Fund-Level FX Hedging Redux  with Harald Hau. First draft coming soon. 

 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.

• 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 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.