This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

We examine the empirical properties of the payoffs to two popular currency speculation
strategies: the carry trade and momentum. We review three possible explanations for the …

Uncovering the tail risk spillover among global financial markets helps provide a more
comprehensive understanding of the information transmission in extreme market conditions …

The rapid spread of COVID-19 in 2020 has brought a profound impact on the global
economy and forced countries around the world to adopt different intervention measures …

We identify a “proximity penalty” in the stock market response to the Russian invasion of
Ukraine: the closer countries are to Ukraine, the lower their equity returns in a four‐week …

The nexus between extreme events and energy price risk is of great importance in energy
finance analysis due to the fact that those events generally exert strong impacts on energy …

We establish currency as an important factor sha** global portfolios. Using a new security-
level data set, we demonstrate that investor holdings are biased toward their own currencies …

We provide a theory of the determination of exchange rates based on capital flows in
imperfect financial markets. Capital flows drive exchange rates by altering the balance …

We propose a dynamic general equilibrium model of exchange rate determination that
accounts for all major exchange rate puzzles, including Meese-Rogoff, Backus-Smith …

We study how managers respond to hurricane events when their firms are located in the
neighborhood of the disaster area. We find that the sudden shock to the perceived liquidity …