Phd Defence: Julián Fernández-Mejia

In order to obtain the PhD degree, Julián Fernández-Mejia has submitted his thesis entitled:
 
Essays in International Finance
This thesis delves into the effects of exchange rate fluctuations on arbitrage opportunities, movements of capital flows, and the sources behind their price variations. The initial part of the project focuses on the relationship between covered interest rate parity and currency mispricing. I analyze exchange rate behavior via factor clustering models to internally describe their dynamics and pinpoint periods where unexpected shocks divert their path from the anticipated trajectory. The subsequent section examines variations in capital flows and the United States (US) foreign asset position, which stem from changes in macroeconomic and exchange rate uncertainties. This exploration establishes the correlation between macroeconomic conditions, US dollar pricing, and the US's pivotal position in global financial markets as a provider of safe assets and its role as an international investor. The final part concentrates on the determinants of price fluctuations in cryptocurrencies that have gained as substitutes in international transactions, Stablecoins. Rather than focusing solely on mean effects, this study focuses on the extreme tail variations. This approach offers a framework for analyzing currency deviations and highlights the lack of evidence to be considered a robust exchange medium. Notably, they remain vulnerable to broader cryptocurrency fluctuations, associated liquidity conditions, and the budget constraints of the financial intermediaries.
 
 
The thesis will be available from research.cbs.dk
 

Primary Supervisor:

Associate Professor Natalia Khorunzhina
Department of Economics
Copenhagen Business School

Secondary Supervisors:

Assistant Professor Katja Mann
Department of Economics
Copenhagen Business School
 

Assessment Committee:

 
Associate Professor Lisbeth La Cour (Chair)
Department of Economics
Copenhagen Business School
 
Associate Professor Michael Bergman
Department of Economics
University of Copenhagen
 
Associate Professor Daniel Marcel te Kaat
Department of Economics, Econometrics and Finance
University of Groningen
 

Date: 03 April 2024
Time: 15:00-17:00

Online: Teams

*Please note that the microphone and camera of all spectators must be turned off

Location: Online