I am a 5th year PhD candidate in economics at the University of Texas at Austin.
Primary Fields: Macroeconomics, Monetary Economics
Secondary Fields: International Macroeconomics, Financial Economics
Previously titled "What does high frequency identification tell us about the transmission and synchronization of business cycles?"
Abstract: We provide evidence for a causal link between the US economy and the global financial cycle. Using a unique intraday dataset, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news frequently explains more than 15% of the quarterly variation in foreign stock markets. The joint behavior of stock prices and long-term bond yields suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence is consistent with a direct effect on investors' risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions.
Presentations: Bocconi*; ESWM 2020; AEA 2021*; RES 2021 (scheduled); SED 2021 (scheduled);