Time: 10:00 am - 11:30 am, Apr. 10th, 2026
Speaker: Kul Luintel (Cardiff University)
Venue: Zhifuxuan Classroom, Langrun Garden, Peking University
Abstract：
Recent literature suggests that relative Treasury premia help explain exchange rate fluctuations and may resolve the 'exchange-rate disconnect' puzzle. This literature, however, largely abstracts from cross-currency heterogeneity and the time-varying nature of these relationships. We revisit this hypothesis using a Bayesian time-varying VAR framework that accommodates both dimensions. We document substantial heterogeneity and pronounced time variation. We find that Treasury premia and interest rate differentials do not explain exchange rate movements among the core safe-haven currencies—the U.S. dollar, Japanese yen, Swiss franc, Euro, and British pound. They explain only a limited subset of non–safe-haven G10 currencies. When significant, Treasury premia and interest rate differentials affect distinct, non-overlapping currency pairs—highlighting cross-sectional heterogeneity that fixed-effects panel models cannot capture. Overall, relative Treasury premia appear insufficient to fully resolve the exchange-rate disconnect puzzle. Our findings underscore the importance of accounting for heterogeneity and time-varying dynamics in exchange rate modelling.
Speaker：
Kul Luintel is Professor of Economics at Cardiff Business School (CARBS). His research interests include R&D and innovation, endogenous growth, macroeconomics, finance, regional development, and applied econometrics. His research has been published in leading journals, including The Economic Journal,The Review of Economics and Statistics, Journal of Money, Credit and Banking, Research Policy, Journal of Development Economics, Economica, Canadian Journal of Economics, Journal of Applied Econometrics, Oxford Bulletin of Economics and Statistics, Journal of Economic Behavior and Organization, Journal of International Money and Finance, Economics Letters, The Journal of Financial Research, Journal of Macroeconomics, and Journal of International Financial Markets, Institutions and Money.
