skip to content

Cambridge Endowment for Research in Finance (CERF)


CERF PhD Scholar: Naoki Yago

University of Cambridge, Faculty of Economics

PhD Supervisor: Professor Vasco Carvalho

Project: Exchange Rate Risk and Global Financial Stability

In the first project, I study the transmission of U.S. monetary policy to emerging economies (EMEs) when firms in EMEs are heterogeneous in terms of exposure to exchange rate risk. Especially, I study how heterogeneity in balance sheet size affects the transmission of monetary policy. In the second project, using high-frequency data on monetary shocks, I study the interaction of the U.S. monetary policy and EMEs’ foreign exchange intervention. In the third project, I analyze how financial globalization affects the emergence of asset bubbles and how bubbles affect economic growth and welfare in different countries.

Project Start and End Date: Start Date: 1 October 2021, End Date: 30 September 2023 Key Research Findings to date: In the first project, using data on high-frequency U.S. monetary shocks and currency denomination of corporate balance sheets in EMEs, I studied the effect of U.S. monetary tightening on investment behavior by EMEs’ firms. I showed that large firms, which are highly exposed to currency risk, reduce dollar debt and investment in capital and financial assets in response to U.S. monetary tightening. In the second project, when the Fed tightens, the purchase of local currency by EMEs mitigates exchange rate depreciation. Moreover, buying the U.S. dollar benefits exporting firms but harms the firms with dollar debt.

Project Update - August 2021