Senior Fellows/Fellows

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Senior Fellows/Fellows

Another Look at Currency Risk in International Stock Returns

Andrew KAROLYI, Ying WU
This paper offers new evidence on how currency risk is priced in the cross-section of international stock returns. Our experiment examines this long-standing question for a wide variety of test asset portfolios comprised of monthly returns for over 37,000 stocks from 46 countries over a two-decade p...
Keywords: International asset pricing, currency risk, exchange rates
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Cross-Border Bank Flows and Systemic Risk

Andrew KAROLYI, John SEDUNOV, Alvaro G. TABOADA
Using data on cross-border bank flows from Bank for International Settlement (BIS) reporting source countries to 114 recipient countries, we find that heightened bank flows are associated with lower systemic risk in the bank systems in the recipient country. The link between increased flows and redu...
Keywords: Cross-border bank flows, financial institutions, bank regulation, systemic risk, financial crises
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Senior Fellows/Fellows

Continuous Time Random Matching

Darrell DUFFIE, Lei QIAO, Yeneng SUN
We show the existence of independent random matching of a large population in a continuous-time dynamical system, where the matching intensities could be general non-negative jointly continuous functions on the space of type distributions and the time line. In particular, we construct a continuum of...
Keywords: Independent dynamic random matching, directed search, enduring partnerships, exact law of large numbers, continuous-time, random mutation
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Senior Fellows/Fellows

East Asian Financial and Economic Development

Randall MORCK, Bernard YEUNG
Japan, an isolated, backward country in the 1860s, industrialized rapidly to become a major industrial power by the 1930s. South Korea, among the world’s poorest countries in the 1960s, joined the ranks of First World economies in little over a single generation. China now seems poised to follow a...
Keywords: Japan, South Korea, China, Big Push, Industrialization, business groups, Developmental State
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Income Distribution and Economic Development: Insights from Machine Learning

Pushan DUTT, Ilia TSETLIN
We draw upon recent advances that combine causal inferences with machine learning, to show that poverty is the key income distribution measure that matters for development outcomes. In a predictive framework, we first show that LASSO chooses only the headcount measure of poverty from 37 income distr...
Keywords: poverty, inequality, income distribution, economic development
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