PhD defence of Bárbara Sádaba on Thursday 21 January 2016
On Thursday 21 January 2016 Bárbara Sádaba will defend her PhD thesis entitled 'Essays on the Empirics of International Financial Markets'. Supervisor is Professor Casper de Vries (Erasmus School of Economics) and co-supervisor is Dr. Lorenzo Pozzi. Other members of the Doctoral Committee are Professor Job Swank (Erasmus School of Economics), Dr. Francesco Ravazzolo (Free University of Bozen/Bolzano) and Dr. Gerdie Everaert (University of Gent).
About Bárbara Sádaba
Bárbara Sádaba (1982) obtained her undergraduate degree in Economics (2006) in the Catholic University in Buenos Aires. She graduated from the MSc. in Economics (2009) and the Research Master (2011) at Tilburg University in The Netherlands. In 2011 she joined the Tinbergen Institute as a PhD-student at the Department of General Economics at the Erasmus School of Economics. As of March 2016, she will be employed by the Bank of Canada as a Senior Analyst in the International Research Department.
Abstract of 'Essays on the Empirics of International Financial Markets'
The price formation process in international financial markets remains poorly understood. This thesis empirically attempts to unravel some of the hidden drivers of the price formation process of different financial assets. The first essay looks into the importance of uncertainty in the determination of currency prices. We empirically test the so-called scapegoat theory of exchange rates, which shows the importance of agents' expectations about macroeconomic fundamentals for the determination of exchange rates. The second essay consists of an out-of-sample forecasting exercise in which we show that sovereign default risk can help predict exchange rate returns. The last essay investigates the presence of a structural beak in the risk pricing of euro area government bonds leading to an euro area-wide crisis regime.