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Third workshop on financial determinants of exchange rates

Rome, 16-17 December 2013 - hosted by Banca d'Italia

Monday, 16 December 2013
12.30 p.m. Buffet lunch
1.45 p.m. Welcome address
2 p.m. Session 1
Chair: Alessandro Secchi (Banca d’Italia)

An international dynamic term structure model with economic restrictions and unspanned risks
Gregory H. Bauer and Antonio Diez de los Rios, Bank of Canada

Discussant: Paolo Vitale, Universita’ di Chieti
2.45 p.m. Risk and uncertainty in the foreign exchange market
Saskia ter Ellen, Erasmus School of Economics

Discussant: Francesca Gaia Caselli, Graduate Institute, Geneva
3.30 p.m. Coffee break
3.45 p.m. Macroeconomic uncertainty and currency premia
Pasquale Della Corte and Aleksejs Krecetovs, Imperial College Business School

Discussant: Rahel Suter (University of Zurich)
4.30 p.m. Carry trade, uncovered interest parity and monetary policy
Daniel Felcser and Balázs Vonnák, Magyar Nemzeti Bank

Discussant: Fabio Fornari, European Central Bank
Tuesday, 17 December 2013
9 a.m. Session 2
Chair: Patrizio Pagano, Banca d’Italia

Currency excess returns and global downside market risk
Victoria Atanasov, VU University Amsterdam; Thomas Nitschka, Swiss National Bank

Discussant: Francesco Nucci, Università’ di Roma “La Sapienza”
9.45 a.m. Understanding FX liquidity
Nina Karnaukh, Angelo Ranaldo and Paul Söderlind, University of St. Gallen

Discussant: Greg Bauer, Bank of Canada
10.30 a.m. Coffee break
10.45 a.m. Invited lecture
Chair: Pedro Santa Clara
11.30 a.m. Round table discussion/Policy panel: Foreign exchange rates in uncertain times
Chair: Pietro Catte, Banca d’Italia

Speakers: Steven Englander, Citi; Andrew Filardo, Bank for International Settlements; Michael Melvin, BlackRock; Beat Siegenthaler, UBS; Thomas Stolper, Goldman Sachs
1 p.m. Buffet lunch
2 p.m. Session 3
Chair: Marcello Pericoli, Banca d’Italia

Modelling and forecasting exchange rates with time-varying parameter models
Angela Abbate, European University Institute; Massimiliano Marcellino, Bocconi University, IGIER and CEPR

Discussant: Gino Cenedese, Bank of England
2.45 p.m. Equity hedging and exchange rates at the London 4 p.m. fix
Michael Melvin and John Prins, BlackRock

Discussant: Gabriele Galati, De Nederlandsche Bank
3.30 p.m. Coffee break
3.45 p.m. Switching risk off: FX correlations and risk premia
Alessandro Beber, Cass Business School and CEPR; Michael W. Brandt, Fuqua School of Business, Duke University and NBER; Jason Cenx, Cass Business School

Discussant: Francesca Brusa, Oxford University
4.30 p.m. Systematic consumption risk in currency returns
Mathias Hoffmann and Rahel Suter, University of Zurich

Discussant: Victoria Atanasov, VU University Amsterdam
5.15 p.m. Wrap-up and concluding remarks

General Information

The Banca d’Italia and the European Central Bank have organised a workshop entitled “Financial determinants of exchange rates”, which will be held on 16 and 17 December 2013 at the Banca d’Italia 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 from a financial determinants’ standpoint. It will also feature a round table discussion on topics related to the behaviour of foreign exchange rates in times of crisis.

Details for registration

To register for the event, please send an e-mail to, putting “FX workshop” in the subject heading, no later than 10 December 2013. The access point for the workshop is located at Via Nazionale 91, 00184 Rome. Participants’ travel and accommodation expenses will not be reimbursed by either the Banca d’Italia or the European Central Bank.

Call for papers

The third edition of the joint Banca d’Italia – ECB workshop aims to provide a forum for discussing innovative research undertaken by central bank economists on the financial determinants of (nominal) foreign exchange rates. Economists working in central banks as well as academics and private sector economists and quantitative analysts are welcome to participate. Prof. Pedro Santa Clara (University of Lisbon) has accepted to give the keynote lecture and the workshop will also feature a panel session discussing key topics for foreign exchange rates, mainly contributed by economists working in investment banks.

The conference organisers welcome submissions of either theoretical or empirical nature. Relevant topics include, but are not limited to:

  • the impact of carry trade activity on foreign exchange rates;
  • the linkages between financial volatility, uncertainty, risk aversion and exchange rates;
  • the linkages between capital flows and foreign exchange rates, especially at times of stress;
  • liquidity indicators and their impact on the foreign exchange market;
  • the role of market micro-structure and order flows in the determination of foreign exchange rates.

Submission of papers

Interested authors should submit a draft of the paper by October 7 2013, indicating whether they would also be willing to act as discussants. Papers can be sent in a draft or extended abstract version, although final or nearly final versions may be preferred given the small number of papers we will be able to accept. Authors of accepted papers will be notified by around mid-November 2013. The final versions of the papers selected for the workshop are due by 2 December 2013. The workshop will again be held in Rome at the Bank of Italy’s headquarters.

There is no registration fee for participation in the workshop. Note, however, that all participants are expected to cover their own travel and accommodation expenses. There will be a lunch on both 16th and 17th December and an informal dinner is planned to take place on the evening of 16th December.

To submit a paper or to indicate your willingness to act as a discussant, please send an email to

Organising committee

Alessio Anzuini (Banca d’Italia), Fabio Fornari (ECB).