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Wenxin Du

Federal Reserve Board

Economist

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Federal Reserve Board

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 13,418

SSRN RANKINGS

Top 13,418

in Total Papers Downloads

2,897

CITATIONS

2

Scholarly Papers (7)

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1.

Deviations from Covered Interest Rate Parity

Downloads 2,188 ( 4,761)

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 2,144 (4,823)

Abstract:

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 44 (353,203)
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2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 228 (111,149)

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Number of pages: 41 Posted: 30 Sep 2016
Wenxin Du, Salil Gadgil, Michael B. Gordy and Clara Vega
Federal Reserve Board, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 185 (135,754)

Abstract:

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, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve and Board of Governors of the Federal Reserve System
Downloads 43 (356,570)

Abstract:

Counterparty credit risk, Credit default swaps, Central clearing

3.

Local Currency Sovereign Risk

Downloads 199 (126,959)

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 182 (137,853)

Abstract:

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 17 (478,924)

Abstract:

Local currency, sovereign debt, currency swaps

4.

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

Downloads 26 (415,596)

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

Number of pages: 51 Posted: 07 Feb 2017
Wenxin Du, Carolin E. Pflueger and Jesse Schreger
Federal Reserve Board, University of British Columbia (UBC) - Division of Finance and Harvard Business School
Downloads 18 (473,048)

Abstract:

local currency debt, bond betas, inflation cyclicality, bond risk premia, monetary policy commitment

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

NBER Working Paper No. w22592
Number of pages: 54 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 (530,149)
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Abstract:

5.

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 Dhume Datta and Wenxin Du
Federal Reserve Board and Federal Reserve Board
Downloads 13 (446,093)
Citation 2

Abstract:

Heteroskedasticity, serial correlation, robust inference, missing data

6.

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, Catherine Koch and Hyun Song Shin
Bank for International Settlements (BIS), Federal Reserve Board, Bank for International Settlements (BIS) and Bank for International Settlements
Downloads 0 (196,576)

Abstract:

exchange rates, bank leverage, cross-currency basis

7.

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 0 (199,070)

Abstract:

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