(1)  "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.

Presentation at 

(2)  "Ungleichgewichte im Handel als Ursache von Wechselkursschwankungen", Schmalenbach IMPULSE 3(2): 1-9, December 2023

with Harald Hau

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. 


(1) "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