• 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,  SFS Cavalcade North America Ph.D. Student Grant 2026, The Brattle Group Ph.D. Candidate Award for Outstanding Research 2026

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, European Winter Finance Summit 2026, SFS Cavalcade 2026, Western Finance Association 2026

In case you cannot access Google Drive: AFA  paper 

AFA 2026 poster

• Do Funds Engage in Optimal FX Hedging?,  Swiss Finance Institute Research Paper No.  24-103, November 2024 with Harald Hau.

Revise & Resubmit Review of Finance

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

Revise & Resubmit Journal of International Economics 

Abstract: The rise in net dollar bond positions of non-US investors has increased the net hedging demand for dollar short positions. We show how high variability of hedging and a negative demand elasticity for dollar short positions can explain increased FX volatility and the strong negative correlation between changes in net hedging and dollar spot rate returns, which reaches up to −66% for the dollar currency return index in 2012-2022. We also construct granular instruments based on idiosyncratic bank capital measures which identify the hedging demand elasticity as negative, suggesting that less hedging is demanded if the dollar appreciates.

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. 

• Uncovered 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

• FX Debt and Optimal Exchange Rate Hedging by Laura Alfaro, Julián Caballero, Bryan Hardy, discussed at the 15th Workshop on Exchange Rates organized by Banca d’Italia, BIS,  ECB and National Bank of Belgium 2025