Commentaries

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Senior Fellows/Fellows, 2020, Pandemic

We quantify the causal impact of human mobility restrictions, particularly the lockdown of the city of Wuhan on January 23, 2020, on the containment and delay of the spread of the Novel Coronavirus (2019-nCoV). We employ a set of differencein-differences (DID) estimations to disentangle the lockdown...
Keywords: Human Mobility, Lockdown, Social Distancing, 2019-nCoV, COVID-19, Disease Outbreak
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Annual Conference

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Household Finance

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May 2022

Many consumers below the top of the distribution of a representative population by cognitive abilities barely react to monetary and fiscal policies that aim to stimulate consumption and borrowing, even when they are financially unconstrained and despite substantial debt capacity. Differences in inco...
Keywords: Cognition, Behavioral Macroeconomics, Heterogeneous Agents, Fiscal and Monetary Policy, Beliefs, Red
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Annual Conference

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Investment Finance

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May 2017

We estimate daily aggregate order flow at the stock level from all institutional investors as well as for hedge funds and the other institutions separately. We achieve this by extrapolating the relation between quarterly institutional ownership in 13F filings, aggregate market order imbalance in TAQ...
Keywords: Institutional trading, hedge funds, Trading behavior
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Senior Fellows/Fellows

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Senior Fellows/Fellows

This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows.  We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q4 for 85 countries, and conventional techniques, models and metrics.  Since the GFCy is an unobservable concept, we use ...
Keywords: empirical, data, center, country, panel, fit, VIX, equity, bonds, FDI, Credit
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

We study how financial markets evaluate the synergies generated by alliances. Using the complete set of international alliances over the period 2002-2009, we find that fund managers choose to trade alliance stocks have superior information. Strategies based on fund rebalancing may deliver performanc...
Keywords: Alliances, Mutual Funds, Learning, International finance
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