Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2018

Historically, sovereign debt in local currency has been considered safer than debt in foreign currency. Yet the literature offers scant theoretical or empirical guidance as to why such a gap exists, or why it appears to have slowly and steadily diminished for all regions over the past two decades, a...
Keywords: sovereign risk, local currency debt, foreign currency debt, Credit Ratings
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view – often expressed by central banks – that three components are important: a trend anchored by long-run expectations, a Phillips curve and temporary fluctuations in energy prices. We ...
Keywords: Phillips curve, inflation dynamics, output gap, Okun's law, unobserved components, Bayesian estimation
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Global risks allow theoretical models of the currency market to explain currency risk premia. Yet, there is no consensus in the empirical literature on which factors can represent global risks. We develop an asset pricing test for global risk factors that relies on the key assumption of a distinct U...
Keywords: Global risk factors, Currency market models, Currency carry trades
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

We use information from over 2 million trading strategies randomly generated using real data and from strategies that survive the publication process to infer the statistical properties of the set of strategies that could have been studied by researchers. Using this set, we compute t-statistic thres...
Keywords: Hypothesis Testing, Asset Pricing, Trading volume, Bond Interest Rates
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2018

Using detailed data of margin investors’ leverage ratios and trading activities, we provide novel evidence for the effect of margin-induced trading on the cross-section of stock returns during the recent market turmoil in China. We first document the deleverge-induced sales. Aggregating this behav...
Keywords: Margin trading, Leverage, contagion, network centrality
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