WORKING PAPER & PUBLICATIONS
Fund-Level FX Hedging Redux with Harald Hau. First draft coming soon.
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; Seminars: University of Lausanne; University of Zurich; Geneva Finance Research Institute
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 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.
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