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

9

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4,828

SSRN CITATIONS
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Top 4,012

in Total Papers Citations

139

CROSSREF CITATIONS

119

Scholarly Papers (9)

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1.

Deviations from Covered Interest Rate Parity

Downloads 3,372 ( 3,009)
Citation 59

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 3,288 (3,073)
Citation 14

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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 84 (300,903)
Citation 45

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2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 487 ( 57,759)
Citation 20

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, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 422 (68,087)
Citation 22

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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, Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 65 (349,232)

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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 302 (100,792)
Citation 22

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4.

Local Currency Sovereign Risk

Downloads 291 (104,946)
Citation 22

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 238 (128,845)
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 53 (387,251)
Citation 7

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Local currency, sovereign debt, currency swaps

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), University of Chicago Booth School of Business, Bank for International Settlements (BIS) and Bank for International Settlements (BIS)
Downloads 247 (124,566)
Citation 4

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exchange rates, bank leverage, cross-currency basis

6.

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

Downloads 72 (326,446)

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

Number of pages: 45 Posted: 07 Feb 2017 Last Revised: 21 Aug 2019
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
University of Chicago Booth School of Business, University of Chicago - Harris Public Policy and Columbia University - Columbia Business School
Downloads 42 (428,085)

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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 Public Policy and Columbia University - Columbia Business School
Downloads 17 (563,433)

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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
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
University of Chicago Booth School of Business, University of Chicago - Harris Public Policy and Harvard University - Business School (HBS)
Downloads 13 (590,331)

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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 University of Chicago Booth School of Business
Downloads 38 (435,573)
Citation 4

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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
University of Chicago Booth School of Business, Board of Governors of the Federal Reserve System and Columbia University - Columbia Business School
Downloads 13 (567,552)
Citation 7
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9.

Are Intermediary Constraints Priced?

NBER Working Paper No. w26009
Number of pages: 83 Posted: 01 Jul 2019
Wenxin Du, Benjamin Hebert and Amy Wang
University of Chicago Booth School of Business, Stanford University and Stanford University
Downloads 6 (612,776)
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