Xiang Fang
Prof. Xiang FANG
金融學
Assistant Professor

3917 4178

KK 818

Publications
Volatility, Intermediaries, and Exchange Rates

We propose and estimate a quantitative model of exchange rates in which participants in the foreign exchange market are intermediaries subject to value-at-risk (VaR) constraints. Higher volatility translates into tighter VaR constraints, and intermediaries require higher returns to hold foreign assets. Therefore, the foreign currency is expected to appreciate. The model quantitatively resolves the Backus–Smith puzzle, the forward premium puzzle, and the exchange rate volatility puzzle and explains deviations from the covered interest rate parity. Moreover, the model implies both contemporaneous and predictive relations between proxies of leverage constraint tightness and exchange rates. These implications are supported in the data.

隨遇而安:方翔博士

方博士是一位研究匯率和國際金融的學者。方博士為人隨和,他相信,面對生活丶教學,以及研究中的起落,都應努力處之泰然。