Person:
Villar Olano, Alba del

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Villar Olano

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Alba del

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Economía

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0000-0003-0432-4945

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810923

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    PublicationOpen Access
    A portfolio-choice model to analyze the recent gross capital flows between Canada and the US
    (2019) Casares Polo, Miguel; Villar Olano, Alba del; Economía; Ekonomia
    We calibrate a two-country New Keynesian model with endogenous portfolio choice and valuation effects to discuss the determinants of the increase in Canadian Net Foreign Assets with the US observed after 2012. Furthermore, we discuss the shocks that may explain the “reversed two-way” capital flows pattern recently characterizing the Canada-US asset trading: Canada has a negative position on bond holdings owned by US investors while a positive balance emerges on its equity holdings from US firms. The combination of a global technology shock, the US fiscal contraction, an adverse wage-push shock in the US and the greater monetary stimulus in the US than in Canada (QE) provide insights to describe the recent capital flows between Canada and the US. Both the QE and the negative wage-push shock in the US play a crucial role as explanatory factors through substantial valuation effects.
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    PublicationOpen Access
    International capital flows
    (2019) Villar Olano, Alba del; Casares Polo, Miguel; Ezcurra Orayen, Roberto; Economía; Ekonomia
    This thesis uses modern macroeconomic modeling techniques and panel data econometrics to quantitatively measure the determinants of financial globalization and its e↵ects on advanced and developing economies. The first two chapters of this thesis provide the starting point for the quantitative analysis of international gross capital flows and valuation e↵ects between two asymmetric countries and it serves policymakers to quantify these matters in an diaphanous manner. In the first chapter, I construct a novel two-country DSGE model with endogenous portfolio choice to study the role of structural asymmetries in explaining the size and composition of capital flows between emerging and advanced economies. In the second chapter, we calibrate an extension to the previous model in order to discuss the potential determinants of the large increase in Canadian Net Foreign Assets with the US observed after 2012. The last two chapters of this thesis provide an econometric analysis which uses empirical data at the world level to quantitatively measure economic integration determinants and its e↵ects. In the third chapter, we examine the link between economic globalization and spatial inequality in a panel of 142 countries over the period 1992-2012 using instrumental variable techniques. In the fourth chapter, I provide results to show how the Lucas Paradox has turned even more pronounced during the Great Recession than in the previous decades.