30 research outputs found
Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed by a gradual decay as stock prices revert towards their long-run expected value. In this paper, we assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. The model we consider allows for staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. Our findings are robust to a range of variations and parameterizations of the model.Monetary policy; Asset prices; New Keynesian general equilibrium model.
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Waning Immunity and the Second Wave: Some Projections for SARS-COV-2
This paper offers projections of future transmission dynamics for SARS-CoV-2 in an SEIRS model with demographics and waning immunity. In a stylized optimal control setting calibrated to the USA, we show that the disease is endemic in steady state and that its dynamics are characterized by damped oscillations. The magnitude of the oscillations depends on how fast immunity wanes. The optimal social distancing policy both curbs peak prevalence and postpones the infection waves relative to the uncontrolled dynamics. Last, we perform sensitivity analysis with respect to the duration of immunity, the infection fatality rate and the planning horizon
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Stock prices and monetary policy shocks: A general equilibrium approach
Empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on real stock prices: a 100-basis point increase in the nominal interest rate is associated with an immediate decrease in broad real stock indices that may range from 2.2 to 9%, followed by a gradual decay as real stock prices revert towards their long-run expected value. We assess the ability of a general equilibrium New Keynesian asset-pricing model to account for these facts. We consider a production economy with elastic labor supply, staggered price and wage setting, as well as time-varying risk aversion through habit formation. We find that the model predicts a stock market response to policy shocks that matches empirical estimates, both qualitatively and quantitatively. Our findings are robust to a range of variations and parametrizations of the model.Edouard Challe acknowledges the support of chaire FDIR. Chryssi Giannitsarou acknowledges support from the Economic and Social Research Council (grant number ES/K002112/1)
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The Unequal Effects of Covid-19 on Economists' Research Productivity
The current lock-down measures are expected to disproportionately reduce women's labor productivity in the short run. This paper analyzes the effects of these measures on economists' research productivity. We explore the patterns of working papers publications using data from the NBER Working Papers Series, the CEPR Discussion Paper Series, the newly established research repository Covid Economics: Vetted and Real Time Papers and VoxEU columns. Our analysis suggests that although the relative number of female authors in non-pandemic related research has remained stable with respect to recent years (at around 20%), women constitute only 12% of total number of authors working on COVID-19 research. Moreover, we see that it is primarily senior economists who are contributing to this new area. Mid-career and junior economists record the biggest gap between non-COVID and COVID research, and the gender di erences are particularly stark at the mid-career level. Mid-career female economists have not yet started working on this new research area: only 12 mid-career female authors have contributed to COVID-19 related research so far, out of a total of 647 distinct authors in our dataset of papers (NBER, CEPR and CEPR Covid Economics)
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Informative Social Interactions
We design, field and exploit survey data from a representative sample of the French population to examine whether informative social interactions enter households.stockholding decisions. Respondents report perceptions about their circle of peers with whom they interact about financial matters, their social circle and the population. We provide evidence for the presence of an information channel through which social interactions influence perceptions and expectations about stock returns, and financial behavior. We also find evidence of mindless imitation of peers in the outer social circle, but this does not permeate as many layers of financial behavior as informative social interactions do
Will-they-won't-they: A very large dataset for stance detection on twitter
We present a new challenging stance detection dataset, called Will-They-Won’t-They (WT--WT), which contains 51,284 tweets in English, making it by far the largest available dataset of the type. All the annotations are carried out by experts; therefore, the dataset constitutes a high-quality and reliable benchmark for future research in stance detection. Our experiments with a wide range of recent state-of-the-art stance detection systems show that the dataset poses a strong challenge to existing models in this domain.Keynes Fund, Cambridg
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Network cohesion
We define a measure of network cohesion and show how it arises naturally in a broad class of dynamic models of endogenous perpetual growth with network externalities. Via a standard growth model, we show why network cohesion is crucial for conditional convergence and explain that as cohesion increases, convergence is faster. We prove properties of network cohesion and define a network aggregator that preserves network cohesion
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Foreign Direct Investment as a Determinant of Cross-Country Stock Market Comovement
We develop a theoretical framework in order to investigate the link between two recent trends: (i) the rise in cross-country stock market correlations over the past three decades, and (ii) the increase in global foreign direct investment (FDI) positions over the same period. Our objective is twofold: first, we investigate empirically the channel through which the rise in global stock market correlations is associated with the observed increase in global FDI. Second, we develop a two-country stochastic asset pricing model with multinational firms that allows us to quantify the extent to which the recent rise in global FDI can account for the observed increase in cross-country stock market comovement. Calibrating three versions of the model (financial autarky, incomplete markets and complete markets) to the US and the rest-of-the-world, we find that a permanent increase in FDI positions, as observed from mid 1990s to mid 2000s, leads to substantial increase in cross-country stock market comovements. Increases in FDI alone can account for approximately one third of the observed increase in stock market correlations. We also discuss the role of portfolio diversification and, more generally, asset market integration