Author Page for Wenxin Du

Deviations from Covered Interest Rate Parity

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Citation 140

2

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017

Wenxin Du, Alexander Tepper and Adrien Verdelhan

University of Chicago Booth School of Business, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 3,618 (3,448)

Citation 27

Abstract:

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170

Number of pages: 84 Posted: 21 Feb 2017 Last Revised: 24 Apr 2021

Wenxin Du, Alexande Tepper and Adrien Verdelhan

University of Chicago Booth School of Business, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 124

Abstract:

2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

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Citation 30

2

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 72 Posted: 30 Sep 2016 Last Revised: 21 Feb 2019

Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega

University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Downloads 557 (60,179)

Citation 35

Abstract:

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

FEDS Working Paper No. 2016-87

Number of pages: 42 Posted: 07 Nov 2016

Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega

University of Chicago Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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Abstract:

3.

Sovereign Risk, Currency Risk, and Corporate Balance Sheets

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Citation 35

2

Sovereign Risk, Currency Risk, and Corporate Balance Sheets

Harvard Business School BGIE Unit Working Paper No. 17-024

Number of pages: 68 Posted: 30 Sep 2016

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Harvard University - Business School (HBS)

Downloads 445 (79,420)

Citation 45

Abstract:

Sovereign Risk, Currency Risk, and Corporate Balance Sheets

Number of pages: 86 Posted: 08 Jun 2021

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Columbia University - Columbia Business School

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Abstract:

4.

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

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Citation 12

3

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

Number of pages: 49 Posted: 07 Feb 2017 Last Revised: 13 Jan 2020

Wenxin Du, Carolin E. Pflueger and Jesse Schreger

University of Chicago Booth School of Business, University of Chicago - Harris School of Public Policy and Columbia University - Columbia Business School

Downloads 344 (107,417)

Citation 14

Abstract:

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-110

Number of pages: 46 Posted: 28 Aug 2019

Wenxin Du, Carolin E. Pflueger and Jesse Schreger

University of Chicago Booth School of Business, University of Chicago - Harris School of Public Policy and Columbia University - Columbia Business School

Downloads 32 (566,034)

Citation 1

Abstract:

Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy

NBER Working Paper No. w22592

Number of pages: 46 Posted: 07 Sep 2016 Last Revised: 26 Mar 2021

Wenxin Du, Carolin E. Pflueger and Jesse Schreger

University of Chicago Booth School of Business, University of Chicago - Harris School of Public Policy and Harvard University - Business School (HBS)

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Abstract:

5.

Local Currency Sovereign Risk

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Citation 40

2

Local Currency Sovereign Risk

Journal of Finance, Forthcoming

Number of pages: 61 Posted: 14 Mar 2013 Last Revised: 09 Jun 2015

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Princeton University - Department of Economics

Downloads 279 (134,251)

Citation 2

Abstract:

Local Currency Sovereign Risk

FRB International Finance Discussion Paper No. 1094

Number of pages: 71 Posted: 30 May 2017

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Harvard University - Business School (HBS)

Downloads 89 (349,467)

Citation 27

Abstract:

6.

The Dollar, Bank Leverage and the Deviation from Covered Interest Parity

BIS Working Paper No. 592

Number of pages: 43 Posted: 16 Nov 2016

Stefan Avdjiev, Wenxin Du, Catherine Casanova and Hyun Song Shin

Bank for International Settlements (BIS), University of Chicago Booth School of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)

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Citation 47

Abstract:

7.

U.S. Banks and Global Liquidity

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Citation 1

3

U.S. Banks and Global Liquidity

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-89

Number of pages: 88 Posted: 01 Jul 2020

Ricardo Correa, Wenxin Du and Gordon Liao

Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System

Downloads 115 (293,955)

Abstract:

U.S. Banks and Global Liquidity

FRB International Finance Discussion Paper No. 1289

Number of pages: 67 Posted: 23 Jul 2020

Ricardo Correa, Wenxin Du and Gordon Liao

Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System

Downloads 52 (468,304)

Abstract:

U.S. Banks and Global Liquidity

NBER Working Paper No. w27491

Number of pages: 67 Posted: 13 Aug 2020 Last Revised: 12 Feb 2021

Ricardo Correa, Wenxin Du and Gordon Liao

Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System

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Citation 1

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Abstract:

8.

Nonparametric HAC Estimation for Time Series Data with Missing Observations

FRB International Finance Discussion Paper No. 1060

Number of pages: 55 Posted: 05 Dec 2012

Deepa Datta and Wenxin Du

Board of Governors of the Federal Reserve System and University of Chicago Booth School of Business

Downloads 57 (442,037)

Citation 3

Abstract:

9.

CIP Deviations, the Dollar, and Frictions in International Capital Markets

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Citation 3

4

CIP Deviations, the Dollar, and Frictions in International Capital Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-57

Number of pages: 141 Posted: 11 May 2021

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Columbia University - Columbia Business School

Downloads 27 (597,643)

Abstract:

CIP Deviations, the Dollar, and Frictions in International Capital Markets

Number of pages: 69 Posted: 10 May 2021

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Columbia University - Columbia Business School

Downloads 3 (788,926)

Abstract:

Cip Deviations, the Dollar, and Frictions in International Capital Markets

NBER Working Paper No. w28777

Number of pages: 70 Posted: 10 May 2021 Last Revised: 20 Jul 2021

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Columbia University - Columbia Business School

Downloads 1 (813,093)

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Abstract:

Cip Deviations, the Dollar, and Frictions in International Capital Markets

CEPR Discussion Paper No. DP16124

Number of pages: 72 Posted: 14 May 2021

Wenxin Du and Jesse Schreger

University of Chicago Booth School of Business and Columbia University - Columbia Business School

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Citation 2

Add to Cart

Abstract:

10.

The U.S. Treasury Premium

NBER Working Paper No. w23759

Number of pages: 51 Posted: 06 Sep 2017 Last Revised: 03 Jun 2021

Wenxin Du, Joanne Im and Jesse Schreger

University of Chicago Booth School of Business, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School

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Citation 32

Abstract:

11.

Arbitrage Capital of Global Banks

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2

Arbitrage Capital of Global Banks

FEDS Working Paper No. 2021-32

Number of pages: 66 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021

Alyssa G. Anderson, Wenxin Du and Bernd Schlusche

Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System

Downloads 15 (687,606)

Abstract:

Arbitrage Capital of Global Banks

NBER Working Paper No. w28658

Number of pages: 67 Posted: 12 Apr 2021 Last Revised: 22 Apr 2021

Alyssa G. Anderson, Wenxin Du and Bernd Schlusche

Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System

Downloads 2 (799,748)

Add to Cart

Abstract:

12.

Are Intermediary Constraints Priced?

NBER Working Paper No. w26009

Number of pages: 112 Posted: 01 Jul 2019 Last Revised: 26 Jul 2021

Wenxin Du, Benjamin Hebert and Amy Wang

University of Chicago Booth School of Business, Stanford University and Stanford University

Downloads 11 (693,666)

Wenxin Du

University of Chicago Booth School of Business

Assistant Professor

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Scholarly Papers (12)

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U.S. Banks and Global Liquidity

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Cip Deviations, the Dollar, and Frictions in International Capital Markets

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Cip Deviations, the Dollar, and Frictions in International Capital Markets

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Arbitrage Capital of Global Banks

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