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...

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 second chapter (jointly with Igor Pozdeev), we document a drift in...

In the third chapter (jointly with Igor Pozdeev), we document overnight index swaps (OIS) to be unbiased predictors of future short rates in developed economies, bearing no significant risk premium for maturities up to one year. We show that the OIS underlying overnight rates accurately reflect...