Market Incompleteness and Exchange Rate Spill-over

主讲人：Zhengyang Jiang将正阳（Kellogg School of Management, Northwestern University）

主持人：余昌华（北京大学国家发展研究院）

时间：2022年12月6日（周二）上午10:30-12:00（北京时间）

地点：承泽园246教室

Zoom会议号：926 3889 7210

密码：908060

摘要：I develop a general characterization of the effect that market incompleteness has on exchange rate dynamics. On the one hand, it weakens the pass-through from marginal utility shocks to exchange rate movements; on the other hand, it gives rise to additional variations in exchange rates and propagates one country’s marginal utility shocks to other countries’ exchange rates. This novel spill-over effect gives rise to both exchange rate disconnect from local fundamentals as well as comovements in the cross-section of currencies, offering a novel market incompleteness-based channel for understanding these salient features of exchange rate behaviors.

主讲人介绍：Zhengyang Jiang is an Associate Professor of Finance at Kellogg School of Management, Northwestern University, and a Faculty Research Fellow at the National Bureau of Economic Research (NBER). He works on international finance and macroeconomics. He received his doctor of philosophy in finance from Stanford Graduate School of Business, and a bachelor degree in math and business economics from California Institute of Technology.