Tradability of output, business cycles and asset prices

• 成果类型: Article
• 署名作者: Tian, Mary
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.02.003
• 发表日期: 2018
• 页码: 86-102
• 关键词: Tradability; cyclicality; Real exchange rate; Relative price adjustment

摘要

I examine the effect of a firm's tradability, the proportion of output that is exported abroad, on its stock returns over business cycles from 1947-2015. Firms with higher tradability have more cyclical asset returns, even after controlling for the real exchange rate. Returns of a portfolio long on firms with the highest tradability and short on firms with the lowest tradability can predict changes in the real dollar exchange rate and trade volumes. The empirical patterns are consistent with the relative price adjustment of tradable and non-tradable goods to business cycles primarily driven by supply shocks. Published by Elsevier B.V.