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The Constrained Asset Share Estimation (Case) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles M. - 2010

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...

Persistent link: https://www.econbiz.de/10012763456

Foreign Competition and Domestic Innovation : Evidence from U.S. Patents

Autor, David H. - 2016

The competitive shock to the U.S. manufacturing sector spurred by rising China import competition could either catalyze or stifle innovation. Using three distinct sources of variation to identify rising trade exposure, we provide a causal analysis of the effect of surging import competition on...

Persistent link: https://www.econbiz.de/10012978100

The Forward Market in Emerging Currencies : Less Biased than in Major Currencies

Frankel, Jeffrey A. - 2010

smaller bias than for advanced country currencies. The coefficient is on average positive, i.e., the forward discount at least … risk premium may not be the explanation for traditional findings of bias. The reasoning is that emerging markets are … probably riskier; yet we find that the bias in their forward rates is smaller. Emerging market currencies probably have more …

Persistent link: https://www.econbiz.de/10012760670

Bias in Official Fiscal Forecasts : Can Private Forecasts Help?

Frankel, Jeffrey A. - 2016

; meanwhile private sector forecasters were not subject to this crude bias. As a result, using private sector forecasts as an …

Persistent link: https://www.econbiz.de/10012988513

Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations

Froot, Kenneth; Frankel, Jeffrey A. - 2021

the spot rate. We use the surveys to decompose the bias into a protion attributable to the risk premium and a portion … attributable to systematic prediction errors. The survey data suggest that our findings of both unconditional and conditional bias …

Persistent link: https://www.econbiz.de/10013228049

Over-Optimism in Forecasts by Official Budget Agencies and its Implications

Frankel, Jeffrey A. - 2011

countries. In general, the forecasts are found: (i) to have a positive average bias, (ii) to be more biased in booms, (iii) to …

Persistent link: https://www.econbiz.de/10013122217

Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices

Frankel, Jeffrey A. - 2013

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants'...

Persistent link: https://www.econbiz.de/10013075796

Family Disadvantage and the Gender Gap in Behavioral and Educational Outcomes

Autor, David H. - 2018

Using birth certificates matched to schooling records for Florida children born 1992–2002, we assess whether family disadvantage disproportionately impedes the pre-market development of boys. We find that, relative to their sisters, boys born to disadvantaged families have higher rates of...

Persistent link: https://www.econbiz.de/10012936116

Verifiability and the Vanishing Intermediate Exchange Rate Regime

Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2021

The corners hypothesis holds that intermediate exchange rate regimes are vanishing, or should be. Surprisingly for a new conventional wisdom, this hypothesis so far lacks analytic foundations. In part, the generalization is overdone. We nevertheless offer one possible theoretical rationale, a...

Persistent link: https://www.econbiz.de/10013217196

Estimating the Effect of Currency Unions on Trade and Output

Frankel, Jeffrey A.; Rose, Andrew Kenan - 2021

Gravity-based cross-sectional evidence indicates that currency unions stimulate trade; cross-sectional evidence indicates that trade stimulates output. This paper estimates the effect that currency union has, via trade, on output per capita. We use economic and geographic data for over 200...

Persistent link: https://www.econbiz.de/10013222899