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VSFX 2021

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Vienna Symposium on Foreign Exchange Markets

The WU Research Institute for Capital Markets (ISK) has organized the annual Vienna Symposium on Foreign Exchange Markets which took place in Vienna at Palais Coburg from August 23-24, 2021.

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 interest rates as well as interaction of FX and sovereign risk.

Program

Monday, August 23rd 2021

13:15-13:30Welcome and Opening
Josef Zechner (WU)
13:30-15:00Session 1
Chair: Josef Zechner (WU)
  • The term structure of CIP violations
    Patrick Augustin (McGill University), Mikhail Chernov (University of California), Lukas Schmid (University of Southern California), and Dongho Song (Johns Hopkins University)
    Discussant: Benjamin Hébert (Stanford Graduate School of Business)
  • Pricing currency risks
    Mikhail Chernov (University of California), Magnus Dahlquist(Stockholm School of Economics), and Lars A. Lochstoer (University of California)
    Discussant: Andrea Vedolin (Boston University)
15:30–17:00Session 2
Chair: Andreas Neuhierl (Washington University in St. Louis)
  • Exchange Rate Prediction with Machine Learning and a Smart Carry Trade Portfolio
    Ilias Filippou (Washington University in St. Louis), David Rapach (Washington University in St. Louis), Mark P. Taylor (Washington University in St. Louis), Guofu Zhou (Washington University in St. Louis)
    Discussant: Michael Weber (University of Chicago)
  • Concealed Carry
    Spencer Andrews (University of North Carolina at Chapel Hill), Riccardo Colacito (University of North Carolina at Chapel Hill), Mariano Massimiliano Croce (Bocconi University), Federico Gavazzoni (INSEAD)
    Discussant: Lukas Kremens (University of Washington)
17:30-19:00Session 3
Chair: Otto Randl (WU)

Tuesday, August 24th 2021

15:30–17:00Session 4
Chair: Georg Cejnek (ZZ Vermögensverwaltung)
17:30–19:00Session 5
Chair: Thomas Dangl (TU Vienna)
  • Exchange Rate Disconnect Redux
    Ryan Chahrour (Boston College), Vito Cormun (Santa Clara University), Pierre De Leo (University of Maryland), Pablo Guerron-Quintana (Boston College) Rosen Valchev (Boston College),
    Discussant: Gurdip Bakshi (Temple University)
  • The Hedging Channel of Exchange Rate Determination
    Gordon Liao (Board of Governors of the Federal Reserve System), Tony Zhang (Board of Governors of the Federal Reserve System)
    Discussant: Pasquale Della Corte (Imperial College London)
19:15 WINNER Award Ceremony and closing remarks followed by an aperitif
Georg Cejnek (ZZ Vermögensverwaltung)
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, Stefan Voigt, Christian Wagner, and Michael Weber.

Benefits

There is no conference fee; presenters of accepted papers will receive free accommodation at the conference venue, lunches, and conference dinners. In addition, we have a limited number of travel grants available.

WINNER Best Paper Award

By submitting to the conference your paper is also considered for the WINNER Best Paper Award 2021. 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

Karin Distelberger
Claudia Hoffmann

Please contact us at: isk@wu.ac.at

Organization In collaboration with