Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2016

Understanding Exchange Rate Dynamics: What Does the Term Structure of FX Options Tell Us

Yu-chin CHEN, Ranganai GWATI
This paper proposes using foreign exchange (FX) options with dierent strike prices and maturities (\the term structure of volatility smiles") to capture both FX expectations and risks. Using daily options data for six major currency pairs, we show that the cross section and term structure of options...
Keywords: exchange rates, excess returns, options pricing, volatility smile, risk, term structure of implied volatility, quantile regression
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2013

Understanding Bank Runs: The Importance of Depositor-Bank Relationships and Networks

Rajkamal IYER, Manju PURI, Nicholas RYAN
We use a unique, new, database to examine micro depositor level data for a bank that faced a run. We use minute-by-minute depositor withdrawal data to understand the effectiveness of deposit insurance, the role of social networks, and the importance of bank-depositor relationships in influencing dep...
Keywords: bank runs, depositor behavior, social networks
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Annual Conference

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Accounting

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May 2018

U.S. Firms on Foreign (tax) Holidays

Travis CHOW, Edward L. MAYDEW, Jeffrey L. HOOPES
We undertake the first large-sample analysis of foreign tax holiday participation by U.S. firms. Tax holidays are temporary reductions of tax granted by governments, usually contingent on the firm making new operational investments in the country. We predict and find that firms are more likely to pa...
Keywords: Tax holiday, corporate tax, international tax
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

Turbulent Business Cycles

Ding DONG, Zheng LIU, Pengfei WANG
Recessions are associated with sharp increases in turbulence that reshuffle firms’ productivity rankings. To study the business cycle implications of turbulence shocks, we use Compustat data to construct a measure of turbulence based on the (inverse of) Spearman correlations of firms’ productivi...
Keywords: Turbulence, heterogeneous firms, financial frictions, reallocation, productivity, business cycles.
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Annual Conference

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Corporate Finance

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May 2022

Trust, but verify: The economics of scams in initial coin offerings

Yang (Gloria) YU, Chishen WEI, Kenny PHUA, Bo SANG
Losses from frauds and financial scams are estimated to exceed U.S. $5 trillion annually. To study the economics of financial scams, we investigate the market for initial coin offerings (ICOs) using point-in-time data snapshots of 5,935 ICOs. Our evidence indicates that ICO issuers strategically scr...
Keywords: Financial scams, Screening, Cryptocurrencies, Advisors
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