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Annual Conference

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Economic Transformation of Asia, Senior Fellows/Fellows

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May 2019

Digital Payments Induce Over-Spending: Evidence from the 2016 Demonetization in India

Sumit AGARWAL, Pulak GHOSH, Jing LI, Tianyue RUAN
We examine the impact of digital payments on consumer spending by exploiting a forced switch to digital payments induced by the 2016 Indian Demonetization. This policy resulted in a 86% decline in the cash that could be used for spending transactions and led cash-dependent consumers to adopt digital...
Keywords: digital payments, overspending, Demonetization, India
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Specialty Conference

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Specialty Conference, Senior Fellows/Fellows

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Nov 2018

Digital Money: Private versus Public

Markus K. BRUNNERMEIER, Dirk F. NIEPELT
Both proponents and opponents of central bank digital currency have suggested that it would fundamentally change the macroeconomy. This column questions this paradigm, arguing that the introduction of such a currency need not alter the allocation nor the price system. Concerns about central bank dig...
Keywords: Central bank digital currency, Investment, bank runs
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Deviations in real exchange rate levels in the OECD countries and their structural determinants

Martin BERKA, Daan STEENKAMP
We establish the validity of an augmented Balassa-Samuelson theory in a panel of real exchange rate levels between 18 OECD countries accounting for nearly two-thirds of the world GDP between 1970 and 2012 using a unique dataset of levels of total factor productivity (TFP) by sector. Real exchange ra...
Keywords: Real exchange rate, OECD countries, Structural determinants
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2015

Destabilizing Financial Advice: Evidence from Pension Fund Reallocations

Clemens SIALM, Borja LARRAIN, Da ZHI, Jose TESSADA
We document a novel channel through which coordinated trading exerts externalities on financial markets. We study the impact of a financial advisory firm that recommends frequent reallocations between equity and bond funds to Chilean pension investors. The recommendations generate large and coordina...
Keywords: Coordinated Noise Trading, Pension Funds, Price Pressure
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Derivative-Market Leverage and Risk Premia Implications

Ke TANG, Jing ZHAO, Hao ZHOU
We use the futures commission merchants (FCMs) reports released by CFTC to construct a frequent (monthly) and timely (one-month delay) market-level leverage measure, based on the aggregate margin of market participants. The derivative-market leverage negatively (positively) predicts returns of risky...
Keywords: Derivative-Market Leverage, Risk Premia, Return Predictability, Risk Aversion
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