Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Currency Mispricing and Dealer Balance Sheets

Pasquale Della CORTE, Gino CENEDESE, Tianyu WANG
We relate currency mispricing originating from the breakdown of covered interest rate parity to the dealer balance-sheet constraints resulting from the post-crisis financial regulation. Using a unique data set on contract-level foreign exchange derivatives with disclosed counterparty identities, we ...
Keywords: exchange rates, dollar basis covered interest parity condition, arbitrage opportunities
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

Bond Risk Premia and the Exchange Rate

Ilhyock SHIM, Boris HOFMANN, Hyun Song SHIN
In emerging market economies, currency appreciation goes hand in hand with compressed sovereign bond spreads, even for local currency sovereign bonds. This yield compression comes from a reduction in the credit risk premium. Crucially, the relevant exchange rate involved in yield compression is the ...
Keywords: Bond Spread, Capital Flow, Credit Risk, Emerging Market, exchange rate
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Policy News and Stock Market Volatility

Steven J. DAVIS, Scott R. BAKER, Nicholas A. BLOOM, Kyle KOST
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook, and 44 percent discuss Commodity Markets....
Keywords: stock market, equity returns, volatility, uncertainty, government policy
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Members' Digest

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2020

Inflation Expectations and Household Consumption

Sumit AGARWAL, Bernard YEUNG
Keywords: Sumit Agarwal, Bernard YEUNG
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Members' Digest

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2019

Management Practices and the Wealth of Nations

Nicholas A. BLOOM
Keywords: Nicholas BLOOM
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