[Proper abstracts and links to the papers will be added shortly.]

“The Global Interest Rate Differential and the Dollar Carry Trade” 

Winner of the Ola Bengtsson Award for best paper at the 7th SHoF National PhD workshop in Finance, 2018

[Abstract coming soon.]

“Correlated Risk Factors in Currency Markets” 

[Abstract coming soon.]

“Operational Cash Holdings in a Real Business Cycle Model with Financial Frictions”

I observe the procyclical behavior of aggregate cash holdings of U.S. firms. To better understand why firms tend to hold more cash in good times I first distinguish between operational cash (used to run the day-to-day business operations), and non-operational cash (used for pre-cautionary motives). In a real business cycle model I find that the procyclical behavior of operational cash holdings can be explained by both a productivity shock and a financial shock (affecting firms’ ability to borrow). The productivity shock is the main driver of output in the model, and as such, it is tightly connected to the firm’s need for operational cash to finance wages and investments. When extracting the financial shock series from the data, we see a procyclical pattern. As a result, in good economic times, firms tend to shift their financing from equity to debt. To facilitate this shift, firms engage in share repurchases and dividend payments, which require operational cash. I also find that the model-implied volatility of non-operational cash holdings is significantly larger than that of operational cash holdings, for which I provide economic intuition.