RESEARCH

Works In Progress:

    • ¬†Accepted at the 2021 NBER Summer Institute (International Asset Pricing session)
    • Abstract: Does macroeconomic uncertainty affect cross-border flows of capital? Studying the drivers of gross capital flows is critical from a policy perspective. Even though global uncertainty has been established as a robust global factor of international capital flows, there has been little work on understanding the role of country-specific uncertainty in driving these flows. This paper examines this role using data from the IMF and the Bank for International Settlements. The structure of the data allows better identification of the effect of higher uncertainty on cross-border flows. The preliminary results suggest that higher uncertainty in the domestic economy robustly corresponds to a decrease in outflows (cross-border lending) and inflows (cross-border borrowing). Moreover, the decline in inflows is larger than that in outflows, leading to a positive net cross-border outflow.

  • Uncertainty, FX Risk Premia, and Gross Flows of Capital
    • How do local or common (global) shocks to uncertainty (level of second moments) impact the flow of capital, by residents and foreigners?

Inactive Projects:
  • Income Inequality and the Cross-section of Expected Returns (2020)