Last update: June 6, 2009
Education:
Ph D Candidate in Economics, Boston University. (Expected Graduation Date : May 2010)
M.A. Economics, Universidad Nacional de Colombia (Colombia's National University), 2003
B.A. Economics, Universidad Nacional de Colombia (Colombia's National University), 2000
Links: Boston University Department of Economics
E-mail1: jojedajo@bu.edu
E-mail2: jnojeda2000@yahoo.com
Fields: International Finance, Econometrics and Public Finance
Research Interests: Purchasing Power Parity, International Risk Sharing, Exchange Rate Predictability
Working Papers (Comments are welcome):
Purchasing Power Parity and Breaking Trend Functions in the Real Exchange Rate (April 2009)
Abstract:
This paper provides evidence of long run purchasing power parity by performing a recently developed method to test for unit roots in the presence of structural breaks. Data consist of real exchange rate series for 20 countries including developed and developing economies. Structural breaks are detected in 18 countries and real exchange rates are found to be stationary in all countries except Japan. Estimated linear trends are the result of cross-country total factor productivity differentials between tradable and nontradable sectors. Estimated breaks correspond to large and permanent total factor productivity shocks associated with historical events like wars, structural reforms or deep economic recessions. An exercise with total factor productivity data shows that the Balassa-Samuelson effect explains the estimated long run trends in most countries.
External Habits and the International Risk Sharing Puzzle (November 2008)
Abstract:
Preferences with external habits are assumed in the measurement of bilateral international risk sharing for the G7 countries in order to address the puzzle described by Brandt, Cochrane and Santa-Clara (2006). According to their index, international risk sharing is in the order of 95% when measured with asset market data, but typically lower than 40% if computed with consumption data and standard preferences. This paper shows that when habit formation depends on the evolution of consumption growth in both the domestic and the foreign country, it is possible to reconcile both risk sharing measurements not only in terms of risk sharing levels but also in terms of total risk levels. A nonlinear GMM estimation is performed to show that the assumed external habit framework is not rejected by actual currency excess return data.
Selected Publication:
Montes, Enrique. Rubio, Orlando, Ojeda Jair. (2004). “External Debt, Investment and Growth in Colombia, 1970 – 2002”, Revista del Banco de la República (Colombia's Central Bank Journal), iss. 916, February 2004. pp. 22 – 65. Bogotá, Colombia. (In Spanish).
NEWSLETTER ON INTERNATIONAL FINANCE RESEARCH -2008
This is an annual newsletter about the most recent papers on international finance published in the top 10 journals on economics during 2008.