Edouard Djeutem is a Principal Researcher in International Economic Analysis Department. His research interests are in the areas of international finance and trade, asset pricing, macroeconomics and econometrics.
Staff working papers
Consumption inequality and a low interest rate environment are two important trends in today’s economy. But the implications they may have—and how those implications interact—within different monetary policy frameworks are not well understood. We study the ranking of alternative frameworks that take these trends into account.
This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.
- "Uncovered return parity: Equity returns and currency returns."
(with Geoffrey R. Dunbar), Journal of International Money and Finance 128 (2022): 102706.
- "Robust learning in the foreign exchange market."
(with Pierre Nguimkeu), The BE Journal of Macroeconomics 20, no. 1 (2020).
- "Model uncertainty and the forward premium puzzle",
Journal of International Money and Finance, 46 (2014): 16-40
- "Robustness and exchange rate volatility"
(with Kenneth Kasa), Journal of International Economics, 91, no. 1 (2013): 27–39.
- "On the sustainability of current account deficits in Cameroon"
(with Pierre E. Nguimkeu), International Journal of Economics and Financial Issues, Vol. 3, No. 2 (2013): 486–495