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

14

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8,832

SSRN CITATIONS
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SSRN RANKINGS

Top 1,279

in Total Papers Citations

1,017

CROSSREF CITATIONS

161

Scholarly Papers (14)

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1.

Deviations from Covered Interest Rate Parity

Downloads 4,153 ( 4,333)
Citation 255

Deviations from Covered Interest Rate Parity

Number of pages: 84 Posted: 25 Apr 2016 Last Revised: 06 May 2017
Wenxin Du, Alexander Tepper, Adrien Verdelhan and Adrien Verdelhan
University of Chicago Booth School of Business, Federal Reserve Bank of New York and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 3,982 (4,536)
Citation 27

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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 Last Revised: 24 Apr 2022
Wenxin Du, Alexande Tepper, Adrien Verdelhan and Adrien Verdelhan
University of Chicago Booth School of Business, Columbia University - Graduate School of Architecture, Planning and Preservation and National Bureau of Economic Research (NBER)Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 171 (297,052)
Citation 249

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2.

Counterparty Risk and Counterparty Choice in the Credit Default Swap Market

Downloads 848 (49,752)
Citation 31

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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 746 (58,339)
Citation 38

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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. 2016-87
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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 102 (445,836)

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3.

Sovereign Risk, Currency Risk, and Corporate Balance Sheets

Downloads 764 (57,291)
Citation 43

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 648 (70,098)
Citation 45

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Sovereign Risk, Currency Risk, and Corporate Balance Sheets

Columbia Business School Research Paper
Number of pages: 86 Posted: 08 Jun 2021
Wenxin Du and Jesse Schreger
University of Chicago Booth School of Business and Columbia University - Columbia Business School, Economics
Downloads 116 (405,683)
Citation 20

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4.

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

Downloads 672 (67,815)
Citation 32

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

Number of pages: 49 Posted: 07 Feb 2017 Last Revised: 13 Jan 2020
Wenxin Du, Carolin E. Pflueger, Carolin E. Pflueger and Jesse Schreger
University of Chicago Booth School of Business, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Columbia University - Columbia Business School, Economics
Downloads 591 (78,711)
Citation 37

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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, Carolin E. Pflueger and Jesse Schreger
University of Chicago Booth School of Business, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Columbia University - Columbia Business School, Economics
Downloads 48 (681,699)
Citation 1

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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 Last Revised: 26 Mar 2023
Wenxin Du, Carolin E. Pflueger, Carolin E. Pflueger and Jesse Schreger
University of Chicago Booth School of Business, National Bureau of Economic Research (NBER)University of Chicago - Harris School of Public Policy and Harvard University - Business School (HBS)
Downloads 33 (789,695)

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5.

Intermediary Balance Sheets and the Treasury Yield Curve

Downloads 539 (89,395)
Citation 3

Intermediary Balance Sheets and the Treasury Yield Curve

USC Marshall School of Business Research Paper , Journal of Financial Economics (JFE), Forthcoming
Number of pages: 123 Posted: 07 Jul 2022 Last Revised: 07 Sep 2023
Wenxin Du, Benjamin Hebert and Wenhao Li
University of Chicago Booth School of Business, Stanford University and University of Southern California - Marshall School of Business
Downloads 382 (133,209)

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negative swap spread, covered interest rate parity deviations, Treasury yield curve

Intermediary Balance Sheets and the Treasury Yield Curve

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-94
Number of pages: 123 Posted: 18 Jul 2022 Last Revised: 07 Sep 2023
Wenxin Du, Benjamin Hebert and Wenhao Li
University of Chicago Booth School of Business, Stanford University and University of Southern California - Marshall School of Business
Downloads 91 (481,501)
Citation 2

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Intermediary Balance Sheets and the Treasury Yield Curve

FRB of New York Staff Report No. 1023
Number of pages: 123 Posted: 11 Jul 2022 Last Revised: 06 Sep 2023
Wenxin Du, Benjamin Hebert and Wenhao Li
University of Chicago Booth School of Business, Stanford University and University of Southern California - Marshall School of Business
Downloads 55 (639,963)

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yield curve, balance sheet constraints, CIP deviations

Intermediary Balance Sheets and the Treasury Yield Curve

NBER Working Paper No. w30222
Number of pages: 124 Posted: 11 Jul 2022 Last Revised: 27 May 2023
Wenxin Du, Benjamin Hebert and Wenhao Li
University of Chicago Booth School of Business, Stanford University and University of Southern California - Marshall School of Business
Downloads 11 (1,002,411)
Citation 1
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6.

