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Exchange Rate Disconnect Revisited
Chahrour, Ryan; Cormun, Vito; De Leo, Pierre; … - National Bureau of Economic Research - 2024
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
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Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System
Bartov, Eli - 1995
This study assesses the impact of exchange rate variability on the riskiness of U.S. multinational firms by examining the relation between exchange rate variability and stock return volatility and by decomposing this relation into components of systematic and diversifiable risk. Focusing on two...
Persistent link: https://www.econbiz.de/10012473547
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Scenario Sampling for Large Supermodular Games
Graham, Bryan S.; Pelican, Andrin - National Bureau of Economic Research - 2023
This paper introduces a simulation algorithm for evaluating the log-likelihood function of a large supermodular binary-action game. Covered examples include (certain types of) peer effect, technology adoption, strategic network formation, and multi-market entry games. More generally, the...
Persistent link: https://www.econbiz.de/10014322897
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The Exchange Rate as an Industrial Policy
Ottonello, Pablo; Perez, Diego J.; Witheridge, William - National Bureau of Economic Research - 2024
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
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Disasters with Unobservable Duration and Frequency : Intensified Responses and Diminished Preparedness
Acharya, Viral V.; Johnson, Tim; Sundaresan, Suresh M.; … - National Bureau of Economic Research - 2023
duration of the disasters. Uncertainty about the persistence of states can lead to seemingly pessimistic behavior in bad times … and optimistic behavior in good times. In a disaster, uncertainty about duration acts as an amplification mechanism … welfare cost of parameter uncertainty can be extreme. However, in advance of a disaster, uncertainty about the arrival rate …
Persistent link: https://www.econbiz.de/10014247988
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Policy Uncertainty Reduces Green Investment
Wang, Mengyu; Wurgler, Jeffrey; Zhang, Hong - National Bureau of Economic Research - 2023
green investment as the uncertainty of subsidies rises. This effect is identified from weather-driven fluctuations in air … pollution that lead to fluctuations in subsidy allocations: Firms in cities where weather-driven subsidy uncertainty is high … focused on environmental technologies are more affected. The results suggest that policy uncertainty may originate not only …
Persistent link: https://www.econbiz.de/10014322788
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Tracing the International Transmission of a Crisis Through Multinational Firms
Biermann, Marcus; Huber, Kilian - National Bureau of Economic Research - 2023
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
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International Risk Sharing and the Choice of Exchange-Rate Regime
Hsieh, David A. - 1982
This paper examines the argument that the fixed exchange rate regime should be preferred to the flexible rate regime because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two-country overlapping generations model, where markets are...
Persistent link: https://www.econbiz.de/10012478269
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Risk and Exchange Rates
Obstfeld, Maurice - 1998
This paper develops an explicitly stochastic new open economy macroeconomics' model, which can potentially be used to explore the qualitative and quantitative welfare differences between alternative exchange rate regimes. A crucial feature is that we do not simplify by assuming certainty...
Persistent link: https://www.econbiz.de/10012472119
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The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk
Svensson, Lars E.O. - 1990
The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived. In contrast to previous literature, the exchange rate's heteroscedasticity within the bard, as well as a separate devaluation/realignment risk, is taken into account. The risk...
Persistent link: https://www.econbiz.de/10012475561