april, 2019

16apr12:00 pm1:15 pmMotohiro YogoExchange Rates and Asset Prices in a Global Demand SystemEvent:Student Research Workshop

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Event Details

Abstract:
Using cross-country holdings data, we estimate a demand system to decompose sources of variation in exchange rates, long-term yields, and equity prices across 36 countries. Observed macro variables including short-term rates, debt quantities, and foreign exchange reserves explain 43 percent of the variation in exchange rates. The remaining variation is due to investor demand shocks that are geographically concentrated. Debt quantities and foreign exchange reserves explain 12 and 18 percent of the variation in long-term yields, respectively. We estimate how exchange rates and long-term yields respond to both conventional and unconventional monetary policy. We also decompose sources of deviations from the uncovered interest rate parity.

Time

(Tuesday) 12:00 pm - 1:15 pm

Location

Bendheim Center for Finance Room 101

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