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Events

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“Exchange Rates and Asset Prices in a Global Demand System” by Prof. Motohiro Yogo
24Mar
Finance

“Exchange Rates and Asset Prices in a Global Demand System” by Prof. Motohiro Yogo

24 Mar 2021 | 09:30 – 11:00
Online seminar
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Speaker:

Prof. Motohiro Yogo
Professor of Economics
Princeton University

 

Abstract:

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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About Speaker
Prof. Motohiro Yogo

Professor of Economics, Princeton University

“Exchange Rates and Asset Prices in a Global Demand System” by Prof. Motohiro Yogo
24 Mar 202109:30 – 11:00
Online seminar
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