Norges Bank

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.

We have allocated 45 minutes per paper: 25 minutes for the presenter, 10 minutes for the discussant, and another 10 minutes for general discussion and questions from the audience.


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: "Forex Microstructure: Perspectives and Prospects" 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
Angelo Ranaldo (University of St.Gallen), Paolo Santucci de Magistris* (Aarhus University)
discussant: Vladyslav Sushko (BIS)

Liquidity in FX spot and forward markets
Ingomar Krohn* (Warwick University), Vladyslav Sushko (BIS)
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
Ian W. Marsh (Cass Business School), Panos Panagiotou* (Cass Business School), Richard Payne (Cass Business School)
discussant: Jo Saakvitne (BI Norwegian business school)

Time-varying uncertainty and exchange rate predictability
Knut Are Aastveit* (Norges Bank), Francesco Ravazzolo (Free University of Bozen/Bolzano), Herman K. van Dijk (Erasmus University Rotterdam)
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: "Model-free international stochastic discount factors" 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
Kimberly A. Berg (Miami University), Nelson C. Mark* (University of Notre Dame)
discussant: Tommy Sveen (BI Norwegian business school)

An equilibrium theory of determinate nominal exchange rates
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
Arash Aloosh (Neoma Business School), Geert Bekaert* (Columbia Business School)
discussant: Angelo Ranaldo (University of St. Gallen)

Monetary policy and the predictability of nominal exchange rates
Martin Eichenbaum (Northwestern University), Benjamin K. Johannsen* (Federal Reserve Board), Sergio Rebelo (Northwestern University)
discussant: Ida Hjortsø (Bank of England)

15:00     Coffee break

15:30     Session 5 (Chair: Dagfinn Rime)

The value of volume in foreign exchange
Antonio Gargano (University of Melbourne), Steven J. Riddiough (University of Melbourne), Lucio Sarno* (Cass Business School)
discussant: Bruno Gerard (BI Norwegian business school)

The missing risk premium in exchange rates
Magnus Dahlquist* (Stockholm School of Economics), Julien Penasse (University of Luxembourg)
discussant: Drago Bergholt (Norges Bank)

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 by 1 December 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)
Published 8 August 2017 13:10