SI 2025 International Asset Pricing
Organized by Karen K. Lewis and Adrien Verdelhan
July 9, 2025
Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA
FORMAT: 40 minutes total for each paper with discussant: 20 minutes for the presenter, 15 minutes for the discussant, and 5 minutes of Q&As; 20 minutes total for each paper without discussant: 15 minutes for the presenter, and 5 minutes of Q&As.
Wednesday, July 9
8:00 am
Coffee and Pastries
8:30 am
Welcome
8:35 am

Exchange Rates, Natural Rates, and the Price of Risk

Rohan Kekre, University of Chicago and NBER
Moritz Lenel, Princeton University and NBER

Discussant:
Dmitry Mukhin, London School of Economics and Political Science (LSE)
9:15 am
Break
9:30 am

Exchange Rate Disconnect Revisited

Vito Cormun, Santa Clara University
Ryan Chahrour, Cornell University and NBER
Pierre De Leo, University of Maryland, College Park
Pablo A. Guerrón-Quintana, Boston College
Rosen Valchev, Boston College and NBER

Discussant:
Antonio Coppola, Stanford University
10:10 am
Break
10:25 am

Implications of Asset Market Data for Equilibrium Models of Exchange Rates

Zhengyang Jiang, Northwestern University and NBER
Arvind Krishnamurthy, Stanford University and NBER
Hanno Lustig, Stanford University and NBER

Discussant:
Fabrizio Perri, Federal Reserve Bank of Minneapolis
11:05 am
Break
11:20 am

Reassessing Sources of Risk Premiums in Currency Markets

Mikhail Chernov, University of California, Los Angeles and NBER
Magnus Dahlquist, Stockholm School of Economics
Lars A. Lochstoer, University of California, Los Angeles and NBER

Discussant:
Nikolai Roussanov, University of Pennsylvania and NBER
12:00 pm
Lunch
1:00 pm

Covered Interest Parity: The Long Run Evidence

Victor Degorce, Princeton University
Olivier Accominotti, London School of Economics and Political Science (LSE)
Jason Cen, University of Exeter
David Chambers, University of Cambridge

Discussant:
Richard M. Levich, New York University and NBER
1:40 pm
Break
1:50 pm

Topography of the FX Derivatives Market: A View from London

Sinem Hacioglu Hoke, Federal Reserve Board of Governors
Daniel A. Ostry, Bank of England
Hélène Rey, London Business School and NBER
Adrien Rousset Planat, London Business School
Vania Stavrakeva, London Business School
Jenny Tang, Federal Reserve Bank of Boston
2:10 pm
Break
2:20 pm

Covered Interest Parity in Emerging Markets: Measurement and Drivers (slides)

Mai C. Dao, International Monetary Fund
Pierre-Olivier Gourinchas, University of California, Berkeley and NBER
2:40 pm
Break
2:50 pm

Tech Dollars and Exchange Rates (slides)

Qiushi Huang, Shanghai Jiao Tong University
Leonid Kogan, Massachusetts Institute of Technology and NBER
Dimitris Papanikolaou, Northwestern University and NBER
3:10 pm
Break
3:20 pm

Monetary Policy Transmission through the Exchange Rate Factor Structure (slides)

Erik Loualiche, University of Minnesota
Alexandre R. Pecora, University of Minnesota
Fabricius Somogyi, Northeastern University
Colin Ward, University of Alberta
3:40 pm
Adjourn