12th Workshop on "Exchange Rates"

Workshop organised by the BIS, the Banca d'Italia and the ECB, Basel, Switzerland, 13 December 2022

Collaborating with the Banca d'Italia and the European Central Bank, the BIS hosted the 12th Workshop on "Exchange Rates", bringing together researchers from academia and central banks to discuss innovative research on analytical and policy issues relating to foreign exchange markets, financial intermediation and macrofinancial stability. The Workshop was held under the auspices of the BIS Research Network, also being the 12th meeting of the Network.  

Tuesday 13 December 2022

Welcome remarks by Claudio Borio (BIS)

Session I
Chair: Andreas Schrimpf (BIS)

Understanding the strength of the Dollar
Authors: Zhengyang Jiang, Robert Richmond and Tony Zhang (Board of Governors of the Federal Reserve System)
Discussant: Max Croce (Bocconi University)

♦ Paper

♦ Presentation

♦ Discussion

Dollar reserves and US yields: identifying price impact of official flows
Authors: Rashad Ahmed and Alessandro Rebucci (Johns Hopkins Carey Business School)
Discussant: Alexandra Tabova (Board of Governors of the Federal Reserve System)

♦ Paper

♦ Presentation

♦ Discussion

Session II
Chair: Alessio Anzuini (Banca d'Italia)

Can time-varying currency risk hedging explain exchange rates?
Authors: Leonie Bräuer (University of Geneva) and Harald Hau 
Discussant: Vladyslav Sushko (BIS)

♦ Paper

♦ Presentation

♦ Discussion

Foreign exchange intervention with UIP and CIP deviations: the case of small safe havens 
Authors: Philippe Bacchetta, Kenza Benhima (University of Lausanne) and Brendan Berthold
Discussant: Paolo Cavallino (BIS)

♦ Paper

♦ Presentation

♦ Discussion

Central bank swap lines: micro-level evidence
Authors: Gerardo Ferrara (Bank of England), Philippe Müller, Ganesh Viswanath-Natraj and Junxan Wang
Discussant: Fabiola Ravazzolo (Federal Reserve Bank of New York)

♦ Paper

♦ Presentation

♦ Discussion
Keynote on Central banking, intermediary constraints, and the Dollar

Wenxin Du (University of Chicago, Booth School of Business)
Chaired by: Claudio Borio 

♦ Keynote

Session III
Chair: Egemen Eren (BIS)

Cross-border M&A flows, economic growth and foreign exchange rates
Authors: Steven Riddiough (University of Toronto) and Huizhong Zhang
Discussant: Ingomar Krohn (Bank of Canada)

♦ Paper

♦ Presentation

♦ Discussion

Foreign exchange fixings and returns around the clock
Authors: Ingomar Krohn, Philippe Müller (Warwick Business School) and Paul Whelan
Discussant: Angelo Ranaldo (University of St Gallen)

♦ Paper

♦ Presentation

♦ Discussion

      Organising committee: Alessio Anzuini (Banca d'Italia), Egemen Eren (BIS), Fabio Fornari (ECB), Andreas Schrimpf (BIS) and
      Sonya Zhu (BIS)