SI 2023 International Asset Pricing

Karen K. Lewis and Adrien Verdelhan, Organizers

July 10, 2023

Parkview Room

Royal Sonesta Hotel, 40 Edwin H. Land Blvd., Cambridge, MA and

Conference Code of Conduct

Monday, July 10
9:00 am
Coffee and Pastries
9:45 am
Roland Beck, European Central Bank
Antonio Coppola, Stanford University
Angus J. Lewis, Stanford University
Matteo Maggiori, Stanford University and NBER
Martin Schmitz, European Central Bank
Jesse Schreger, Columbia University and NBER

The Geography of Capital Allocation in the Euro Area
Discussant: Ester Faia, Goethe University Frankfurt
10:25 am
William F. Diamond, University of Pennsylvania
Peter Van Tassel

Risk-Free Rates and Convenience Yields Around the World
Discussant: Arvind Krishnamurthy, Stanford University and NBER
11:05 am
11:20 am
Jason Choi, University of Toronto
Rishabh Kirpalani, University of Wisconsin-Madison
Diego J. Perez, New York University and NBER

US Public Debt and Safe Asset Market Power
Discussant: Matteo Maggiori, Stanford University and NBER
12:00 pm
1:00 pm
Wenxin Du, Columbia University and NBER
Amy W. Huber, University of Pennsylvania

Dollar Asset Holding and Hedging Around the Globe
Discussant: Motohiro Yogo, Princeton University and NBER
1:40 pm
Maxime Sauzet, Boston University

Asset Prices, Global Portfolios, and the International Financial System
2:00 pm
2:10 pm
Giancarlo Corsetti, University of Cambridge
Simon P. Lloyd, Bank of England
Emile A. Marin, University of California, Davis
Daniel A. Ostry, Bank of England

U.S. Risk and Treasury Convenience (slides)
2:30 pm
2:40 pm
Nikolai Roussanov, University of Pennsylvania and NBER
Xiaoliang Wang, Hong Kong University of Science and Technology

Following the Fed: Limits of Arbitrage and the Dollar
3:00 pm
3:10 pm
Lukas Kremens, University of Washington
Ian Martin, London School of Economics
Liliana Varela, London School of Economics

Long-Horizon Exchange Rate Expectations
3:30 pm
3:40 pm
Craig Brown, Purdue University

Export Risk and Currency Returns
4:00 pm