Stefan Hubrich

Managed volatility and covered call writing are two of the few systematic investment strategies that have been shown to perform well across a variety of empirical studies and in practice. So far, they have been studied mostly as separate strategies. It turns out that when combined, these two strategies create a powerful toolset for portfolio enhanc...

In the past few years there has been an increasing interest in so-called portable alpha strategies for institutional investors. In a nutshell, these strategies aim at isolating the contribution above the benchmark return (alpha) in a given investment, and to potentially port it on to another, more desirable benchmark (or beta). In its most extreme...

High interest rates to defend the exchange rate signal that a government is committed to fixed exchange rates, but may also signal weak fundamentals. We test the effectiveness of the interest rate defense by disaggregating into the effects on future interest rates differentials, expectations of future exchange rates, and risk premia. While much pre...

This paper calculates indices of central bank autonomy (CBA) for 163 central banks as of end-2003, and comparable indices for a subgroup of 68 central banks as of the end of the 1980s. The results confirm strong improvements in both economic and political CBA over the past couple of decades, although more progress is needed to boost political auton...

Applying basic statistical methods to a large sample of currency crises, it is shown that a variety of measures of monetary policy are significantly related to the outcome of a speculative attack. Unlike in the comparable study of Kraay (1999), discount rates have a significant but unconventional impact. A new measure for domestic credit, by contra...