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The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price … indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock … prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated …

Persistent link: https://www.econbiz.de/10014247914

Getting to the Core : Inflation Risks Within and Across Asset Classes

Fang, Xiang; Liu, Yang; Roussanov, Nikolai - National Bureau of Economic Research - 2022

reflected in the prices of inflation risks: only core inflation carries a negative risk premium, and its magnitude is consistent … followed by low real output, consumption, and dividend payouts, it impacts asset prices through both cash-flow and discount …

Persistent link: https://www.econbiz.de/10013334388

Intermediary Balance Sheets and the Treasury Yield Curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - National Bureau of Economic Research - 2022

We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net short to a net long position in the Treasury market. We first derive bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net...

Persistent link: https://www.econbiz.de/10013334440

Currency Risk Premiums : A Multi-horizon Perspective

Chernov, Mikhail; Dahlquist, Magnus - National Bureau of Economic Research - 2023

models …

Persistent link: https://www.econbiz.de/10014322805

When do Treasuries Earn the Convenience Yield? : A Hedging Perspective

Acharya, Viral V.; Laarits, Toomas - National Bureau of Economic Research - 2023

We document that the convenience yield of U.S. Treasuries exhibits properties that are consistent with a hedging perspective of safe assets. The convenience yield tends to be low when the covariance of Treasury returns with the aggregate stock market returns is high. A decomposition of the...

Persistent link: https://www.econbiz.de/10014436994

Quantities and Covered-Interest Parity

Moskowitz, Tobias J.; Ross, Chase P.; Ross, Sharon Y.; … - National Bureau of Economic Research - 2024

Studies of intermediated arbitrage argue that bank balance sheets are an important consideration, yet little evidence exists on banks' positioning in this context. Using confidential supervisory data (covering $25 trillion in daily notional exposures) we examine banks' positions in connection...

Persistent link: https://www.econbiz.de/10014635670

Who Holds Sovereign Debt and Why It Matters

Fang, Xiang; Hardy, Bryan; Lewis, Karen K. - National Bureau of Economic Research - 2022

This paper studies the impact of investor composition on the sovereign debt market and the implied funding costs to borrowers. We construct an aggregate data set of sovereign debt holdings by foreign and domestic bank, non-bank private, and official investors for 95 countries over twenty years....

Persistent link: https://www.econbiz.de/10013210115

What do Financial Markets say about the Exchange Rate?

Chernov, Mikhail; Haddad, Valentin; Itskhoki, Oleg - National Bureau of Economic Research - 2024

Financial markets play two roles with implications for the exchange rate: they accommodate risk sharing and act as a source of shocks. In prevailing theories, these roles are seen as mutually exclusive and individually face challenges in explaining exchange rate dynamics. However, we demonstrate...

Persistent link: https://www.econbiz.de/10014544715

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

When Protectionism Kills Talent

Canayaz, Mehmet I.; Erel, Isil; Gurun, Umit G. - National Bureau of Economic Research - 2024

We examine the repercussions of protectionist policies implemented in the United States since 2018 on the composition of workforce and career choices within the semiconductor industry. We find that the shift towards protectionism, aimed at reviving domestic manufacturing and employment,...

Persistent link: https://www.econbiz.de/10014544744

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