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VSFX 2020

Vienna Symposium on Foreign Exchange Markets

The WU Research Institute for Capital Markets (ISK) will organize the annual Vienna Symposium on Foreign Exchange Markets from August 17-18, 2020 in Vienna at Palais Coburg.

Topic

Research on risk premia, factors, and predictive regressions has traditionally focused on equity markets, while research on foreign exchange has been lagging despite its huge potential. Currently, the low yield environment, large international portfolio flows and unconventional monetary policy have made it crucial for asset managers to incorporate FX strategies and FX risk management. We therefore welcome papers on FX risk premia, FX strategies, FX valuation, FX and monetary policy, Emerging Market currencies, currency pegs, FX regimes, FX and business cycle, etc.

In addition to the above-mentioned research themes, we particularly encourage the submission of papers that deal with the interaction of FX and bond markets.

Preliminary program

Monday, August 17th 2020

14:30Welcome and Opening, Announcement of the Engelbert-Dockner-Fellowship
Josef Zechner (WU)
15:00-16:30Session 1
Chair: Christian Wagner (WU)
  • The Global Factor Structure of Exchange Rates
    Sofonias Korsaye (University of Geneva, Swiss Finance Institute), Fabio Trojani (University of Geneva, Swiss Finance Institute), Andrea Vedolin (Boston University)
    Discussant: Pasquale Della Corte (Imperial College Business School)
  • Currency Investing Throughout Recent Centuries
    Joseph Chen (University of California)
    Discussant: Magnus Dahlquist (Stockholm School of Economiccs)
17:00–18:30Session 2
Chair: Otto Randl (WU)
 
  • Positioning Risk
    Lukas Kremens (University of Washington)
    Discussant: Michael Weber (University of Chicago)
  • Asymmetric Information Risk in FX Markets
    Angelo Ranaldo (University of St.Gallen), Fabricius Somogyi (University of St.Gallen)
    Discussant: Martin Evans (Georgetown University)

Tuesday, August 18th 2020

15:00–16:30Session 3
Chair: Michael Weber (University of Chicago)
  • A Portfolio Approach to Global Imbalances and Low Interest Rates
    Zhengyang Jiang (Northwestern University), Robert Richmond (New York University), Tony Zhang (Boston University)
    Discussant: Ralph Koijen (University of Chicago)
  • Unconventional Monetary Policy and Covered Interest Rate Parity Deviations: Is there a Link?
    Ganesh Viswanath-Natraj (Warwick Business School)
    Discussant: Adrien Verdelhan (MIT)
17:00–18:30
Session 4
Chair: Thomas Dangl (TU Wien)
  • Dominant Currency Debt
    Egemen Eren (Bank for International Settlements), Semyon Malamud (Swiss Finance Institute)
    Discussant: Hanno Lustig (Stanford Graduate School of Business)
  • The U.S. Public Debt Valuation Puzzle
    Zhengyang Jiang (Northwestern Kellogg), Hanno Lustig (Stanford Graduate School of Business), Stijn Van Nieuwerburgh (Columbia University), Mindy Z. Xiaolan (University of Texas at Austin)
    Discussant: Lukas Schmid (Duke University)
19:00–19:30 WINNER Award Ceremony, Concluding Remarks
Georg Cejnek (ZZ Vermögensverwaltung)
Benefits

There is no conference fee for presenters of accepted papers and discussants. Presenters and discussants will also receive free accommodation, lunch, and conference dinners at the conference venue. We expect participants to cover their own travel expense. The conference fee (not including dinners) for participants without active role is EUR 500.

Program Committee

Chair of the Program Committee: Josef Zechner.

Further members of the program committee are Georg Cejnek, Magnus Dahlquist, Zhengyang Jiang, Stephan Kranner, Otto Randl, Lucio Sarno, Andrea Vedolin, Christian Wagner, and Michael Weber.

WINNER Best Paper Award

By submitting to the conference your paper is also considered for the WINNER Best Paper Award 2020. This award is organized by ZZ Vermögensverwaltung and POK Pühringer Privatstiftung in collaboration with WU Vienna. The paper award committee will select the best paper to receive a EUR 10’000 prize. The award selection will be based on both the quality of the submitted paper and the conference presentation.

Contacts

Email: isk@wu.ac.at