Brian Byongju Lee
Job Market Candidate

Stanford University
Department of Economics
579 Serra Mall
Stanford, CA 94305
650-804-5281
brianbj.lee@stanford.edu

Curriculum Vitae

Fields:
International Finace, Macroeconomics

Expected Graduation Date:
June, 2010

Thesis Committee:
Ronald McKinnon (Primary):
mckinnon@stanford.edu




Research

A Portfolio Balance Approach to Carry Trade (Job Market Paper)
Carry trade, a crossborder investment strategy to take advantage of the interest rate differential between countries, is studied in a portfolio equilibrium approach of exchange rate determination. Since an orderly behavior of investors with rational expectations cannot replicate a large fluctuation of the exchange rate and accompanying ebbs and flows in the position of foreign assets, a new type of investors with adaptive expectations — chartists — is augmented. With two types of investors in play, the model reproduces basic facts on carry trades that building up foreign positions comes along appreciation of the investment currency and unwinding forces drastic depreciation of the currency. The outcome of the model also parallels empirical observations on carry trades.