Search Results
Working Paper
Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior
We link the county-level rollout of stay-at-home orders to anonymized cellphone records and consumer spending data. We document three patterns. First, stay-at-home orders caused people to stay at home: county-level measures of mobility declined by between 9% and 13% by the day after the stay-at-home order went into effect. Second, stay-at-home orders caused large reductions in spending in sectors associated with mobility: restaurants and retail stores. However, food delivery sharply increased after orders went into effect. Third, there is substantial county-level heterogeneity in consumer ...
Working Paper
Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior
We link the county-level rollout of stay-at-home orders during the Covid-19 pandemic to anonymized cell phone records and consumer spending data. We document three patterns. First, stay-at-home orders caused people to stay home: county-level measures of mobility declined 6–7% within two days of when the stay-at-home order went into effect. Second, stay-at-home orders caused large reductions in spending in sectors associated with mobility: small businesses and large retail chains. Third, we estimate fairly uniform responses to stay-at-home orders across the country; effects do not vary by ...
Working Paper
Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market
A large number of companies operating in the EV and battery supply chain have listed on a major U.S. stock exchange in recent years. This paper investigates 1) how these companies’ stock returns are related to systematic risk factors that can explain movements in the stock market and 2) how these companies’ idiosyncratic returns are related to one another. To do so, I compile a unique data set of intradaily stock returns that spans the supply chain, including companies focused on the mining of battery and EV-related critical minerals, advanced battery technology, lithium-ion battery ...
Working Paper
Heterogeneity in the Marginal Propensity to Consume: Evidence from Covid-19 Stimulus Payments
We identify 22,340 recipients of Covid-19 Economic Impact Payments in anonymized transaction-level debit card data from Facteus. We use an event study framework to show that in the two weeks following a sudden $1,200 payment from the IRS, consumers immediately increased spending by an average of $604, implying a marginal propensity to consume (MPC) of 50%. Consumer spending fell back to normal levels after two weeks. Stimulus recipients who live paycheck-to-paycheck spend 62% of the stimulus payment within two weeks, while recipients who save much of their monthly income spend only 35% of the ...
Working Paper
Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market
A large number of companies operating in the EV and battery supply chain have listed on a U.S. stock exchange in recent years. I compile a unique data set of high-frequency stock returns for those companies and investigate the extent to which an “industry” factor specific to the EV and battery supply chain (an “EV” factor) can explain their returns. Those returns are decomposed into systematic and idiosyncratic components, with the former given by a set of latent factors extracted from a large panel of stock returns using high-frequency principal components. It is found that a market ...
Report
Time variation in asset price responses to macro announcements
Although the effects of economic news announcements on asset prices are well established, these relationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including the level of policy rates at the time of the news release, and risk conditions: Government bond yields ...
Working Paper
Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior
We link the county-level rollout of stay-at-home orders to anonymized cell phone records and consumer spending data. We document three patterns. First, stay-at-home orders caused people to stay home: County-level measures of mobility declined 8% by the day after the stay-at-home order went into effect. Second, stay-at-home orders caused large reductions in spending in sectors associated with mobility: small businesses and large retail stores. However, consumers sharply increased spending on food delivery services after orders went into effect. Third, responses to stay-at-home orders were ...
Working Paper
Do Stay-at-Home Orders Cause People to Stay at Home? Effects of Stay-at-Home Orders on Consumer Behavior
We link the county-level rollout of stay-at-home orders to anonymized cell phone records and consumer spending data. We document three patterns. First, stay-at-home orders caused people to stay at home: County-level measures of mobility declined 9–13% by the day after the stay-at-home order went into effect. Second, stay-at-home orders caused large reductions in spending in sectors associated with mobility: restaurants and retail stores. However, consumers sharply increased spending on food delivery services after orders went into effect. Third, while the response of residents to ...
Working Paper
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistimed stock returns on a fine sampling grid allows us to better approximate the true common jumps in related stock prices.
Tracking the Economic Impact of the Pandemic Using High-Frequency Data
High-frequency data can provide a quicker snapshot of economic conditions than data that take weeks or months to become available.