9/2005-Present Ph.D. Economics, Boston University, Boston MA, May 2010 (expected)
Thesis Title: Essays on Emerging Economies [outline]
Thesis Committee: Laurence J. Kotlikoff, Adrien Verdelhan, Francois Gourio
3/2005 M.A. Economics, Keio University, Tokyo Japan
3/2003 B.A. Economics, Keio University, Tokyo Japan
FIELDS OF INTERESTS
International Finance, Macroeconomics, Public Finance
PROFESSIONAL EXPERIENCE
Summer 2008 International Monetary Fund, Washington D.C.
Summer
Economist Program, Monetary and Capital Market (MCM) Department
Summer 2003 International Monetary Fund, Tokyo, Japan.
Summer Intern Program, Regional Office of Asia
and the Pacific (OAP)
4/2005-8/2005 Keio University, Department of Economics
Research Associate
CURRENT RESEARCH
"Serial Default and Debt Renegotiation" 2009 (JOB MARKET PAPER) [Paper]
"Currency Composition of External Debt " 2009
"Preemptive or Expost-default Debt Renegotiation" 2009 (in progress)
with Christoph Trebesch
"Quantifying Market Perception of Foreign Exchange Intervention "
with Romain Veyrune (IMF) 2009
(currently under the review for working paper)
"How Can Foreign Exchange Interventions be Distinguished from Other Official
Transactions? "
with Alain Vandepeute and Romain Veyrune (IMF) 2009
(currently under the review for working paper)
"Dynamic Effect of Change in Exchange Rate System -From the Fixed
Exchange Rate Regime to the Basket-peg or Floating Regime"
with Naoyuki Yoshino and Sahoko Kaji (Keio University) 2009 Submitted for publication [Paper]
"Choices of Optimal Monetary Policy Instruments under the Floating
and the Basket-peg Regimes "
with Naoyuki Yoshino, and Sahoko Kaji (Keio University) 2009 Submitted for publication [Paper]
"Incidence of Export Tax Rebate in China" 2009 (in progress)
SELECTED PRESENTATIONS (**: scheduled, *: by co-author)
Conference :
American Economic Association (**2010), European Economic Association (2009)
North American Econometric Society Summer Meeting (2009)
Midwest Macro Meeting (2009), Midwest Theory Meeting (2009)
Royal Economic Society Conference (2009), Singapore Economic Review (*2009)
Far-Eastern South Asia Econometric Society Meeting (*2009)
BC-BU Green Line Macro Meeting (2009)
Spanish Economic Association (2009)
ADBI-Keio Workshop (2009), Asia-Pacific Economic Association (*2008)
Asian Economic Panel (2008, *2005), Japanese
Economic Association (*2005)
Invited Seminars:
GRIPS (2009), Keio University (2009), Osaka University (2009)
IMF Monetary and Capital Market Department (2008)
IMF Research Department (2008)
IMF Regional Office of Asia and the Pacific (2005, 2007, 2008)
Student
Workshop:
Boston
TEACHING
EXPERIENCE
Instructor:
International Finance, Boston University, Summer 2009, Spring 2010
Intermediate Macro, Boston University, Fall 2008
Intermediate Macro, Bunker Hill Community College, Fall 2007
Advanced International Finance, NEXI, Japan, Summer 2005
Intermediate International Finance, NEXI, Japan, Spring 2005
Teaching
Fellow (Head):
Introductory Macro/Micro, Boston University, Spring / Fall 2009
Teaching
Assistant:
Finance and Banking, Keio University, Spring 2005
Development and Environment, Keio University, Fall 2001, Spring / Fall
2002
RESEARCH EXPERIENCE
Research
Assistant, Prof. William Grimes, Boston University, Summer 2006, Summer 2007
Research Assistant, Prof. Naoyuki Yoshino, Keio University, April 2003-Augest
2005
Research Assistant, Japan Bank for International Corporation (JBIC), January 2004-March 2004
Research Assistant, JCIF, Project "The Exchange Rate Arrangements
in ASEAN+3 " Fall 2003
Research Assistant, Dr. Charles Adams, IMF
OAP, Summer 2003
FELLOWSHIPS AND AWARDS
Student Grant, Spanish
Economic Association Annual Conference, Winter 2009
Institute for Economic Development Travel Grant, Boston University, Summer/Fall 2008, Summer2009
Teaching Fellowship, Boston University, Spring 2009-Present
Senior Teaching Fellowship, Boston University, Fall 2008
Japan-IMF Scholarship for Advanced Studies, August 2006 - July 2008
PUBLICATIONS
"The Optimal Weight and Composition of a Basket Currency in Asia "The
Implications of Asymmetry"2005
SCMS Journal of Indian Management Vol.2 (4) pp74-87
with Naoyuki Yoshino and Sahoko Kaji (Keio University)
"Optimal Exchange Rate System in Two Countries with the Rest of the
World" 2004
KeioEconomic
Studies,Vol.41(2) pp25-75
with Naoyuki Yoshino and Sahoko Kaji (Keio Univeristy)
REFERENCES
|
Prof. Laurence J. Kotlikoff |
Prof. Adrien Verdelhan Department of Finance MIT Sloan School of Management Phone: (617)-253-5123 Email: adrienv@mit.edu 50 Memorial Drive, E52-436 Cambridge, MA 02142 USA |
Prof. Francois Gourio Department of Economics Boston University Phone: (617)-353-4534 Email: fgourio@bu.edu 270 Bay State Road Boston MA 02215 USA |
Dr. Karl Habermeier Assistant Director Monetary and Capital Market Department International Monetary Fund (IMF) Phone: (202)-623-8857 Email: khabermeier@imf.org HQ1-7-718 IMF 700 19th Street N.W. Washington DC 20431 USA |
Dr. Mark Stone Deputy Division Chief Monetary and Capital Market Department International Monetary Fund (IMF) Phone: (202)-623-6532 Email: mstone@imf.org HQ1-7-718 IMF 700 19th Street N.W. Washington DC 20431 USA |
ABSTRACTS
Emerging countries that have defaulted on their debt repayment obligations
in the past are more likely to default again in the future than are non-defaulters
with
the same debt-to-GDP ratio. This paper explains this stylized fact within a dynamic stochastic general equilibrium framework that explicitly models renegotiations
between a defaulting country and its creditors. Quantitative analysis of the model reveals that the equilibrium probability of default for a givendebt-to-GDP level is
weakly increasing with the number of past defaults, consistent with empirical
observations. The equilibrium of the model also accords with an additional
observed
trend: a country for which default terms require less than a 100 percent recovery rate tends to pay a higher rate of return (relative to a risk-free rate) on debt that is
issued subsequently than do defaulting countries that agree to a full recovery
rate.
