NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Kimberly A. Berg

Department of Economics
Miami University
Oxford OH

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Institutional Affiliation: Miami University

NBER Working Papers and Publications

June 2019Demographics and Monetary Policy Shocks
with Chadwick C. Curtis, Steven Lugauer, Nelson C. Mark: w25970
We decompose the response of aggregate consumption to monetary policy shocks into contributions by households at different stages of the life cycle. This decomposition finds that older households have a higher consumption response than younger households. Amongst older households, the consumption response is also increasing in income. This, along with data on age-related net wealth, presents evidence for a wealth effect playing a role in driving the response patterns. This mechanism is studied further in a partial-equilibrium life-cycle model of consumption, saving, and labor-supply decisions. The model qualitatively explains the empirical patterns. Understanding the heterogeneity in consumption responses across age groups is important for understanding the transmission of monetary policy,...
September 2017Global Macro Risks in Currency Excess Returns
with Nelson Mark: w23764
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country high-minus-low conditional skewness of the unemployment rate gap. It gives a measure of global macroeconomic uncertainty and is robustly priced in currency excess returns. A widening of the high-minus-low skewness of the unemployment rate gap signifies increasing divergence, disparity, and inequality of economic performance across countries.

Published: Kimberly A. Berg & Nelson C. Mark, 2017. "Global macro risks in currency excess returns," Journal of Empirical Finance, . citation courtesy of

 
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