Joint Econometrics-Finance Lunch Seminar: Mads Markvart Kjær, AU

Title: Economic uncertainty and the behaviour of exchange rates

2020.08.27 | Pernille Vorsø Jachobsen

Date Tue 24 Nov
Time 12:05 12:35
Location Online

Presenter: Mads Markvart Kjær, AU

Title:  Economic uncertainty and the behaviour of exchange rates

 

Abstract: "This paper provides evidence for state-dependent behaviour in the exchange rates conditional on the state of relative uncertainty in the two countries. I find significant sign switches in the relationship between common interest rate factors and the currency depreciation rate. To explain the findings, I introduce a nonlinear term structure model that allows for state-dependencies in the foreign interest rate and the currency depreciation rate. Consistent with state-dependencies in exchange rates, the model generates sign switches in the relationship between interest rate factors and the currency depreciation rate. Furthermore, the model exhibit stronger countercyclical currency risk premia relative to an affine benchmark model."

 

The 'Accounting and Finance' and 'Econometrics and Business Statistics' Sections arrange lunch seminars on a regular basis. The speakers are usually section members, mostly PhD students and postdocs. The speakers can also be visiting PhD students or professors. Each lunch seminar is followed by a discussion of the paper presented.

Organizer: Daniel Borup

Joint Econometrics-Finance Lunch Seminars