Global Lecture Series, Fall 2020
Wednesday, November 4, 6:30PM-8:00PM (New Delhi)
Can Interest Rate Factors Explain Exchange Rate Fluctuations?
Dr. Julieta Yung
Assistant Professor (Economics)
The level, slope, and curvature of the yield curve reflect time variation in investors’ risk premia and are known predictors of excess bond returns and economic activity. In this work, I find that interest rate factors help explain exchange rate fluctuations in and out of sample, particularly at longer horizons, and yield profitable currency portfolios relative to standard carry trade strategies.
About the Speaker:
Julieta Yung joined Bates College as an Assistant Professor of Economics in 2017 and has served on the Consensus Economic Forecasting Commission for the state of Maine since 2019. She works as an ad-hoc consultant for the Bank of England and the Bilateral Assistance and Capacity Building for Central Banks Program. Professor Yung’s primary research fields are macro-finance and asset pricing, with a focus on modeling yield curves, global networks, and exchange rates. Prior to Bates, she worked as a Research Economist in the International group of the Federal Reserve Bank of Dallas. Professor Yung holds an M.A and Ph.D. in Economics from the University of Notre Dame.
Dr. Chitrakalpa Sen, Associate Professor (Economics), JGBS