Annual Conference

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International Macroeconomics, Money & Banking

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May 2024

Exchange rates in the standard macro-finance model with a representative agent are counter-cyclical. The reason is that exchange rates are equal to the ratio of marginal utilities of consumption of the representative investor in each country. This prediction is counterfactual: across a variety of co...
Keywords: Exchange rates, Incomplete markets, Backus-Smith puzzle
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2025

This paper proposes a concept of a global currency and introduces a “global currency pricing” specification into a standard N-country open economy macroeconomic model. A global currency is defined as a virtual unit of account that is exclusively used for international trade invoicing and is form...
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Annual Conference

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Investment Finance

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May 2015

We construct a traded funding liquidity measure from stock returns. Guided by a model, we extract the measure as the return spread between two beta-neutral portfolios constructed using stocks with high and low margins, to control for their sensitivity to the aggregate funding shocks. Our measure of ...
Keywords: Funding liquidity, Leverage, Margin requirements
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2016

The Basel III net stable funding requirement, scheduled for adoption in 2018, requires banks to use a minimum share of long-term wholesale funding and deposits to fund their assets. This paper introduces a stable funding requirement (SFR) into a small open economy DSGE model featuring a banking sect...
Keywords: DSGE models, prudential policy, monetary policy, small open economy, sticky interest rates, Banks, wholesale funding
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Annual Conference

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Household Finance

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May 2023

We document and quantify a housing portfolio channel of quantitative easing (QE) transmission. We identify this channel using household-level and regional data from Germany. We show that QE induces households with larger initial bond holdings to rebalance more their portfolios toward housing and par...
Keywords: Asset Market Segmentation, Buy-to-let, Germany, Housing Returns, Household Portfolio Rebalancing, Quantitative Easing, Rental Yields.
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