• Exchange Rate Expectations and Currency Demand 

Abstract: International exchange-traded funds (ETFs) often allow investors to choose between the currency-hedged and unhedged product. Relative holdings between these products reveal the currency demand and exchange rate expectation of investors. I find that investors’ allocation to currency-hedged versus unhedged ETFs varies with survey-based expectations and simple estimates of exchange rate expectations, like the forward discount, but less with dollar and carry factors. Portfolio-implied currency return expectations, extracted from ETF trading, become more dispersed during volatile periods in FX markets and predict future realized currency returns. This suggests that belief heterogeneity contributes to exchange rate volatility, yet aggregate investors’ trading is rational.

Awards: SFI Best Paper Doctoral Award 2025

Presentations: Geneva Finance Research Institute, Wharton Business School (BB), SFI Research Days 2025, Global Finance Conference Boston 2025

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

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

•  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; European Winter Finance Summit 2025; Seminars: University of Lausanne; University of Zurich; Geneva Finance Research Institute

Latest version here

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.