国际经济学workshop：

Liquidity and Exchange Rates: An Empirical Investigation

时间：2020年9月29日（周二）10:30-12:00 am

地点：北京大学国家发展研究院致福轩会议室

主持人：余淼杰、余昌华

主讲人：Steve Pak Yeung WU（University of British Columbia and University of California, San Diego）

摘要: We find strong empirical evidence that economic fundamentals can well account for nominal exchange rate movements. The important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all the G10 countries, and we stress that the U.S. dollar is not special in this relationship. Moreover, after controlling for liquidity yields, traditional determinants of exchange rates-adjustment toward purchasing power parity and monetary shocks -are also found to be economically and statistically significant. We show how these relationships arise out of a canonical two-country New Keynesian model with liquidity returns. Additionally, we find a role for sovereign default risk and currency swap market frictions.

主讲人简介: Steve Pak Yeung WU currently works as a postdoctoral researcher at the University of British Columbia and will join University of California, San Diego as assistant professor in 2021. He received the Ph.D. in economics from University of Wisconsin – Madison 2020. His main research interests are International Macroeconomics and Finance, and Monetary Economics.