Speaker: Prof. Zhengyang Jiang, Kellogg School of Management, Northwestern University

Host: Prof. Yu Changhua, National School of Development

Time: 10:30-12:00 am, December 6, 2022, GMT+8

Venue: Zoom Meeting ID: 926 3889 7210 Password: 908060

Abstract:

I develop a general characterization of the effect that market incompleteness has on exchange rate dynamics. On the one hand, it weakens the pass-through from marginal utility shocks to exchange rate movements; on the other hand, it gives rise to additional variations in exchange rates and propagates one country’s marginal utility shocks to other countries’ exchange rates. This novel spill-over effect gives rise to both exchange rate disconnect from local fundamentals as well as comovements in the cross-section of currencies, offering a novel market incompleteness-based channel for understanding these salient features of exchange rate behaviors.

Biography:

Zhengyang Jiang is an Associate Professor of Finance at Kellogg School of Management, Northwestern University, and a Faculty Research Fellow at the National Bureau of Economic Research (NBER). He works on international finance and macroeconomics. He received his doctor of philosophy in finance from Stanford Graduate School of Business, and a bachelor degree in math and business economics from California Institute of Technology.

Source: National School of Development