1st Annual Conference on Foreign Exchange Markets

Date: July 2 2013

Organiser:Dr Pasquale della Corte

The Conference was designed to bring together leading researchers in the field of International Finance in a stimulating research environment, and featured as keynote speakers Charles Engel (University of Wisconsin-Madison) and Hanno Lustig ( University of California at Los Angeles). The aim was to present and discuss recent advances on empirical models of exchange rate returns as well as to provide the setting for a fruitful debate between researchers, policy makers and market participants on future directions and challenging research questions in this area.

Themes addressed included economic fundamentals and risk premia in currency markets, crash risk and downsize risk in currency returns; new evidence from carry trade strategies. In addition to academic papers, there was a panel session chaired by Francis Breedon (Queen Mary, University of London), which included contributions from Jeremy Hale (Head of Global Macro Strategy, Citi),Jens Nordvig, Global Head of FX Strategy, Nomura) and Thomas Stolper (Chief FX Strategist, Goldman Sachs). The conference was supported by Citi.

Programme 1st Annual Conference on Foreign Exchange Markets(pdf)

Copies of the papers presented at the workshop can be found below:

Session 1

• Michael Weber(Haas School of Business, University of California at Berkeley),Conditional Risk Premia in Currency Markets and Other Asset Classes (pdf)
•  Irina Zviadadze(Stockholm School of Economics),Crash Risk in Currency Returns (pdf)

Session 2

• Steven J. Riddiough(Warwick Business School),Risk Premia and Global Imbalances (pdf)
• Ralph Koijen(Booth School of Business, University of Chicago),Carry(pdf)

Session 3

• Keynote speaker:Charles Engel (University of Wisconsin-Madison),The Real Exchange Rate, Real Interest Rates, and the Risk Premium (pdf)
• Keynote speaker:Hanno Lustig(University of California at Los Angeles),The Term Structure of Currency Carry Trade Risk Premia
• Panel Session: Currency Forecasting in Practice
• Moderator: Francis Breedon, Queen Mary, University of London
• Jeremy Hale, Head of Global Macro Strategy, Citi
• Jens Nordvig, Global Head of FX Strategy, Nomura
• Thomas Stolper, Chief FX Strategist, Goldman Sachs