Emerging countries issue a small fraction of their external debt in their local currency. Moreover, there is an empirical link between exchange rate depreciation
and default probability. This paper attempts to explore these observations within a dynamic stochastic general equilibrium model in which bond issuances in local and
foreign currencies are explicitly embedded, and the exchange rate and default risk are determined endogenously. Our quantitative analysis shows that the equilibrium
share of debt denominated in the local currency is smaller than that denominated in the foreign currency. This is driven by the fact that risk-averse fore investors prefer to
lend in the foreign currency rather than the local currency in order to avoid exchange rate risk. This can lead to a vicious circle whereby the borrowing country's consequent
high exposure to exchange rate risk increases the risk of default, which
in turn precipitates an exchange rate depreciation and a further increase
in default risk.
"Quantifying Market Perception of Foreign Exchange Intervention"
Joint with Romain Veyrune (IMF)
This paper proposes a new method to quantify the market expectation of
official actions in the foreign exchange market. Based on the time-series
properties of spot
exchange rates, we assess the impact of events such as interventions or
off-market transactions on estimated exchange rate inertia using a rolling
regression. Our
empirical results are consistent with our hypothesis that anticipated and
transparent interventions such as "regular interventions" do
not have a significant impact on
market expectations, while unexpected interventions categorized as "discretionary
interventions" have a impact on market expectations, except in the
case of a liquid market.
We attempt to compute dynamic effect of shifts of exchange rate system from the dollar-peg to the basket-peg or floating and obtain transition paths for the shifts,
based on a stochastic dynamic small open-economy model. We find that countries are better off shifting to the basket-peg or floating regime than maintaining the
dollar-peg regime, in the long-run perspective. Furthermore, because of
welfare costs associated with volatility in nominal interest rates, the
longer transition
period of adjustments, the more benefits a country would gain from suddenly shifting to the basket-peg from the dollar-peg regime rather than with adjusting
gradually. Finally, focusing on sudden shift to target regimes, our numerical analysis using Thai data shows that countries will be better off shifting to
the basket-peg rather than floating.
Foreign exchange interventions are an official action under much scrutiny from economists and market participants. Designing an intervention policy or refraining
from intervening is a strategic choice. Economists need to ascertain this
strategic choice so as to facilitate their analysis of a country's macroeconomic
policies, while
market participants need to understand the monetary authorities' intervention
policy to help them decide how to deal with foreign exchange risk. This
is part of the
academic effort to classify foreign exchange arrangements, in particular
to distinguish free from "dirty floats". However, identifying
intervention is not easy. There are a
number of reasons for carrying out official transactions on the foreign exchange market, and not all of them involve intention to influence the exchange rate. This paper
analyzes official transactions on a qualitative basis. It concludes that
the key element is the authorities' communication to the market and its
ability to influence market
participant expectations. In addition, the paper argues that the ways in which the interventions are implemented constitutes the main signal that would implicitly reveal to
market participants the authorities' intentions.
This paper determines whether adopting the basket-peg rather than the floating
regime is optimal for emerging countries. Under the basket-peg regime,
there is a trade-off between practical usefulness and welfare losses associated with the movement of capital across countries. We use a small open-economy model
with micro foundations to provide a simple baske weight rule. Although this is sub-optimal, we show it is practical and easy to implement. After calibration using
Singaporean and Thai data for the period 1997Q3-2006Q2 and comparison among the cumulative losses associated with policy instrument rules, we show that
a commitment to the basket weight rule is superior to other instrument
rules under the floating regime for small open economies like Singapore
and Thailand.
Some emerging countries choose to renegotiate with their creditors preemptively before the default, while some decide to declare defaults on debt obligations
and renegotiate with the creditors later.This paper attempts to explain
these observed evidences within a dynamic stochastic general equilibrium
model
that explicitly embeds both preemptive and expost-default renegotiations between a defaulting country and foreign investors. The quantitative exercise expects
to indicate that the country's choice of preemptive or expost-default renegotiation
depends endogenously on expected and realized income level, output cost
associated with defaults and also the expected outcomes of two types of
renegotiations.
This paper considers the incidence of export tax rebate an emerging economy like China which imports a large share of intermediate goods from abroad
and also exports a large share of final goods to foreign countries. We build a static two-country, two-sector general equilibrium model under perfect capital
mobility, in which home government imposes both import tax on foreign intermediate goods and export tax on home final goods. Our quantitative results show
that much of the burden of import tax may concentrate in domestic labor,
while those of export tax may fall on both home labor and foreign labor.
The rise in rebate rate increases incidence of both export and import tax on domestic labor on one hand, and decreases incidence of export tax on foreign labor
and total capital on the other hand.
Copyright (C) 2009 Tamon Asonuma All Rights Reserved.