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
Hanno Lustig, 2020

Slides Video Recording Data & Code
FX Returns and Aggregate Risk
Adrien Verdelhan, 2020
Slides Video Recording Data & Code

Covered Interest Rate Parity
Wenxin Du, 2020

Slides Video Recording  
Currency Risk Premia
and Covered Interest
Rate Parity Part 1
Hanno Lustig, 2023
Slides Video Recording  
Currency Risk Premia
and Covered Interest
ate Parity Part 2
Arvind Krishnamurthy, 2023
Slides Video Recording  

Session 2: Global Capital Allocation

Public Data in International Macro-Finance
Jesse Schreger
, 2023

Slides Video Recording Further Reading
Global Capital Allocation: Home Currency Bias
Matteo Maggiori, 2023
Slides Video Recording Data & Code
Global Capital Allocation: Tax Havens 
Antonio Coppola, 2023
Slides Video Recording Data & Code

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

Exchange Rate Passthrough: Theory
Brent Neiman, 2020
Slides Video Recording  
Exchange Rate Passthrough and PPP in Data
Alberto Cavallo, 2020
Slides Video Recording  
Price Scraping and the Billion Prices Project
Alberto Cavallo, 2020
Slides Video Recording Billion Prices Project
PriceStats
Applications: Currency Unions and Trade War
Alberto Cavallo, 2020
Slides Video Recording  
Dynamic Trade Models with PPP Failures
Brent Neiman, 2020
Slides Video Recording Data & Code
Simple Note

Session 4: Historical Data in International Macro-Finance

Historical International Macro-Finance Data Sources
Chenzi Xu, 2020
Slides Video Recording  
Historical International Macro-Finance Data Sources
Chenzi Xu, 2023
Slides Video Recording  

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

Introduction to Machine Learning Methods
Susan Athey, 2020
Slides Video Recording Data & Code
Longitudinal Data and Matrix Factorization
Susan Athey, 2020
Slides Video Recording Data & Code
Generative Artificial Intelligence and Economic Applications
Susan Athey, 2023
Slides Video Recording  

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

Misallocation Concepts
Pete Klenow, 2020
Slides Video Recording  
Misallocation Facts
Pete Klenow, 2020
Slides Video Recording Data & Code
Corporate Leverage, Credit Cycles & Growth: Insights from Europe, United States, & Emerging Markets
Sebnem Kalemli-Ozcan, 2020
Slides Video Recording  
Real and Financial Linkages at the Firm Level: Data and Identification
Pete Klenow, 2020
Slides Video Recording Data & Code
The Facts of Economic Growth
Charles I. Jones, 2020
Slides Video Recording Data & Code
Using the IPUMS Census / ACS Data
Charles I. Jones, 2020
Slides Video Recording Data & Code

Session 7: Text-based Methods

Measuring Uncertainty with Text
Nicholas A. Bloom, 2020
Slides Video Recording Data Sources
Earnings Conference Calls and Other Firm Disclosures
Tarek Hassan, 2020
Slides Video Recording Data
Code
Job Postings & Patents
Tarek Hassan, 2020
Slides Video Recording  

Session 8: Identification in Macro

Identification in Macro
Emi Nakamura, 2023
Slides Video Recording Further Reading

Session 9: Global Corporate Profit Shifting

Global Corporate Profit Shifting
Gabriel Zucman, 2023
Slides Video Recording  

Session 10: Exchange Rate Determination When Financial Markets Are Imperfect

Exchange Rate Determination When Financial Markets Are Imperfect
Matteo Maggiori, 2023
Slides Video Recording Further Reading