The failure of covered interest parity (CIP), or, equivalently, the persistence of cross-currency
basis, in tranquil markets has posed a puzzle. By analysing the term structure of CIP …

We find dealer‐level evidence that recent regulation on the leverage ratio requirement
causes deviations from covered interest parity. Our analysis uses a unique data set of …

We analyze a large number of industry-and company-level filings of global institutional
investors to provide the first comprehensive estimate of foreign investors' US dollar (USD) …

We develop a novel method to dynamically hedge foreign exchange exposure in
international equity and bond portfolios. The method exploits the time-series predictability of …

Foreign currency derivative markets are among the largest in the world, yet their role in
emerging markets is relatively understudied. We study firms' currency risk exposure and …

In traditional over-the-counter markets, investors trade bilaterally through intermediaries. We
assess whether and how to shift trades on a centralized platform with trade-level data on the …

This paper uses transaction-level data on UK inflation swaps to characterize who buys and
sells inflation risk, when, and with what price elasticity. This provides measures of expected …

We analyze the run risk of USD-backed stablecoins. Stablecoin issuers aim to keep the
stablecoin price at $1 by holding a portfolio of US dollar assets like bank deposits …

To understand deviations from covered interest parity (CIP), it is crucial to account for
heterogeneity in funding costs across both banks and currency areas. For most market …

We study the effect of dealer exit on prices and quantities in a model of an over-the-counter
market featuring a core-periphery network with bilateral trading costs. The model is …