17.09.2024: Anna Cieslak – Policymakers’ uncertainty

Presenter: Anna Cieslak Affiliation: Duke University, Fuqua School of Business. Paper: Policymakers’ Uncertainty. Date: September 17, 2024. Time: 12:00 GMT (15:00 Israel Time) Abstract: We examine how uncertainty impacts decision-making by the Federal Open Market Committee (FOMC). Drawing from private deliberations, we quantify the uncertainty types the FOMC perceives and their policy impact. Inflation uncertainty … Read more

05.03.2024: Jules van Binsbergen – (Almost) 200 years of news-based economic sentiment

Presenter: Jules van Binsbergen Affiliation: University of Pennsylvania, Wharton School. Paper: (Almost) 200 Years of News-Based Economic Sentiment. Date: March 05, 2024. Time: 13:00 GMT (15:00 Israel Time) Abstract: Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country … Read more

10.08.2021: Tarek Hassan – Country risk

We construct new measures of country risk and sentiment as perceived by global investors and executives using textual analysis of the quarterly earnings calls of publicly listed firms around the world. Our quarterly measures cover 45 countries from 2002-2020. We use our measures to provide a novel characterization of country risk and to provide a harmonized definition of crises. We demonstrate that elevated perceptions of a country’s riskiness are associated with significant falls in local asset prices and capital outflows, even after global financial conditions are controlled for. Increases in country risk are associated with reductions in firm-level investment and employment. We also show direct evidence of a novel type of contagion, where foreign risk is transmitted across borders through firm-level exposures. Exposed firms suffer falling market valuations and significantly retrench their hiring and investment in response to crises abroad. Finally, we provide direct evidence that heterogeneous currency loadings on global risk help explain the cross-country pattern of interest rates and currency risk premia.

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