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国际经济学workshop: Exchange Rate Disconnect Redux
发布日期：2023-03-07 12:00 来源：
主讲人：Rosen Valchev（Boston College）
主持人：余昌华（北京大学国家发展研究院）
时间：2023年3月7日（周二）上午9:30-11:00（北京时间）
地点：承泽园246教室
Zoom会议号：926 3889 7210
密码：908060
摘要：
We find that variation in expected US productivity explains more than half of G6 exchange rate fluctuations vis-a-vis the USD. Both correctly-anticipated changes in productivity and expectational “noise”, which influences expected productivity but never its realization, play an important role in driving exchange rates. Together, these disturbances account for many unconditional exchange rate patterns, including predictable excess returns, low Backus-Smith correlations, and excess volatility. Our findings suggest these famous puzzles share a common empirical origin, one that is very much connected to (expected) fundamentals.
主讲人介绍：
Rosen Valchev(valchev@bc.edu) is an assistant professor in Boston College. He received his PhD from Duke University. His research interests are in Macroeconomics, International Macro & Finance, and Asset Pricing & Macrofinance. He has published papers on Quarterly Journal of Economics, The Review of Economic Studies and Econometrica.
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首页
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国际经济学workshop: Exchange Rate Disconnect Redux
发布日期：2023-03-07 12:00 来源：
主讲人：Rosen Valchev（Boston College）
主持人：余昌华（北京大学国家发展研究院）
时间：2023年3月7日（周二）上午9:30-11:00（北京时间）
地点：承泽园246教室
Zoom会议号：926 3889 7210
密码：908060
摘要：
We find that variation in expected US productivity explains more than half of G6 exchange rate fluctuations vis-a-vis the USD. Both correctly-anticipated changes in productivity and expectational “noise”, which influences expected productivity but never its realization, play an important role in driving exchange rates. Together, these disturbances account for many unconditional exchange rate patterns, including predictable excess returns, low Backus-Smith correlations, and excess volatility. Our findings suggest these famous puzzles share a common empirical origin, one that is very much connected to (expected) fundamentals.
主讲人介绍：
Rosen Valchev(valchev@bc.edu) is an assistant professor in Boston College. He received his PhD from Duke University. His research interests are in Macroeconomics, International Macro & Finance, and Asset Pricing & Macrofinance. He has published papers on Quarterly Journal of Economics, The Review of Economic Studies and Econometrica.
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