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6th Workshop on Financial Determinants of Foreign Exchange Rates

Jointly organized by the Bank of England (BoE), Banca d’Italia and the European Central Bank

London, Thursday 15 – Friday 16 December 2016
Bank of England, Conference Centre


* indicates the presenter

Thursday 15 December 2016

11:30 a.m.
12:00 p.m.
1:00 p.m.

Opening remarks by Kristin Forbes (MIT and Member of BoE MPC)

1:15 p.m.

Keynote speech by Tarun Ramadorai (Imperial College Business School)

2:15 p.m.
Coffee break
2:45 p.m.

Covered Interest Parity Deviations

Chair: Lucio Sarno (Cass Business School and CEPR)

Failure of covered interest parity: FX hedging demand and costly balance sheets

Vladyslav Sushko* (Bank for International Settlements)
Claudio Borio (Bank for International Settlements)
Robert McCauley (Bank for International Settlements)
Patrick McGuire (Bank for International Settlements)

Discussant: Silvia Ardagna (Goldman Sachs)

Limits to Arbitrage in the Foreign Exchange Market: Evidence from FX Trade Repository Data

Gino Cenedese* (Bank of England)
Pasquale Della Corte (Imperial College Business School)
Tianyu Wang (Imperial College Business School)

Discussant: Dagfinn Rime (BI Norwegian Business School)

Deviations from Covered Interest Rate Parity

Wenxin Du* (Federal Reserve Board)
Alexander Tepper (Columbia University)
Adrien Verdelhan (MIT Sloan and NBER)

Discussant: Saskia ter Ellen (Norges Bank)

4:45 p.m.
Coffee break
5:15 p.m.

Foreign exchange, monetary policy, and high frequency data

Chair: Fabio Fornari (ECB)

Monetary shocks at high-frequency and their changing FX transmission around the globe

Massimo Ferrari (Bank for International Settlements and UCSC)
Jonathan Kearns* (Bank for International Settlements)
Andreas Schrimpf (Bank for International Settlements)

Discussant: Mico Loretan (Swiss National Bank)

Judgement Day: Algorithmic Trading in the Swiss Franc De-pegging

Francis Breedon* (Queen Mary University of London)
Louisa Chen
Angelo Ranaldo (University of St. Gallen)
Nick Vause (Bank of England)

Discussant: Alain Chaboud (Federal Reserve Board)

6:35 p.m.
7:30 p.m.
Dinner for presenters and discussants only

Friday 16 December 2016

8:30 a.m.
9:00 a.m.

Opening Remarks by Gertjan Vlieghe (Member of BoE MPC)

9:15 a.m.

Currency Risk Factors

Chair: Alessio Anzuini (Banca d’Italia)

Global Macro Risks in Currency Excess Returns

Kimberly A. Berg (Miami University)
Nelson C. Mark* (University of Notre Dame and NBER)

Discussant: Karen Mayhew (Bank of England)

Business Cycle Risk in Currency Markets

Steven J. Riddiough (University of Melbourne)
Lucio Sarno* (Cass Business School and CEPR)

Discussant: Thomas Maurer (Olin Business School, Washington University in St. Louis)

Currency Risk Factors in a Recursive Multi-Country Economy

Ric Colacito (Kenan-Flagler Business School, University of North Carolina-Chapel Hill)
Max Croce (Kenan-Flagler Business School, University of North Carolina-Chapel Hill)
Federico Gavazzoni* (INSEAD)
Robert Ready (Simon School, University of Rochester)

Discussant: Harjoat Bhamra (Imperial College Business School)

11:15 a.m.
Coffee break
11:45 a.m.

Keynote Speech by Geert Bekaert (Columbia Business School)

12:45 p.m.
1:45 p.m.

Microstructure and Order Flow

Chair: Alain Chaboud (Federal Reserve Board)

Interdealer information in an augmented Taylor rule

Ingomar Krohn* (Warwick Business School, The University of Warwick)
Michael Moore (Warwick Business School, The University of Warwick)

Discussant: Paolo Vitale (University of Pescara)

Exchange Rates, Interest Rates and the Global Carry Trade

Martin D. D. Evans (Georgetown University and NBER)
Dagfinn Rime* (BI Norwegian Business School and Norges Bank)

Discussant: Thomas Nitschka (Swiss National Bank)

Dealer Trading at the Fix

Carol Osler* (Brandeis University)
Alasdair Turnbull (Clarkson University)

Discussant: Duncan Shand (Schroders and Warwick Business School)

3:45 p.m.
Coffee break
4:15 p.m.

Exchange rate dynamics

Chair: Nelson C. Mark (University of Notre Dame and NBER)

Exchange Rates and The Yield Curve

Vania Stavrakeva (London Business School)
Jenny Tang* (Federal Reserve Bank of Boston)

Discussant: Gabriele Zinna (Banca d'Italia)

Exchange Rate Dynamics and International Business Cycles with Uncertainty Shocks and Recursive Preferences

Robert Kollman* (ECARES, Université Libre de Bruxelles and CEPR)

Discussant: Konstantinos Theodoridis (Bank of England)

5:35 p.m.

General information

Organising Committee

Alessio Anzuini (Banca d’Italia),
Gino Cenedese (BoE),
Fabio Fornari (ECB),
and Karen Mayhew (BoE)

Call for paper information

Submission deadline: Friday 14 October, 2016

Call for Papers

6th Workshop on Financial Determinants of Foreign Exchange Rates

London, 15–16 December 2016

The Bank of England (BoE) will host the 6th workshop Financial Determinants of Foreign Exchange Rates, jointly organized with Banca d’Italia and the European Central Bank. The workshop will take place at the Bank of England in London on 15 and 16 December 2016. In line with the previous editions, this workshop aims to provide a forum for discussing innovative research on the financial determinants of foreign exchange rates. Economists working in central banks, academics and the private sector are welcome to participate.

Tarun Ramadorai (Saïd Business School, University of Oxford) will give a keynote speech.

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

  • Extracting signals from exchange rate movements to inform monetary policy
  • Quantifying exchange rate risk premia and their driving factors;
  • The impact of exchange rate interventions on inflation expectations and/or inflation pass-through;
  • 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;
  • The role of market micro-structure and order flows in the determination of foreign exchange rates.

Submission of papers

Interested authors should submit their paper via e-mail to by Friday 14 October, 2016, indicating whether they would also be willing to act as a discussant. 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 mid November 2016. The final versions of the papers selected for the workshop are due by 5 December 2016.


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. Presenters and discussants are automatically registered for both days of the conference. All other participants are requested to register by sending an e-mail with the subject line “registration” to the e-mail address given above by 18 November 2016, indicating the dates you intend to participate in the workshop. There will be a lunch on both 15 and 16 December for all participants, and a dinner for presenters and discussants on the evening of 15 December

Organising committee

  • Alessio Anzuini (Banca d’Italia)
  • Gino Cenedese (BoE)
  • Fabio Fornari (ECB)
  • and Karen Mayhew (BoE)