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Jean-David Sigaux
I am an economist in the Financial Research Division at the European Central Bank (my CV)
My research interests are: Money markets, Asset pricing, Fixed income and Market microstucture. My research is both empirical and theoretical.
Disclaimer: This is my private site and the views expressed in the material on these pages are my own and do not reflect those of the European Central Bank
The Implications of CIP Deviations for International Capital Flows with C. Kubitza (ECB) and Q. Vandeweyer (Chicago Booth)
Journal of Finance (Forthcoming)
We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors’ holdings of USD bonds decrease following a widening in the USD-EUR cross-currency basis (CCB). This effect is driven by investors with larger FX rollover risk and hedging mandates, and it is robust to instrumenting the CCB. These shifts in bond demand significantly affect bond prices. Our findings shed light on a new determinant of international capital flows with important consequences for financial stability.
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