2023 Annual BEAR Research Conference

Posted on September 28, 2022September 28, 2022 by Cristina Zgherea

CfP Deadline Date: November 13, 2022 Conference Event: February 27-28, 2023 Event Location: London, UK Organizer(s): Bank of England The Bank of England is organising a conference focusing on New Digital Technologies and the Future Financial Landscape, as part of driving forward the Bank of England Agenda for Research (BEAR). The aim of the conference[…]

NBER Working Paper: Five Facts about the UIP Premium

Posted on September 28, 2022 by Cristina Zgherea

Author(s): Ṣebnem Kalemli-Özcan and Liliana Varela Date: May 2022 Abstract: We document five novel facts about Uncovered Interest Parity (UIP) deviations vis-à-vis the U.S. dollar for 34 currencies, during 1996-2018. 1) The UIP premium co-moves with global risk perception (VIX) for all currencies, whereas only for emerging market currencies there is a negative comovement between[…]