| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14874 |
| DP14874 Exchange Rates and Asset Prices in a Global Demand System | |
| Ralph Koijen; Motohiro Yogo | |
| 发表日期 | 2020-06-11 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Using international holdings data, we estimate a demand system for financial assets across 36 countries. The demand system provides a unified framework for decomposing variation in exchange rates, long-term yields, and stock prices; interpreting major economic events such as the European sovereign debt crisis; and estimating the convenience yield on US assets. Macro variables and policy variables (i.e., short-term rates, debt quantities, and foreign exchange reserves) account for 55 percent of the variation in exchange rates, 57 percent of long-term yields, and 69 percent of stock prices. The average convenience yield is 2.15 percent on US long-term debt and 1.70 on US equity. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp14874 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/543812 |
| 推荐引用方式 GB/T 7714 | Ralph Koijen,Motohiro Yogo. DP14874 Exchange Rates and Asset Prices in a Global Demand System. 2020. |
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