Wenxin Du

Federal Reserve Board

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Federal Reserve Board

SCHOLARLY PAPERS

8

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4,288

CITATIONS
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3

Scholarly Papers (8)

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1.

Deviations from Covered Interest Rate Parity

Downloads 3,106 ( 3,195)

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
Federal Reserve Board, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,050 (3,230)

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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
Federal Reserve Board, Columbia University - Graduate School of Architecture, Planning and Preservation and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 56 (356,883)

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2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 404 ( 68,181)

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 74 Posted: 30 Sep 2016 Last Revised: 24 May 2018
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
Federal Reserve Board, University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 343 (81,825)

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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
Federal Reserve Board, University of California, Los Angeles (UCLA) - Anderson School of Management, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 61 (341,961)

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Counterparty credit risk, Credit default swaps, Central clearing

3.

Local Currency Sovereign Risk

Downloads 255 (113,788)

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
Federal Reserve Board and Princeton University - Department of Economics
Downloads 216 (133,913)

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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
Federal Reserve Board and Harvard Business School
Downloads 39 (417,069)

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Local currency, sovereign debt, currency swaps

4.

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
Federal Reserve Board and Harvard Business School
Downloads 244 (119,060)
Citation 1

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5.

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), Federal Reserve Board, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 197 (146,406)

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exchange rates, bank leverage, cross-currency basis

6.

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

Downloads 38 (412,377)

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

Number of pages: 78 Posted: 07 Feb 2017 Last Revised: 22 Nov 2018
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
Federal Reserve Board, University of British Columbia (UBC) - Division of Finance and Columbia University - Columbia Business School
Downloads 30 (457,118)

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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

NBER Working Paper No. w22592
Number of pages: 79 Posted: 07 Sep 2016
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
Federal Reserve Board, University of British Columbia (UBC) - Division of Finance and Harvard Business School
Downloads 8 (589,225)

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7.

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 Federal Reserve Board
Downloads 31 (440,965)
Citation 2

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Heteroskedasticity, serial correlation, robust inference, missing data

8.

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
Federal Reserve Board, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School
Downloads 13 (536,409)
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