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2nd Workshop on “Financial Determinants of Exchange Rates”

Rome, 13 December 2012
Hosted by Banca d'Italia, jointly organised by the ECB and Banca d'Italia

Organisers: Alessio Anzuini (BdI) and Fabio Fornari (ECB)

The Bank of Italy and the European Central Bank have organised the second edition of the workshop "Financial Determinants of Exchange Rates", which will be held on 13 December 2012 at the Bank of Italy’s premises, in Rome. The workshop brings together researchers from academia and policy-making institutions and aims to discuss topics related to recent developments in the foreign exchange market focusing on the role played by its financial determinants. The workshop will end with a roundtable discussing topics related to the behaviour of foreign exchange rates at times of crisis.

To participate in the event please send an email to: BANCADITALIA.STUDI.CONVEGNI@bancaditalia.it no later than 11 December 2012 indicating your name and affiliation. The access point to the workshop is located in Via Nazionale 91, 00184 Roma. Please note that travel and accommodation expenses of participants cannot be reimbursed by neither the Bank of Italy nor the European Central Bank.

09:00 - 09:15 Welcome address
Giuseppe Parigi (Bank of Italy)
  Session 1
Chair: Patrizio Pagano (Bank of Italy)
09:15 - 10:00 Currency Premia and Global Imbalances
Pasquale Della Corte (Imperial College London)
Steven J. Riddiough (Warwick Business School)
Lucio Sarno (Cass Business School and CEPR)

Discussant: Giulia Sestieri (Banque de France)

10:00 - 10:45 Carry Trades and Exchange Rate Volatility: A TVAR Approach
Alessio Anzuini (Bank of Italy)
Francesca Brusa (Oxford University)

Discussant: Pasquale Della Corte (Imperial College London)

10:45 - 11:00 Coffee break
11:00 - 11:45 The Crash Risk Premia of Efficient Carry Trades
Philippe Dupuy (Grenoble Ecole de Management)

Discussant: Fabio Fornari (European Central Bank)

11.45-12.30 What Do Stock Markets Tell Us About Exchange Rates?
Invited speaker: Lucio Sarno (Cass Business School and CEPR)
12:30 - 13:45 Buffet Lunch
  Session 2
Chair: Lucio Sarno (Cass Business School and CEPR)
13:45 - 14:30 Risk-off Episodes and Swiss Franc Appreciation: the Role of Capital Flows
Carvalho Filho (International Monetary Fund)

Discussant: Gino Cenedese (Bank of England)

14:30 - 15:15 The Euro Exchange Rate During the European Sovereign Debt Crisis – Dancing to its Own Tune?
Michael Ehrmann (European Central Bank)
Chiara Osbat (European Central Bank)
Jan Strasky (European Central Bank)
Lenno Uusküla (Bank of Estonia)

Discussant: Martina Cecioni (Bank of Italy)

15:15 - 16:00 Safe Haven Currencies: A Portfolio Perspective
Gino Cenedese (Bank of England)

Discussant: Thomas Nitschka (Swiss National Bank)

16:00 - 16:15 Coffee break
16:15 - 17:45 Round Table: Exchange Rates in Times of Crisis and Monetary Easing
Moderator: Pietro Catte (Bank of Italy)

Lucio Sarno (Cass Business school and CEPR)
Themistoklis Fiotakis (Goldman Sachs)
Marc Bentin (Bank for International Settlements)
Dagfinn Rime (Norges Bank)

  Concluding remarks