LEONIE BRÄUER
LEONIE BRÄUER
PhD Candidate in Financial Economics at
Swiss Finance Institute @ University of Geneva
Research interest: International Finance and Asset Pricing
I will be on the academic job market in 2025/2026.
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WORKING PAPERS
WORKING PAPERS
Exchange Rate Expectations and Currency Demand (Job Market Paper)
Abstract: This paper develops a new method to extract exchange rate expectations from investment positions. I use relative allocations between otherwise identical exchange-traded funds (ETFs) offered with and without a currency hedge to measure investors' pure currency demand and infer a distribution of currency return expectations. These portfolio-implied expectations predict future exchange rates more accurately than survey-based expectations or expectations derived from macroeconomic models or currency pricing factors. Dispersion in portfolio-implied expectations accounts for 27% of exchange rate volatility, consistent with models of heterogeneous beliefs.
Awards: SFI Best Paper Doctoral Award 2025
Presentations: Geneva Finance Research Institute, Wharton Business School (BB), SFI Research Days 2025, Global Finance Conference Boston 2025, 15th Workshop on Exchange Rates organized by Banca d’Italia, BIS, ECB and National Bank of Belgium
Do Funds Engage in Optimal FX Hedging?, Swiss Finance Institute Research Paper No. 24-103, November 2024 with Harald Hau.
Abstract: Using comprehensive new contract level data (EMIR) for the period 2019-2023, we explore how the FX derivative trading by European funds compares to a feasible theoretical benchmark of optimal hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and sub-optimal. Overall, the observed FX derivative trading does not significantly reduce the return risk of the average European investment funds, even though optimal hedging strategies could without incurring substantial trading costs.
Presentations: SFS Cavalcade North America 2025; European Finance Association 2025; Seminars: Geneva Finance Research Institute, European Central Bank, Workshop on International Macroeconomics and Finance organized by the Swiss National Bank and Trinity College Dublin
Can Time-Varying Currency Risk Hedging Explain Exchange Rates?, Swiss Finance Institute Research Paper No. 22-77, October 2022 with Harald Hau
Abstract: We argue that changes in international bond positions are an important driver of net hedging positions in derivative markets, which in turn influence the exchange rate. Using intermediaries’ capital ratio as a supply shifter, we identify a price inelastic derivative demand by institutional investors and document that changes in their net hedging positions can account for approximately 30% of all monthly variation in the seven most important dollar exchange rates from 2012 to 2022.
Presentations: 12th Workshop on Exchange Rates organized by the BIS, the Banca d’Italia and the ECB; SFS Cavalcade North America 2023; European Finance Association 2023; Young Swiss Economists Meeting 2023; American Finance Association 2024; European Winter Finance Summit 2025; Seminars: University of Lausanne; University of Zurich; Geneva Finance Research Institute
Slides for EFA 2023 here
Ungleichgewichte im Handel als Ursache von Wechselkursschwankungen, Schmalenbach IMPULSE 3(2): 1-9, December 2023 with Harald Hau
Monetary Policy Transmission Over the Leverage Cycle: Evidence for the Euro Area, ECB Working Paper No. 20202421, June 2020 with Gerhard Rünstler
Abstract: We study state dependence in the impact of monetary policy shocks over the leverage cycle for a panel of 10 euro area countries. We use a Bayesian Threshold Panel SVAR with regime classifications based on credit and house prices cycles. We find that monetary policy shocks trigger a smaller response of GDP, but a larger response of inflation during low states of the cycle. The shift in the inflation-output trade-off may result from higher macro-economic uncertainty in low leverage states. For an alternative regime classification based on turning points we find larger effects on GDP during contractions.
SELECTED DISCUSSIONS
SELECTED DISCUSSIONS
Foreign Exchange Swap Liquidity , Swiss Finance Institute Research Paper No. 23-22, March 2023 by Peteris Kloks, Edouard Mattille and Angelo Ranaldo, discussed at the Swiss Finance Institute Research Days 2023
Winner of the SFI Best Discussant Award
Discussion_SFI_RD_2023.pdfUncovered Interest Parity in High Frequency by Ingomar Krohn, Philippe Mueller, Paul Whelan, discussed at the 14th Workshop on Exchange Rates organized by the National Bank of Belgium 2024
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