Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2014

Real Exchange Rates and Sectoral Productivity in the Eurozone

Martin BERKA, Charles ENGEL, Michael B. DEVEREUX
We investigate the link between real exchange rates and sectoral TFP for eurozone countries. We show that real exchange rate variation, both cross-country and time-series, closely accords with an amended Balassa-Samuelson interpretation, incorporating sectoral productivity shocks and a labor market ...
Keywords: Real Exchange Rates, Eurozone, productivity
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2014

Risk Shifting and Excessive International Trade Volatility

Anuk SERECHETAPONGSE, Assaf RAZIN
The recent global crisis saw a sharp decline in output, but the accompanying decline in international trade volumes was twice as big. But, in the 1990s boom international trade volume increase much more than output levels. Why is international trade so volatile? The paper develops a parsimonious gen...
Keywords: Risk shifting, International trade, trade volatility, financial openness
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

Short-Term Reversals: The Effects of Past Returns and Institutional Exits

Si CHENG, Allaudeen HAMEED, Sheridan TITMAN, Avanidhar SUBRAHMANYAM
We present a model where the magnitude of return reversals depends on the number of informed investors as well as the number of active but uninformed investors that play a market making role. Consistent with the model, return reversals are temporarily higher following declines in the number of activ...
Keywords: Short-Term Reversals, Liquidity provision
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Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

The Information Value of Credit Rating Reports

Sumit AGARWAL, Vincent CHEN, Weina ZHANG
We test if Standard & Poor's (S&P) credit rating reports contain valuable information beyond credit ratings. We find that positive (negative) linguistic tone in the reports are significantly related to positive (negative) abnormal returns at the time of downgrade announcement and the tone ca...
Keywords: Credit Ratings, Credit Rating Agencies, Credit Rating Reports, Linguistic Tone
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2014

The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market

Yin-Wong CHEUNG, Dagfinn RIME
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order flow...
Keywords: foreign exchange market microstructure, order flow, limit-order imbalance, CNH, CNY, central parity rate
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