Annual Conference

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Real Estate and Urban Economics, Senior Fellows/Fellows

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May 2022

Rural-Urban Migration, Structural Transformation, and Housing Markets in China

Ping WANG, Yang TANG, Carlos GARRIGA, Aaron HEDLUND
This paper investigates the interrelationship between urbanization, structural transformation, and the post-2000 Chinese housing boom through the lens of a newly developed multi-sector heterogeneous agent equilibrium model that features migration and a rich housing market structure with mortgages. U...
Keywords: Migration, Structural Transformation, Housing.
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2022

Currency Risk in the Long Run

Pasquale Della CORTE, Giorgio VALENTE, Can GAO, Daniel P.A. PREVE
We study the long-horizon risk profile of a currency strategy, whereby a US investor earns excess returns by entering in an unhedged long position in a foreign long-term bond funded at the domestic risk-free rate. After showing the drivers of the strategy returns, we derive and estimate their long-h...
Keywords: Currency risk, Long-term bonds, Predictability, Long-term investments
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

Currency Volatility and Global Technological Innovation

Po-Hsuan HSU, Mark P. TAYLOR, Zigan WANG, Qi XU
We investigate the real effects of foreign exchange (FX) volatility on technological innovation. Using a 32-market, three-decade sample, we show that heightened FX volatility associates with significantly lower firm-level R&D expenditures, patents granted, and forward citations. The negative FX ...
Keywords: Foreign Exchange Volatility, Technological Innovation, Patents, R&D
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

Dollar beta and stock returns

Ilhyock SHIM, Hyun Song SHIN, Valentina BRUNO
The financial channel of exchange rates operates through changes in risk-taking by investors and is reflected in the response of financial conditions to exchange rate movements. We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock returns ...
Keywords: global liquidity, pricing factor, emerging market, exchange rate
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

Credit Allocation and Macroeconomic Fluctuations

Karsten MULLER, Emil VERNER
We study the relationship between credit expansions, macroeconomic fluctuations, and financial crises using a novel database on the sectoral distribution of private credit for 117 countries starting in 1940. Theory predicts that the sectoral allocation of credit matters for distinguishing between â€...
Keywords: credit booms, credit allocation, growth, banking crises
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