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International bonds and the currency risk: How do macroshocks affect returns?

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  • Sturges, David M.
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

    Volume (Year): 9 (2000)
    Issue (Month): 4 (October)
    Pages: 351-373

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    Handle: RePEc:eee:reveco:v:9:y:2000:i:4:p:351-373

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    Web page: http://www.elsevier.com/locate/inca/620165

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    1. Chow, Edward H & Lee, Wayne Y & Solt, Michael E, 1997. "The Exchange-Rate Risk Exposure of Asset Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 105-23, January.
    2. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," Working Paper, Federal Reserve Bank of Atlanta 91-17, Federal Reserve Bank of Atlanta.
    3. Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
    4. Reichenstein, William, 1987. "The Impact of Money on Short-term Interest Rates," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 25(1), pages 67-82, January.
    5. Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
    6. Vittorio Grilli & Nouriel Roubini, 1995. "Liquidity and Exchange Rates: Puzzling Evidence from the G-7 Countries," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 95-17, New York University, Leonard N. Stern School of Business, Department of Economics.
    7. Grier, Kevin B & Perry, Mark J, 1993. " The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity," Journal of Finance, American Finance Association, American Finance Association, vol. 48(4), pages 1445-55, September.
    8. Campbell, John, 1991. "A Variance Decomposition for Stock Returns," Scholarly Articles 3207695, Harvard University Department of Economics.
    9. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, Elsevier, vol. 25(1), pages 23-49, November.
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    Cited by:
    1. Sean J. Gossel & Nicholas Biekpe, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(2), pages 105-117, June.

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