题　目：FOMC Announcement Premia in Currency Markets

嘉　宾：许奇 副教授 浙江大学

主持人：张澄宇 助理教授 上海交通大学安泰经济与管理学院

时　间：2025年3月26日（周三）13:30-15:00

地　点：上海交通大学 徐汇校区安泰浩然楼306室

内容简介:

This paper investigates the cross-section of currency risk premia on the U.S. monetary policy (FOMC) announcement days. Using the expected reduction of currency option implied variance (EVR) on announcement to capture exposure to monetary policy uncertainty, we show that high EVR currencies earn consistently higher announcement day returns than low EVR currencies. A long-short strategy generates significant profits, controlling for conventional risk factors. The pre-announcement component mainly drives the announcement day returns. Monetary policy shock rather than central bank information shock matters more in general, though the information shock is more pronounced in the high uncertainty period. The announcement effect is also consistent with the tightened risk-bearing capacity of financial intermediaries. Overall, we highlight a distinctive economic source of the cross-sectional variations in currency premia.

演讲人简介：

Qi Xu is currently an Associate Professor of Finance at School of Economics, Zhejiang University. He is also a Research Fellow at the Academy of Financial Research, Zhejiang University. He received his Ph.D. in Finance from the University of Warwick, UK. His main research interests are Empirical Asset Pricing, Empirical Corporate Finance, International Finance, and Financial Econometrics. His research has been published in Journal of International Economics, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Empirical Finance, Journal of Futures Markets, and Pacific-Basin Finance Journal. His research has been funded by research grants from the National Natural Science Foundation of China and the Natural Science Foundation of Zhejiang Province. He has presented at international conferences including AEA, EFA, CICF, ABFER, SoFiE, FMA, ES, etc. His research has been awarded the best conference paper award of the 7th China Derivatives Youth Forum in 2023, the best paper award (1st Prize) of the 2020 Financial Futures Market Development Workshop, and the excellent paper award of the 2019 International Symposium of Financial Systems Engineering and Risk Management.

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