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Articles by Motohiro Yogo
Asset Embeddings
Skip to main content For comments and discussions, we thank Tania Babina, Bernard Bergeron, Svetlana Bryzgalova, Leland Bybee, John Campbell, Tarek Hassan, Bryan Kelly, Serhiy Kozak, Martin Lettau, Tengyuan Liang, Stefan Nagel, Markus Pelger, Fernando Perez-Cruz, Jerome Pesenti, Tarun Ramadorai, Olivier Scaillet, Hyun Shin, Yinan Su, and participants at seminars and conferences. We thank Manav Chaudhary, San Singh, and Huanyu Zhang for excellent research assistance.
Artificial intelligence and big holdings data: Opportunities for central banks
Focus Why do asset prices fluctuate? How do central bank interventions affect asset prices? And which investors or assets are exposed to the same risk factors? When aggregate demand for securities must equal their total supply, their sensitivity to asset prices can be estimated using data sets on investor portfolio holdings. Such demand systems help explain price movements, providing valuable insights for central banks.
Asset Demand of U.S. Households
Skip to main content For comments and suggestions, we thank Ron Akke, Eric Baker, Sylvain Catherine, Dan Golosovker, Luigi Guiso, Jens S. Kvaerner, Amar Patel, Tarun Ramadorai, Philippe van der Beck, and participants at various conferences and seminars. Gabaix thanks the Ferrante Fund for financial support.
Neoclassical Growth in an Interdependent World
Skip to main content We are grateful to Princeton University for research support. We would like to thank Mark Aguiar, Matteo Maggiori, Helene Rey, Jesse Schreger, Jaume Ventura, Chenzi Xu and seminar and conference participants at the Global Economic Networks (GEN) Conference, NBER ITM Summer Institute, Houston University, Philadelphia Federal Reserve Bank, Princeton University, and Stanford University SITE Conference for helpful comments.
Restarting asset purchases in the euro area
Restarting asset purchases in the euro area: Lessons from €2 trillion of ECB purchases Ralph Koijen, François Koulischer, Benoît Nguyen, Motohiro Yogo 18 September 2019 Recent economic performance in the euro area has once again raised the possibility of the ECB conducting asset purchases. This column sorts security-level portfolio holdings data by investor type and across countries in the euro area to study portfolio rebalancing during the ECB purchase programme from 2015-17.
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