igor pozdeev


variance risk on the fx market 2018
job market paper
eigendecomposition of the difference between realized and option-implied covariance matrices of currency returns gives reason to believe in a negative fx variance risk premium, although portfolios with a consistently positive rv-iv difference are possible; the us dollar index and carry trade naturally emerge as the two strategies that are the most expensive to insure against higher variance, and the carry trade variance risk dominates the that of the us dollar as a priced factor; shocks to news about future fx variance are significantly priced at long horizons (longer than those about future equity market variance!)
[ pdf ] (560KB)
replication code
monetary policy and currency returns: the foresight saga 2018
(with Dmitry Borisenko)
currencies tend to strongly depreciate before "their" central banks cut rates, and to moderately appreciate in the opposite case, which you can (suddenly) profitably exploit by (1) forecasting cuts and hikes with overnight index swap-implied rates and (2) opening corresponding positions on the forex ahead of policy meetings.
10th fiw research conference best paper
26th finance forum best paper on fixed income
available on ssrn
verbal interventions and exchange rate policies: the case of swiss franc cap 2018
(with Nikola Mirkov and Paul Söderlind)
investors did not expect the snb to abandon the swiss franc cap on january 15th, 2015, and the reassuring speeches by the bank officials helped reduce uncertainty about the exchange rate (measured by the option-implied variance).
available on ssrn
overnight index swap rates as forecasts of monetary policy 2017
(with Dmitry Borisenko)
overnight index swap rates are unbiased forecasts of overnight rates (contain little risk premium) and can be used as decent markers for classifying future policy rate announcements as hikes, cuts or status quos.