Lecture Videos, Code & Data from the Stanford Big-Data Initiative in International Macro-Finance

All lecture videos, codes, and data for the initiative are located here.

Opening Remarks

Opening Remarks by Professor Maggiori Slides Video Recording

Session 1: Currency Risk Premia and Covered Interest Parity

Exchange Rate Determinants Slides Video Recording Data & Code
FX Returns and Aggregate Risk Slides Video Recording Data & Code
Covered Interest Rate Parity Slides Video Recording  

Session 2: Firms, Investors, and Global Capital Allocation

Global Capital Allocations: Concepts Slides Video Recording  
Global Portfolios and External Positions Slides Video Recording  
Micro Data on Cross-Border Investments Slides Video Recording Data & Code
Key Patterns in Cross-Border Investments Slides Video Recording Data & Code
Residency, Nationality, and Tax Havens Slides Video Recording Data & Code
Global Capital Allocation: Redrawing the Map Slides Video Recording Data & Code

Session 3: Exchange Rates, Prices, and Trade: Theory and Microdata

Exchange Rate Passthrough: Theory Slides Video Recording  
Exchange Rate Passthrough and PPP in Data Slides Video Recording  
Price Scraping and the Billion Prices Project Slides Video Recording Billion Prices Project
PriceStats
Applications: Currency Unions and Trade War Slides Video Recording  
Dynamic Trade Models with PPP Failures Slides Video Recording Data & Code
Simple Note

Session 4: Public and Historical Data in International Macro-Finance

Contemporary Data Slides Video Recording
Historical International Macro-Finance Data Sources Slides Video Recording

Session 5: Big Data, Machine Learning, and Artificial Intelligence

Introduction to Machine Learning Methods Slides Video Recording Data & Code
Longitudinal Data and Matrix Factorization Slides Video Recording Data & Code

Session 6: Global Firm Dynamics, Productivity, (Mis)Allocations

Misallocation Concepts Slides Video Recording  
Misallocation Facts Slides Video Recording Data & Code
Real and Financial Linkages at the Firm Level: Why Do We Care? Slides Video Recording  
Real and Financial Linkages at the Firm Level: Data and Identification Slides Video Recording Data & Code
The Facts of Economic Growth Slides Video Recording Data & Code
Using the IPUMS Census / ACS Data Slides Video Recording Data & Code

Session 7: Text-based Methods

Measuring Uncertainty with Text Slides Video Recording Data Sources
Earnings Conference Calls and Other Firm Disclosures Slides Video Recording Data
Code
Job Postings & Patents Slides Video Recording