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Mi Wu

Area of Study: Finance


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Prior Education

  • PhD (expected) Finance, Macroeconomics (minor), Simon Business School, University of Rochester
  • M.S.B.A. Applied Economics, Simon Business School, Universtiy of Rochester
  • M.A. Economics, University of Maryland, College Park
  • B.S. Economics and Finance, University of Hong Kong & University of California, Berkeley

Research Interests

  • International Finance, Asset Pricing, Macroeconomics

Research Papers/Publications

This paper proposes a two-country term structure model of joint behavior of bond markets and foreign exchange (FX) markets. With risk factors extracted from local bond markets of G10 currency countries, the term structure model is able to reproduce the uncovered interest parity (UIP) puzzle as observed in the FX market. Bond market risk factors explain up to 50% of the variations in exchange rate movements at a one-year horizon, and over 90% for investment currency countries at a ve-year horizon. For currency excess returns, the model-implied time-varying risk premia deliver 46.3% more explanatory power than the interest rate dierentials. The model quanties the level of integration between the FX market and bond markets. The empirical findings also reveal heterogeneity between investment- and funding-currency countries in terms of the risk exposure to the bond market transitory shocks.

  • Dynamics of Credit Default Risk and the Investor-Base Shift in the Eurozone Sovereign Bonds Market
  • Impact of Global Factors on Sovereign Yields of Different Denominations (work-in-progress)
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