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The Influence of the COVID-19 Pandemic on Safe-Haven Assets (Vox EU, 7 min read) ‘The findings suggest that the character of safe-haven assets has changed since the 2008 crisis. Gold, the traditional safe-haven asset, has lost its glitter. However, the Swiss franc, the US dollar and US Treasuries retained their safe-haven status, and Tether, a cryptocurrency, shows some promise.’ [Bearish Gold]
The Global Effects of Global Risk and Uncertainty (BOE recently publish in JIMF, 25 page read) The effects of shocks to global financial uncertainty on real economic activity are shown to be stronger in countries with a higher degree of trade and/or financial openness. Using realised volatilities on 1,000 risky assets, the output responses are also heterogeneous across countries but, in general, negative and persistent
Global Market Inefficiencies (JFE, 38 page read) Estimating monthly fair values of 25,000 stocks from 36 countries, trading strategies based on deviations from fair value are shown to earn significant alpha in most regions. Global equity markets are inefficient because a country’s pre-transaction-cost alpha is positively related to its trading costs but exceeds country-specific institutional trading costs.
Emerging Market Currency Risk Around ‘Global Disasters’: Evidence from the Global Financial Crisis and the COVID-19 crisis (CEPR, 10 page read) Studying excess returns from holding a portfolio long in emerging market currency and short in US dollars, the co-movement between exchange rates and capital outflows is shown to be strong during times of global distress. This matters for macroeconomic policy in EM’s.