Annual Conference

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Investment Finance

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May 2024

Inventory models posit that return autocorrelation is affected by collateral, volume, and expected volatility. We show that daily market autocorrelations are lower on negative return days, consistent with collateral concerns. Unlike previous literature, we document a strong role of volatility on aut...
Keywords: Market Liquidity, Volatility, Serial Correlation, Collateral, Liquidity Risk
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Senior Fellows/Fellows

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Senior Fellows/Fellows, Pandemic

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May 2020

Drawing on original surveys of our own design, we estimate that the pandemic-induced shift to working from home lowers commuting time among Americans by more than 60 million hours per work day. Cumulative time savings over the past seven months exceed 9 billion hours. Our survey data also say that A...
Keywords: Covid-10, Pandemic, Work from home
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Annual Conference

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Investment Finance

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May 2024

Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country and state levels, that expands existing measures in both the time series (by more than a century) and the cross-section. Our measure...
Keywords: Business cycle, macroeconomic news, economic sentiment, monetary policy, textual analysis, machine learning, big data, neural networks
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