7th Workshop on “Financial Determinants of Foreign Exchange Rates”

Norges Bank, Oslo, 14–15 December 2017

Norges Bank will host the 7th workshop on "Financial Determinants of Foreign Exchange Rates", jointly organised with Banca d'Italia and the European Central Bank. In line with the previous editions, this workshop aims to provide a forum for discussing innovative research on the financial determinants of foreign exchange rates. Economists working in central banks, academia, and the private sector are welcome to participate.

Martin D. Evans (Georgetown University) and Andrea Vedolin (Boston University) will give keynote speeches.


Day 1 - Thursday 14 December

11:45     Registration opens

12:00     Registration & lunch

13:00     Opening remarks by Ida W. Bache (Head of Monetary Policy Division)

13:15     Keynote address by Martin D. Evans (Georgetown University)

14:30     Coffee break

15:00     Session 1 (Chair: Dagfinn Rime)             

A unified model for foreign exchange, trading volume, and volatility
presenter: Paolo Santucci de Magistris (CREATES, Aarhus University)
discussant: Vladyslav Sushko (BIS)

Liquidity in FX spot and forward markets, and liquidity droughts
presenter: Ingomar Krohn (Warwick University)
discussant: Thomas Nitschka (Swiss National Bank)

16:30     Coffee break

17:00     Session 2 (Chair: Alessio Anzuini)

The WMR Fix and its impact on currency markets
presenter: Panos Panagiotou (Cass Business School)
discussant: Jo Saakvitne (BI Norwegian business school)

Time-varying uncertainty and exchange rate predictability
presenter: Knut Are Aastveit (Norges Bank)
discussant: Paolo Giordani (Sveriges Riksbank)

18:30 End of day 1

19:00 Dinner at Festningen restaurant (by invitation only)


Day 2 - Friday 15 December

08:30     Registration opens

09:00     Opening remarks by Kasper Roszbach (Research director)        

09:15     Keynote address by Andrea Vedolin (Boston University)

10:30     Coffee break

11:00     Session 3 (Chair: Alessio Anzuini)

Where's the risk? The forward premium bias, the carry-trade premium, and risk-reversals in general equilibrium
presenter: Nelson Mark (University of Notre Dame)
discussant: Tommy Sveen (BI Norwegian business school)

An equilibrium theory of determinate nominal exchange rates
presenter: Marcus Hagedorn (University of Oslo)
discussant: Christian Heyerdahl-Larsen (London Business School)

12:30     Lunch

13:30     Session 4 (Chair: Saskia ter Ellen)

Currency factors
presenter: Geert Bekaert (Columbia University)
discussant: Angelo Ranaldo (University of St. Gallen)

Monetary policy and the predictability of nominal exchange rates
presenter: Benjamin Johannsen (Federal Reserve Board)
discussant: Ida Hjortsø (Bank of England)

15:00     Coffee break

15:30     Session 5 (Chair: Dagfinn Rime)

The value of volume in foreign exchange
presenter: Lucio Sarno (Cass Business School)
discussant: Bruno Gerard (BI Norwegian business school)

The missing risk premium in exchange rates
presenter: Magnus Dahlquist (Stockholm School of Economics & Duke University)
discussant: Federico Gavazzoni (INSEAD)

17:00     End of workshop


There is no registration fee for participation in the workshop. Note, however, that all participants are expected to cover their own travel and accommodation expenses. Presenters and discussants will receive a registration link. All other participants are requested to register by sending an e-mail with the subject line "registration" to the email address given above by 17 November 2017, indicating the dates you intend to participate in the workshop. Note that there is limited space for participants, so that your registration is not guaranteed. There will be a lunch on both 14 and 15 December for all participants and a dinner on 14 December for presenters and discussants.

Published 8 August 2017 13:10


Organising committee

  • Alessio Anzuini (Banca d'Italia)
  • Fabio Fornari (ECB)
  • Dagfinn Rime (Norges Bank & BI)
  • Saskia ter Ellen (Norges Bank)