FRIC/Finance Seminar with Wenxin Du, Federal Reserve Board of Governors

On October 27, 2017 Wenxin Du will present: "The dollar, bank leverage and the deviation from covered interest parity"

Friday, October 27, 2017 - 11:00 to 12:15

FRIC Center for Financial Frictions and the Department of Finance are proud to announce the upcoming seminar with Wenxin Du, Federal Reserve Board of Governors

Wenxin Du will present:

PDF iconThe dollar, bank leverage and the deviation from covered interest parity

ABSTRACT
We document the triangular relationship formed by the strength of the US dollar, cross-border bank lending in dollars and deviations from covered interest parity (CIP). A stronger dollar goes hand-in-hand with bigger deviations from CIP and contractions of cross-border bank lending in dollars. Differential sensitivity of CIP deviations to the strength of the dollar can explain cross-sectional variations in CIP arbitrage profits. We argue that underpinning the triangle is the role of the dollar as proxy for the shadow price of bank leverage.

Location:
Solbjerg Plads 3, 2000 Frederiksberg
Room: SPs07

The page was last edited by: Department of Finance // 03/02/2018