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Faculty & Research

Exchange Rates and Asset Prices in a Global Demand System - Motohiro Yogo

08 Oct
2020
3:00 pm
Jouy-en-Josas
English

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2020-10-08T15:00:00 2020-10-08T16:00:00 Exchange Rates and Asset Prices in a Global Demand System - Motohiro Yogo Finance Speaker : Motohiro Yogo Videoconference Jouy-en-Josas

Finance

Speaker : Motohiro Yogo

Videoconference

Using international holdings data, we estimate a demand system for financial assets across 36 countries. The demand system provides a unified framework for decomposing variation in exchange rates, long-term yields, and stock prices; interpreting major economic events such as the European sovereign debt crisis; and estimating the convenience yield on US assets. Macro variables and policy variables (i.e., short-term rates, debt quantities, and foreign exchange reserves) account for 55 percent of the variation in exchange rates, 57 percent of long-term yields, and 69 percent of stock prices. The average convenience yield is 2.15 percent on US long-term debt and 1.70 on US equity.

 

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2020-10-08T15:00:00 2020-10-08T16:00:00 Exchange Rates and Asset Prices in a Global Demand System - Motohiro Yogo Finance Speaker : Motohiro Yogo Videoconference Jouy-en-Josas