Foreign investors and crises: There is no safe haven for all seasons

Maurizio Michael Habib, Livio Stracca, 28 February 2014

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The resilience of the international status of the US dollar remains surprising (Frankel 2013). At the peak of the global financial crisis which started in the US, in particular in the last quarter of 2008, US treasury yields fell and the US dollar appreciated. This has created the impression of a stronger demand for US securities in general.

Topics: Financial markets, Global crisis
Tags: asset pricing, financial crisis, global crisis, home bias, portfolio flows, reserve currency, risk aversion, safe haven, US

Fama, Hansen, Shiller: Nobelists 2013

Marianne Andries, Bruno Biais, 21 October 2013

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The 2013 Nobel Prize in economics has been awarded to Lars Hansen, Eugene Fama and Robert Shiller "for their empirical analysis of asset prices." These were three important actors in the asset-pricing literature whose contributions are given context herein.

Topics: Financial markets
Tags: asset pricing, Nobel Prize

Asset pricing in the frequency domain: Theory and empirics

Ian Dew-Becker, Stefano Giglio, 20 October 2013

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Economic fluctuations act at frequencies that range from the hourly or even minute-by-minute level – such as shifts in electricity demand due to temperature fluctuations – to shocks that last for decades or longer – such as large-scale technological changes.

Topics: Financial markets, Macroeconomic policy, Monetary policy
Tags: asset pricing, business cycles, financial markets, fluctuations, habit formation, Stabilisation policy

Capital market theory after the efficient market hypothesis

Dimitri Vayanos, Paul Woolley, 5 October 2009

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Forty years have passed since the principles of classical economics were first applied formally to finance through the contributions of Eugene Fama (1970) and his now-renowned fellow academics.

Topics: Financial markets
Tags: asset pricing, Behavioural economics, efficient market hypothesis

Understanding exchange rates as asset prices

Jian Wang, 5 September 2008

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The foreign exchange market is the largest and most liquid financial market in the world. Its average daily turnover exceeded $3 trillion as of April 2007. Currency trading is very important for individuals, firms, and governments that buy foreign goods and services, invest abroad, and seek profit or protection through speculation.

Topics: Exchange rates
Tags: asset pricing, exchange rates, forecasting

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