.org/research/wp/wp627.htmlFull texthttp://www.minneapolisfed.org/research/wp/wp627.pdfAndrew AtkesonFernando AlvarezPatrick J. KehoeFernando Alvarez, Andrew Atkeson, and Patrick J. Kehoe2003-01Federal Reserve Bank of Minneapolis Working Papers