Local Currency Sovereign Risk

Downloads 473 (104,802)
Citation 73

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 324 (159,602)
Citation 2

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local currency, sovereign debt, currency swaps

Local Currency Sovereign Risk

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 149 (334,004)
Citation 65

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Local currency, sovereign debts, currency swaps

7.

U.S. Banks and Global Liquidity

Downloads 380 (135,103)
Citation 5

U.S. Banks and Global Liquidity

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-89
Number of pages: 88 Posted: 01 Jul 2020
Ricardo Correa, Wenxin Du and Gordon Liao
Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Circle Internet Financial
Downloads 263 (198,336)

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Liquidity, Global Banks, Repos, Reserves, Covered Interest Rate Parity

U.S. Banks and Global Liquidity

FRB International Finance Discussion Paper No. 1289
Number of pages: 67 Posted: 23 Jul 2020
Ricardo Correa, Wenxin Du and Gordon Liao
Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Circle Internet Financial
Downloads 83 (510,098)

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U.S. Banks and Global Liquidity

NBER Working Paper No. w27491
Number of pages: 67 Posted: 13 Aug 2020 Last Revised: 12 Feb 2023
Ricardo Correa, Wenxin Du and Gordon Liao
Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Circle Internet Financial
Downloads 34 (781,612)
Citation 4

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8.

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 Casanova and Hyun Song Shin
Bank for International Settlements (BIS), University of Chicago Booth School of Business, SNB and Bank for International Settlements (BIS)
Downloads 334 (155,447)
Citation 96

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exchange rates, bank leverage, cross-currency basis

9.

Dollar Asset Holding and Hedging Around the Globe

Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 73 Posted: 21 Jun 2023 Last Revised: 13 Oct 2023
Wenxin Du and Amy Huber
University of Chicago Booth School of Business and The Wharton School
Downloads 232 (229,167)

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dollar holdings, FX hedging, CIP deviations, institutional investors, portfolio allocation

10.

CIP Deviations, the Dollar, and Frictions in International Capital Markets

Downloads 158 (319,330)
Citation 17

CIP Deviations, the Dollar, and Frictions in International Capital Markets

Columbia Business School Research Paper
Number of pages: 69 Posted: 10 May 2021
Wenxin Du and Jesse Schreger
University of Chicago Booth School of Business and Columbia University - Columbia Business School, Economics
Downloads 94 (474,663)

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CIP Deviations, the Dollar, and Frictions in International Capital Markets

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-57
Number of pages: 141 Posted: 11 May 2021
Wenxin Du and Jesse Schreger
University of Chicago Booth School of Business and Columbia University - Columbia Business School, Economics
Downloads 54 (645,680)

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Cip Deviations, the Dollar, and Frictions in International Capital Markets

NBER Working Paper No. w28777
Number of pages: 70 Posted: 10 May 2021 Last Revised: 17 Feb 2023
Wenxin Du and Jesse Schreger
University of Chicago Booth School of Business and Columbia University - Columbia Business School, Economics
Downloads 10 (1,012,599)

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Cip Deviations, the Dollar, and Frictions in International Capital Markets

CEPR Discussion Paper No. DP16124
Number of pages: 72 Posted: 14 May 2021
Wenxin Du and Jesse Schreger
University of Chicago Booth School of Business and Columbia University - Columbia Business School, Economics
Downloads 0
Citation 15
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11.

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 96 (461,192)
Citation 3

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Heteroskedasticity, serial correlation, robust inference, missing data

12.

The U.S. Treasury Premium

NBER Working Paper No. w23759
Number of pages: 51 Posted: 06 Sep 2017 Last Revised: 03 Jun 2023
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, Economics
Downloads 65 (578,914)
Citation 91

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13.

Are Intermediary Constraints Priced?

NBER Working Paper No. w26009
Number of pages: 112 Posted: 01 Jul 2019 Last Revised: 27 Mar 2023
Wenxin Du, Benjamin Hebert and Amy Huber
University of Chicago Booth School of Business, Stanford University and The Wharton School
Downloads 61 (597,583)

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14.

Arbitrage Capital of Global Banks

Downloads 57 (617,749)
Citation 2

Arbitrage Capital of Global Banks

FEDS Working Paper No. 2021-32
Number of pages: 66 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Alyssa G. Anderson, Wenxin Du and Bernd Schlusche
Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System
Downloads 35 (773,790)

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Arbitrage Capital of Global Banks

NBER Working Paper No. w28658
Number of pages: 67 Posted: 12 Apr 2021 Last Revised: 22 Apr 2023
Alyssa G. Anderson, Wenxin Du and Bernd Schlusche
Board of Governors of the Federal Reserve System, University of Chicago Booth School of Business and Board of Governors of the Federal Reserve System
Downloads 22 (887,455)
Citation 2

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