This post revisits the 2013 Taper Tantrum episode by measuring the impact of changes in Fed’s expected policy rate path and in the economic outlook on the U.S. dollar and emerging market equity prices and it finds that changes in the global outlook had a meaningful role in explaining global asset price movements during that period. Published on Liberty Street Economics, December 08 2014.
In this post, we look back at global asset market developments over the Tapr Tantrum past summer, and measure how changes in global risk aversion affected the values of carry-trade currencies and emerging market equities between May and September of last year and how the initial signal of a possible change in U.S. monetary policy raised global risk aversion. Published on Liberty Street Economics, March 05 2014.
In this post, we examine the role of market uncertainty and currency risk premia in the pace and size of episodes of dollar weakness since 1991. Published on Liberty Street Economics, September 26 2011.
In this post, we consider different strategies to forecast near-term commodity price inflation, but find that no particular approach is systematically more accurate and robust. Published on Liberty Street Economics, June 27 2011.
In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, including factor-augmented models, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices. Published in NBER East Asia Seminar on Economics: Commodity Prices and Markets, 2011.
This study proposes a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error-correction (VEC) models. Published in the Journal of Business & Economic Statistics, 2003.
This paper reexamines predictability of nominal exchange rate returns by means of fundamental models. Published in Empirical Economics, 1999.