Virtual, July 6-8, 2022

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Session

Foreign Exchange Risks

Time:Friday, July 8, 2022 10:15 - 12:00Location:Stream 7Session Chair:Christian T. Lundblad, The University of North Carolina at Chapel Hill Zoom:

FX Option Volume

Robert Czech; Bank of England

Pasquale Della Corte; Imperial College London

Shiyang Huang; The University of Hong Kong

Tianyu Wang; Tsinghua University

  Presenter: Tianyu Wang, Tsinghua University

  Discussant: Steven Riddiough, University of Toronto

Benchmark Currency Stochastic Discount Factors

Piotr Orlowski; HEC Montreal

Valeri Sokolovski; HEC Montreal

Erik Sverdrup; Graduate School of Business

  Presenter: Valeri Sokolovski, HEC Montreal

  Discussant: Andreas Stathopoulos, University of North Carolina at Chapel Hill

Technology Diffusion and Currency Risk Premia

Min Cui; T. Rowe Price

Ilias Filippou; Washington University in St. Louis

Siming Liu; Shanghai University of Finance and Economics

  Presenter: Siming Liu, Shanghai University of Finance and Economics

  Discussant: Federico Gavazzoni, BI Norwegian Business School

Digesting FOREXS: Information Transmission across Asset Classes and Return Predictability

Joon Woo Bae; Case Western Reserve University

Zhi Da; University of Notre Dame

Virgilio Zurita; Baylor University

  Presenter: Joon Woo Bae, Case Western Reserve University

  Discussant: S. Katie Moon, University of Colorado Boulder

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