Julian Fernandez-Mejia

About Me

I am an Assistant Professor of Finance at Universidad Javeriana - Bogotá. I received my Ph.D. in Economics from Copenhagen Business School (CBS) in 2024. My research interests combine International Finance, Applied Macroeconomics, and Financial Economics. My most recent interests are Carry Trade, Capital Flows, and the use of Foreign Exchange Reserves.

My CV can be found here

Contact

fernandez.julian@javeriana.edu.co

Twitter

@julianfdezme

Office

Office 39. Fourth Floor

Edificio Jorge Hoyos Vásquez S.

Cra 7 No 40 - 62. Bogotá, Colombia

News:

The paper "Shocking Food Inflation" with Ana M. Pérez and Metin Çakır was presented at the Agricultural & Applied Economics Association (AAEA) annual conference
The paper "The Uncertain Exorbitant Privilege and Duty" was selected for the Society of Computational Economics (SCE) annual conference in Santiago de Chile.
My paper, "The Uncertain Exorbitant Privilege and Duty," was selected as one of the best papers in the 35th Symposium of Capital Markets of Asobancaria.

Paper

Job Market Paper

The Uncertain Exorbitant Privilege and Duty

This paper examines how shocks to the exchange rate and macroeconomic uncertainty affect the United States’ net foreign asset position. I employ a Structural Vector Autoregressive (SVAR) model incorporating a combination of external instruments, narrative identification, and shock-dependent restrictions to address the endogeneity of uncertainties and their relationship with net portfolio flows. The results indicate that exchange rate and macroeconomic uncertainty shocks help reduce the United States’ net foreign asset deficit. Notably, macroeconomic uncertainty has a more persistent impact than exchange rate shocks. While reducing the deficit increases macroeconomic fluctuations in the short run, it dampens them in the long run. Furthermore, the analysis shows that macroeconomic uncertainty shocks are associated with heightened exchange rate volatility. In contrast, greater exchange rate volatility tends to dampen macroeconomic uncertainty. These findings align with the literature on convenience yields and dominant currency pricing, suggesting that heightened volatility affects core economies by altering foreign demand for safe assets and destabilizing global terms of trade.

Published Articles

Extremely Stablecoins, Finance Research Letters, 63, 105268, 2024
Exchange rate forecasts for Colombia. Cuadernos de Administración, 39 (76) , e1013248, 2023.
(with Sergio I. Prada and Julio C. Alonso), Exchange Rate Pass-Through to Healthcare Prices in Colombia, Cuadernos de Economía, 38(77), pp. 523-550, 2019
(with Helena Chuliá and Jorge Mario Uribe), Currency downside risk, liquidity, and financial stability, Journal of International Money and Finance, 89, pp. 83-102, 2018. slides
Measuring Market Risk for an Agricultural Exporter Firm: A Copula Approach, Academia - Revista Latinoamericana de Administración, 30(1), pp. 72-86, 2017.
(With Jorge M. Uribe) "Analysis of explosive processes in financial asset prices: Evidence from around the world", Revista Finanzas y Política Económica, 8(1), pp. 83-103. 2016.
(With Jorge M. Uribe and Diana Jiménez) "Regimes of volatility of the rate of exchange in Colombia and policy interventions", Investigación Económica, 74 (293), pp. 131-170. 2015
(With Jorge M. Uribe) "Systemic risk in the Colombian stock market: Diversification alternatives under extreme events", Cuadernos de Economía, 33(63), pp. 613-634. 2014
(With Jorge M. Uribe) "Financial bubbles and recent behavior of the Latin American stock markets", Lecturas de Economía, 81, pp. 57-90. 2014

Research In Progress

Value Premium at Risk (with Jorge Mario Uribe)
Fueling the Fire: Capital Flows and Financial Boom-Busts
Shocking Food Inflation (with Ana Melissa Perez and Metin Çakır)
Measuring FX Intervention Effects

Working Papers

Exchange Rate Uncertainty and Interest Rate Parity
The Uncertain Exorbitant Privilege and Duty
International Reserves Patterns and Clusters (with Humberto Martínez-Beltrán)
CIP Deviations, Commodity Markets Shocks, and the Role of Macroprudential Policy (With Camilo Granados)

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