Wenxin Du

University of Chicago Booth School of Business

Assistant Professor

5807 South Woodlawn Avenue

Chicago, IL 60637

United States

http://https://sites.google.com/site/wenxindu/

  • University of Chicago Booth School of Business

SCHOLARLY PAPERS

10

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5,923

SSRN CITATIONS
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SSRN RANKINGS

Top 2,529

in Total Papers Citations

376

CROSSREF CITATIONS

136

Scholarly Papers (10)

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1.

Deviations from Covered Interest Rate Parity

Downloads 3,699 ( 3,218)
Citation 119

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 3,586 (3,320)
Citation 26

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exchange rates, currency swaps, dollar funding

Deviations from Covered Interest Rate Parity

NBER Working Paper No. w23170
Number of pages: 84 Posted: 21 Feb 2017
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
Downloads 113 (288,145)
Citation 96

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2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 609 ( 52,228)
Citation 29

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 535 (60,748)
Citation 34

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Counterparty Credit Risk, Credit Default Swaps, Central Clearing

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

FEDS Working Paper No. 2016-087
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
Downloads 74 (378,482)

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Counterparty credit risk, Credit default swaps, Central clearing

3.

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 416 (83,531)
Citation 44

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4.

Local Currency Sovereign Risk

Downloads 362 ( 98,075)
Citation 34

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 275 (131,486)
Citation 2

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local currency, sovereign debt, currency swaps

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 87 (343,490)
Citation 19

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Local currency, sovereign debt, currency swaps

5.

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

Downloads 332 (108,095)
Citation 9

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 285 (127,039)
Citation 7

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local currency debt, bond betas, inflation cyclicality, bond risk premia, inflation commitment

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 31 (554,633)
Citation 1

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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)
Downloads 16 (658,936)

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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, Cathérine Koch 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)
Downloads 272 (133,675)
Citation 37

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exchange rates, bank leverage, cross-currency basis

7.

U.S. Banks and Global Liquidity

Downloads 148 (233,437)

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 98 (317,963)

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Liquidity, Global Banks, Repos, Reserves, Covered Interest Rate Parity

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 42 (497,506)

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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
Downloads 8 (722,596)
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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 50 (454,219)
Citation 3

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Heteroskedasticity, serial correlation, robust inference, missing data

9.

The U.S. Treasury Premium

NBER Working Paper No. w23759
Number of pages: 51 Posted: 06 Sep 2017
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
Downloads 24 (582,221)
Citation 28

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10.

Are Intermediary Constraints Priced?

NBER Working Paper No. w26009
Number of pages: 112 Posted: 01 Jul 2019
Wenxin Du, Benjamin Hebert and Amy Wang
University of Chicago Booth School of Business, Stanford University and Stanford University
Downloads 11 (672,023)
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