Diego J. Perez


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Posted by on Apr 28, 2014 in Uncategorized | 0 comments Assistant Professor Department of Economics New York University Contact Information Email: diego.perez@nyu.edu Phone: (650) 766 5042 Economics Department New York University 19 W 4th Street 6FL New York, NY 10012  ...
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Price Setting Under Uncertainty About Inflation

Posted by on Apr 28, 2014 in Uncategorized | 0 comments Download in PDF   Abstract When setting prices firms use idiosyncratic information about the demand for their products as well as public information about the aggregate macroeconomic state. This paper provides an empirical assessment of the e ffects of the availability of public information about inflation on price setting. We exploit an event in which economic agents lost access to information about the inflation rate: starting in 2007 the Argentinean government began to misreport the national inflation rate. Our di fference-in-diff erence analysis reveals that this policy led to an increase in the coefficient of variation of prices of 18% with respect to its mean. This e ffect is analyzed in the context of a general equilibrium model in which agents make use of publicly available information about the inflation rate to set prices. We calibrate the model and use use it to further explore the eff ects of higher uncertainty about inflation on the e ffectiveness of monetary policy and aggregate welfare. We find that monetary policy becomes more e ffective in a context of higher uncertainty about inflation and that not reporting accurate measures of the CPI entails signif cant welfare losses.   Citation Joint with Andres...
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Sovereign Debt Maturity Structure Under Asymmetric Information

Posted by on Apr 28, 2013 in Uncategorized | 0 comments Download in PDF   Abstract This paper studies the optimal choice of sovereign debt maturity when investors are unaware of the government’s willingness to repay. Under a pooling equilibrium there is a wedge between the borrower’s true default risk and the default risk priced in debt, and the size of this wedge differs with the maturity of debt. Long-term debt becomes less attractive for safe borrowers since it pools more default risk that is not inherent to them. In response, safe borrowers issue low levels of debt with a shorter maturity profile -relative to the optimal choice under perfect information- and risky borrowers mimic the behavior of safe borrowers to preclude the market from identifying their type. In times of financial distress, the default risk wedge of long-term debt relative to short-term debt increases which makes borrowers reduce the amount of debt issuance and shorten its maturity profile, a fact that is observed among emerging economies. Under this framework, debt buybacks can be optimal when there is an overestimation of the country’s risk perception in the market that was not present when long-term debt decisions were made.  ...
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