Working Paper
Can risk explain the profitability of technical trading in currency markets?
Famiglietti, Matthew; Ivanova, Yuliya; Neely, Christopher J.; Weller, Paul A. (2020-06-12)
Academic studies show that technical trading rules would have earned substantial excess returns over long periods in foreign exchange markets. However, the approach to risk adjustment has typically been rather cursory. We examine the ability of a wide range of models: CAPM, quadratic CAPM, downside risk CAPM, Carhart’s 4-factor model, the C-CAPM, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) carry-trade factor model, and models including macroeconomic factors, and foreign exchange volatility, skewness and liquidity, to explain these technical trading returns. No model ...
Working Papers , Paper 2014-033

Journal Article
COVID-19 Containment Measures, Health and the Economy
Famiglietti, Matthew; Leibovici, Fernando (2021-02-19)
While COVID-19-related restrictions in 2020 spurred short-term rises in unemployment, states with stricter measures saw faster labor market recoveries.
The Regional Economist , Volume 29 , Issue 1

Journal Article
Putting Recent Inflation in Historical Context
Famiglietti, Matthew; Garriga, Carlos (2021-06-03)
Prices for many items were depressed during the height of the COVID-19 pandemic, and we see the effect in current inflation reports.
Economic Synopses , Issue 12 , Pages 1-2

Journal Article
Are U.S. Housing Markets Hot, Hot, Hot?
Hedlund, Aaron; Famiglietti, Matthew; Garriga, Carlos (2019-08-20)
Some areas of the U.S. housing market are hotter now than during the 2002-06 boom.
Economic Synopses , Issue 21

House Hunting in a Period of Social Distancing
Famiglietti, Matthew; Garriga, Carlos (2020-04-01)
Lower housing demand due to quarantine orders, slowing price growth and mortgage originations, and a historically high housing supply are all hitting the economy at the same time.
On the Economy

Journal Article
Immigration and International Trade in U.S. Manufactured Goods
Famiglietti, Matthew; Leibovici, Fernando (2020-05-28)
States with higher shares of immigrants tend to export a higher fraction of manufactured goods.
Economic Synopses , Issue 34

Journal Article
A Simple Evaluation of Two Decades of Inflation Targeting: Lessons for the New Monetary Policy Strategy
Famiglietti, Matthew; Garriga, Carlos (2021-01-29)
New Fed guidance could deliver more inflation outcomes above the current inflation target.
Economic Synopses , Issue 1 , Pages 1-3

Journal Article
The Decline of Employment During COVID-19: The Role of Contact-Intensive Industries
Famiglietti, Matthew; Leibovici, Fernando; Santacreu, Ana Maria (2020-09-10)
Non-essential contact-intensive industries have experienced the largest job losses since the onset of COVID-19.
Economic Synopses , Issue 40

Journal Article
The Economic and Epidemiological Impact of COVID-19 and Government Policies: Part 2
Famiglietti, Matthew; Leibovici, Fernando (2021-07-02)
Health and containment policies were effective at curbing the spread of COVID-19, but at a significant economic cost. State-level economic support policies were effective at mitigating this cost and helped further curb the spread of the virus.
Economic Synopses , Issue 15 , Pages 1-3

Reopening the U.S. Economy an Industry at a Time
Famiglietti, Matthew; Leibovici, Fernando; Santacreu, Ana Maria (2020-05-12)
A novel index of physical contact exposure helps to identify the industries that are the most contact-intensive and might reopen later, as well as lower-contact industries that could reopen sooner.
On the Economy