Showing 1 - 10 of 39
Foreign investors' changing appetite for risk-taking have been shown to be a key determinant of the global financial cycle. Such fluctuations in risk sentiment also correlate with the dynamics of UIP premia, capital flows, and exchange rates. To understand how these risk sentiment changes...
Persistent link: https://www.econbiz.de/10013210054
In this paper, we show that cross-border portfolio flows around the peak of the European Crisis induced households to rebalance their portfolios toward housing. Estimating difference-in-differences regressions around Draghi's "Whatever It Take" speech in July 2012 with household data from the...
Persistent link: https://www.econbiz.de/10014512064
We analyze a large number of industry- and company-level filings of global institutional investors to provide the first comprehensive estimate of foreign investors' U.S. dollar (USD) security holdings and currency hedging practices. We document four stylized facts. First, driven by increasing...
Persistent link: https://www.econbiz.de/10014544731
We study the role of exchange rates in industrial policy. We construct an open-economy macroeconomic framework with production externalities and show that the desirability of these policies critically depends on the dynamic patterns of externalities. When they are stronger in earlier stages of...
Persistent link: https://www.econbiz.de/10014544799
We analyze international trade and health policy coordination during a pandemic by developing a two-economy, two-sector trade model integrated into a micro-founded SIR model of infection dynamics. Disease transmission intensity can differ by goods (manufactured versus services and domestic...
Persistent link: https://www.econbiz.de/10014576595
We find that variation in expected U.S. productivity explains over half of U.S. dollar/G7 exchange rate fluctuations. Both correctly-anticipated changes in productivity and expectational noise, which influences the expectation of productivity but not its eventual realization, have large effects....
Persistent link: https://www.econbiz.de/10014576625
We show that multinational firms transmit shocks across countries through their internal capital markets. We study a credit supply shock to parent firms in Germany. International affiliates outside Germany supported their parents through internal lending, became financially constrained...
Persistent link: https://www.econbiz.de/10014247983
China's remarkable run of persistently high growth in recent decades is all the more stunning in light of the country's low levels of financial and institutional development, state-dominated economy, and nondemocratic government. Notwithstanding the inefficient and risky growth model, the...
Persistent link: https://www.econbiz.de/10014250169
We document the decline in market power of the U.K. in safe assets and quantify the resulting losses. We estimate an increasing elasticity of demand for U.K. public debt during the latter half of the 20th century. This is in sharp contrast to the U.S., which displays the opposite pattern with...
Persistent link: https://www.econbiz.de/10014250197
Global risk and risk aversion shocks have distinct distributional impacts on emerging market capital flows and returns. In particular, we find salient consequences of these different global shocks for tail risk in emerging markets. Open-end mutual fund trading provides a key mechanism linking...
Persistent link: https://www.econbiz.de/10013435139