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News

February 26 at 2.00 pm - Research seminar by Pasquale Della Corte (Imperial College London) "Macro Uncertainty and Currency Premia"

Venue: Shabolovka st. 26, Room 3211

On Friday, February 26 at 2.00 pm International College of Economics and Finance will hold the Research Seminar.
Speaker: Pasquale Della Corte (Imperial College London) <Curriculum Vitae>
Theme: "Macro Uncertainty and Currency Premia" co-authored with Aleksejs Krecetovs
Venue: Shabolovka st. 26, Room 3211              

Abstract: This paper studies empirically the relation between macro uncertainty shocks and the cross-section of currency excess returns. We measure uncertainty over macro variables such as current account, inflation rate, short-term interest rate, real economic growth and foreign exchange rate using the cross-sectional dispersion of market participants' expectations from two international surveys of economic forecasts. We find evidence that investment currencies deliver low returns whereas funding currencies offer a hedge when current account uncertainty is unexpectedly high. In contrast, uncertainty over other macro indicators displays no significant relation with the cross-section of currency excess returns. Our results are consistent with a recent theory of exchange rate determination based on capital flows in imperfect financial markets.

Everyone interested is welcome to attend!

See the web-page of the seminar < https://icef.hse.ru/en/announcements/175635500.html >
Pass can be ordered by:
tel. +7 (495) 772-95-90 ext. 26090
e-mail: vzheleznov@hse.ru
contact: Slava Zheleznov