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| Marcos J. Dal Bianco |
| Research | Teaching | Full CV | Contact |
| I am a Ph.D. Candidate in Economics of the Quantitative Economics Doctorate (QED) at the University of Alicante (Spain).
My research is focused on the empirical analysis of real and nominal
exchange rates. In my dissertation I applied modern time series
econometric techniques to explain and forecast the behavior of exchange
rates, both in developed and underdeveloped economies. Recently, I am
studying also themes in empirical finance, specifically I am trying to
understand the recent stock market crisis in the US. I expect to obtain my Ph.D. by June 2009. My Ph.D. Thesis is titled "Three Econometric Essays on Exchange Rates", and my advisor is Prof. Gabriel Pérez-Quirós, currently at the Research Divission of the Bank of Spain. My teaching interest are in macroeconomics, international finance, and econometrics. However, I can also teach courses in other fields if needed. |  |
| Research |
Publications in refereed journals
Argentinean Real Exchange Rate 1900-2006: Testing Purchasing Power Parity Theory, Estudios de Economia, Vol. 35, No. 1, June, pp. 33-64
Abstract
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. Since most works study developed countries or developing countries but with short span data, this paper aims to fill a gap in the wide PPP literature by studding a developing country with a long-run approach. This country is particularly interesting since during 20th century "Argentine economic performance tells a story of decline unparalleled in modern times" (Taylor 1992). The downfall of this once developed country has probably affected the behavior of its RER and the validity of PPP. To check this, we use a wide set of econometric techniques and found that the PPP theory is not verified in Argentina, since its RER appears as a non-stationary variable, and there is no evidence of cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend-stationary under structural breaks with a continuous real depreciation of the Argentinean currency, especially in the first half of XX century, which is consistent with theories that relate the secular impoverishment of a country with the depreciation of its RER, as the Balassa-Samuelson effect.
JEL classification: C12, C22, C29, F31, F41.
Keywords: Purchasing power parity, real exchange rate, stationarity, unit root tests, cointegration, structural breaks.
Job Market Paper Short-Run Forecasting of the Euro-Dollar Exchange Rate with Economic Fundamentals (with Maximo Camacho and Gabriel Pérez-Quirós) Abstract An extensive literature has shown the difficulty in explaining and forecasting short-run exchange rate changes using economic fundamentals. While in-sample results are sometimes good, out-of-sample researchers usually cannot beat a simple random walk model. We propose here a fundamentals-based econometric model for the weekly changes in the Euro-Dollar rate with the distinctive feature of mixing variables quoted at different frequencies. We show that our model obtains good in-sample results, but, more importantly, out-of-sample we obtain a slight improvement upon the simple random walk model using traditional statistical measures of forecasting error, and a great improvement with the direction of change measure, which has much more economic importance. With this metric, our model performs much better than the random walk at all forecasting horizons, being these improvements statistically significant. JEL classification: F31, F37, C01, C22 Keywords: Euro-Dollar rate, exchange rate forecasting, State-space model, mixed frequencies. Latin American Real Exchange Rate Misalignments Under Regime Shifts: What Drives the Changes in States?, master thesis paper Abstract This study analyzes for Argentina, Brazil and Mexico whether the misalignments from the Equilibrium Real Exchange Rate are subject to changes in regime and what drives these changes, using the Markov Regime Switching model with Time-Varying Transition Probabilities. This work is motivated by the experience of Latin American countries that alternate periods of appreciated RER, as when the exchange rate is used as the nominal anchor to reduce inflation, and periods of depreciated RER, as when exchange rate policies are pursued to improve the country's competitiveness; as documented in several case-studies that ad-hoc recognizes these episodes and relate them to stabilization plans or other factors. Our aim is to find a statistical method that endogenously identifies the regimes and allow us to study why they occur and change in those countries to test the findings of the case-study works. Results confirm the existence of two persistent states in the mean of those countries' real misalignments associated with appreciation and depreciation situations. The variables that explain the changes in the transition probabilities are local such as inflation rate, and international like US interest rate. Hence, some conclusions on the determinants of appreciations and depreciations are obtained. Has the euro been a structural break for member countries? Some macroeconomic time series evidence, mimeo |
| Teaching |
| 2008 Fall | Macroeconomics I (graduate) | University of Alicante, Spain | in English | T.A. of Prof. V. Lepetyuk |
| 2006 Fall- present | Econometrics I and II (undergraduate) | University of Alicante, Spain | in Spanish | T.A. of Prof. E. Martinez Sanchis |
| 2005 Fall - 2006 summer | Advance Macroeconomics II (undergraduate) | University of Alicante, Spain | in Spanish | T.A. for Prof. F. Perez Sebastian |
| 2004 Fall- 2005 Summer | Macroeconomics I (undergraduate) | University of Alicante, Spain | in Spanish | T.A. of Prof. J. Carmona |
| 2004 Fall | Poverty, Income Distribution and Social Policies (M.A.-level) | University of Buenos Aires, Argentina | in Spanish | T.A. for Prof. O. Altimir |
| 1998-2004 | Economics I (undergraduate) | University of Buenos Aires, Argentina | in Spanish | T.A. for Prof. E. Nofal |
Departament of Economics
University of Alicante
Campus de San Vicente
03069 Alicante, Spain
Tel: (+34) 965 90 34 00 (3349)
fax: +34 965 90 38 98
E-mail: marcos@merlin.fae.ua.es
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