M. Hashem Pesaran
University of Southern California
Institutional Affiliation: University of Southern California
Information about this author at RePEc
NBER Working Papers and Publications
|August 2019||Long-Term Macroeconomic Effects of Climate Change: A Cross-Country Analysis|
with Matthew E. Kahn, Kamiar Mohaddes, Ryan N.C. Ng, Mehdi Raissi, Jui-Chung Yang: w26167
We study the long-term impact of climate change on economic activity across countries, using a stochastic growth model where labour productivity is affected by country-specific climate variables—defined as deviations of temperature and precipitation from their historical norms. Using a panel data set of 174 countries over the years 1960 to 2014, we find that per-capita real output growth is adversely affected by persistent changes in the temperature above or below its historical norm, but we do not obtain any statistically significant effects for changes in precipitation. Our counterfactual analysis suggests that a persistent increase in average global temperature by 0.04°C per year, in the absence of mitigation policies, reduces world real GDP per capita by 7.22 percent by 2100. On the ot...
|February 2018||Uncertainty and Economic Activity: A Multi-Country Perspective|
with Ambrogio Cesa-Bianchi, Alessandro Rebucci: w24325
Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper proposes a new multi-country approach to the analysis of the interaction between uncertainty and economic activity, without a priori restricting the direction of causality. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to common technology shocks that affect output growth, higher-order moments of technology shocks are also required to explain the cross country variations of the realized volatility of equity returns. Using this theoretical insight, two common factors, a ‘real’ and a ‘financial’ one, are identified in the empirical an...
|January 2007||Global Business Cycles and Credit Risk|
with Til Schuermann, Bjorn-Jakob Treutler
in The Risks of Financial Institutions, Mark Carey and René M. Stulz, editors
|July 2005||Global Business Cycles and Credit Risk|
with Til Schuermann, Björn-Jakob Treutler: w11493
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive macroeconomic model accounting for about 80% of world output, we propose a model for exploring credit risk diversification across industry sectors and across different countries or regions. We find that full firm-level parameter heterogeneity along with credit rating information matters a great deal for capturing differences in simulated credit loss distributions. These differences become more pronounced in the presence of systematic risk factor shocks: increased parameter heterogeneity reduces shock se...