Category Archives: international

A New Puzzle à la Fama

In a forthcoming paper (“The New Fama Puzzle”), coauthored with Matthieu Bussière (Banque de France), Laurent Ferrara (Banque de France), Jonas Heipertz (Paris School of Economics), we re-examine uncovered interest parity – the proposition that anticipated exchange rate changes should offset interest rate differentials. This is one of the most central concepts in international finance. At the same time, empirical validation of this concept has proven elusive. In fact, the failure of the joint hypothesis of uncovered interest rate parity (UIP) and rational expectations – sometimes termed the unbiasedness hypothesis – is one of the most robust empirical regularities in the literature. The most commonplace explanations – such as the existence of an exchange risk premium, which drives a wedge between forward rates and expected future spot rates – have little empirical verification.

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“The Transmission of Macroprudential and Monetary Policies across Borders”

That’s the title of a one day conference at the margins of the IMF-World Bank Spring Meetings, organized by the International Banking Research Network (IBRN) and the Monetary and Capital Markets Department of the IMF, aimed at featuring research on the international transmission of macroprudential and monetary policies and to discuss policy implications from this research.

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“Exchange Rate Models for a New Era: Major and Emerging Market Currencies”

That’s the title of an upcoming conference organized by Global Research Unit at Department of Economics and Finance, City University of Hong Kong, Bank for International Settlements, Asian Office, Centre for Economic Policy Research, and Journal of International Money and Finance, May 18-19 at City University Hong Kong. The conference program is here, official conference website here.

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