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Uncertainty Shocks, Capital Flows, and International Risk Spillovers
Akinci, Ozge; Kalemli-Ozcan, Sebnem; Queralto, Albert - National Bureau of Economic Research - 2022
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
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Understanding the Strength of the Dollar
Jiang, Zhengyang; Richmond, Robert J.; Zhang, Tony - National Bureau of Economic Research - 2022
We link the sustained appreciation of the U.S. dollar from 2011 to 2019 to international capital flows driven by primitive economic factors. We show that increases in foreign investors' net savings, increases in U.S. monetary policy rates relative to the rest of the world, and shifts in investor...
Persistent link: https://www.econbiz.de/10013435120
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2010
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk …-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has …
Persistent link: https://www.econbiz.de/10012462104
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Banks in Space
Oberfield, Ezra; Rossi-Hansberg, Esteban; Trachter, Nicholas - National Bureau of Economic Research - 2024
We study the spatial expansion of banks in response to banking deregulation in the 1980s and 90s. During this period, large banks expanded rapidly, mostly by adding new branches in new locations, while many small banks exited. We document that large banks sorted into the densest markets, but...
Persistent link: https://www.econbiz.de/10014512110
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The Rest of the World's Dollar-Weighted Return on U.S. Treasurys
Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022
Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...
Persistent link: https://www.econbiz.de/10013210117
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Exorbitant Privilege : A Safe-Asset View
Jiang, Zhengyang - National Bureau of Economic Research - 2024
I propose a dynamic model of the reserve currency paradigm that centers on the liquidity demand for safe assets. In global recessions, the demand for the U.S. safe bond increases and raises its convenience yield, giving rise to a stronger dollar and a countercyclical seigniorage revenue. The...
Persistent link: https://www.econbiz.de/10014544732
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On the Effectiveness of Foreign Exchange Reserves During the 2021-22 U.S. Monetary Tightening Cycle
Ahmed, Rashad; Aizenman, Joshua; Saadaoui, Jamel; … - National Bureau of Economic Research - 2023
This paper examines the role of foreign exchange (FX) reserves and other fundamental factors in explaining cross-country differences in foreign currency depreciation observed over the 2021-22 Federal Reserve monetary policy tightening cycle that led to a sharp appreciation of the US dollar....
Persistent link: https://www.econbiz.de/10014226132
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The Fiscal Consequences of Missing an Inflation Target
Andreolli, Michele; Rey, Hélène - National Bureau of Economic Research - 2023
The European Central Bank is unique in setting monetary policy for several sovereign states with heterogeneous debt … on one particular aspect of that nexus, the effect the reliability of the European Central Bank's monetary policy on … Euro Area countries. For comparison we also estimate the fiscal consequences of the Federal Reserve and the Bank of England …
Persistent link: https://www.econbiz.de/10013537713
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Pandemic, War, Inflation : Oil Markets at a Crossroads?
Baumeister, Christiane - National Bureau of Economic Research - 2023
The COVID-19 pandemic as well as the Russian invasion of Ukraine have had profound effects on the global energy landscape, with some of the longer-lasting effects still unfolding. This paper discusses how these events have reshaped the supply side of the global oil market by focusing on...
Persistent link: https://www.econbiz.de/10014322883
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...
Persistent link: https://www.econbiz.de/10014576665