We investigate how currency denomination a ects the price of credit risky securities of the same issuer. We focus on eurozone sovereign quanto spreads, i.e., di erences in credit default swap (CDS) premiums denominated in U.S. dollar and Euro of the same reference entity. Quanto spreads of...

This thesis contributes to three major fields in the international finance literature: forward premium anomaly, monetary policy and exchange rate determination, and measuring monetary policy expectations from asset prices. In the first chapter, I develop a production-based asset pricing model...