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Events

Home Events
Housing Cycles and Exchange Rates
11Nov
Finance

Housing Cycles and Exchange Rates

11 Nov 2022 | 12:45 p.m. - 2:00 p.m.
KK910
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Speaker:

Prof. Shaojun Zhang
Assistant Professor
The Ohio State University

Abstract:

This paper documents that the ratio of residential-to-nonresidential investment is a strong in-sample and out-of-sample predictor for the dollar up to twelve quarters. The predictability is robust to a battery of additional checks and holds for other G10 currencies. An analytical model in which the ratio captures the nontradable investment relative to the tradable investment generates the dollar predictability through predictable future relative price adjustment. Furthermore, because housing booms coincide with higher productivity, higher growth, and lower sector-level volatility, the dollar premium predictability arises. Alternative explanations, including the business and financial cycle, find less empirical support.

 

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Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18Jun
Economics | Seminar
Semiparametric Identification of the Discount Factor and Payoff Function in Dynamic Discrete Choice Models
18 June 2025 | 2:15 PM - 3:30 PM
KK 910 K. K. Leung Building, HKU
Prof. Katsumi Shimotsu
About Speaker
Prof. Shaojun Zhang

Assistant Professor, The Ohio State University

Housing Cycles and Exchange Rates
11 Nov 202212:45 p.m. - 2:00 p.m.
KK910
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