IDEAS home Printed from https://ideas.repec.org/f/c/pha313.html
   My authors  Follow this author

Harald Hau

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Author Profile
    1. Harald Hau in Wikipedia (German)

Working papers

  1. Harald Hau & Yi Huang & Hongzhe Shan & Zixia Sheng, 2021. "FinTech Credit and Entrepreneurial Growth," Swiss Finance Institute Research Paper Series 21-47, Swiss Finance Institute.

    Cited by:

    1. Lucas A. Mariani & Jose Renato Haas Ornelas & Bernardo Ricca, 2023. "Banks’ Physical Footprint and Financial Technology Adoption," Working Papers Series 576, Central Bank of Brazil, Research Department.
    2. Tobias Berg & Andreas Fuster & Manju Puri, 2021. "FinTech Lending," Swiss Finance Institute Research Paper Series 21-72, Swiss Finance Institute.
    3. Leonardo Gambacorta & Yiping Huang & Zhenhua Li & Han Qiu & Shu Chen, 2023. "Data versus Collateral," Review of Finance, European Finance Association, vol. 27(2), pages 369-398.
    4. Huang, Yiping & Li, Xiang & Qiu, Han & Yu, Changhua, 2023. "BigTech credit and monetary policy transmission: Micro-level evidence from China," BOFIT Discussion Papers 2/2023, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. Mariani, Lucas A. & Haas Ornelas, José Renato & Ricca, Bernardo, 2023. "Banks’ Physical Footprint and Financial Technology Adoption," IDB Publications (Working Papers) 12812, Inter-American Development Bank.
    6. Martin Chorzempa & Yiping Huang, 2022. "Chinese Fintech Innovation and Regulation," Asian Economic Policy Review, Japan Center for Economic Research, vol. 17(2), pages 274-292, July.
    7. Huang, Yiping & Li, Xiang & Qiu, Han & Su, Dan & Yu, Changhua, 2024. "Bigtech credit, small business, and monetary policy transmission: Theory and evidence," IWH Discussion Papers 18/2022, Halle Institute for Economic Research (IWH), revised 2024.
    8. Claude Bernard Lontchi & Baochen Yang & Kabir Musa Shuaib, 2023. "Effect of Financial Technology on SMEs Performance in Cameroon amid COVID-19 Recovery: The Mediating Effect of Financial Literacy," Sustainability, MDPI, vol. 15(3), pages 1-15, January.
    9. Allen, Franklin & Gu, Xian & Jagtiani, Julapa, 2022. "Fintech, Cryptocurrencies, and CBDC: Financial Structural Transformation in China," CEPR Discussion Papers 16977, C.E.P.R. Discussion Papers.
    10. Yang, Tong & Zhang, Xun, 2022. "FinTech adoption and financial inclusion: Evidence from household consumption in China," Journal of Banking & Finance, Elsevier, vol. 145(C).

  2. Heng Geng & Harald Hau & Roni Michaely & Binh Nguyen, 2021. "Does Board Overlap Promote Coordination Between Firms?," Swiss Finance Institute Research Paper Series 21-79, Swiss Finance Institute.

    Cited by:

    1. Fu, Zheng & Ma, Yechi & Li, Suyang & Qiao, Lu, 2023. "Peer performance and the asymmetric timeliness of earnings recognition," International Review of Financial Analysis, Elsevier, vol. 85(C).

  3. Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet, 2019. "Bank Bonus Pay as a Risk Sharing Contract," CESifo Working Paper Series 7495, CESifo.

    Cited by:

    1. Bertay, Ata & Carreño Bustos, José & Huizinga, Harry & Uras, Burak & Vellekoop, N., 2022. "Technological Change and the Finance Wage Premium," Discussion Paper 2022-002, Tilburg University, Center for Economic Research.
    2. Michael Haylock, 2022. "Distributional differences in the time horizon of executive compensation," Empirical Economics, Springer, vol. 62(1), pages 157-186, January.
    3. Edward D. Van Wesep & Brian Waters, 2022. "Bonus Season: A Theory of Periodic Labor Markets and Coordinated Bonuses," Management Science, INFORMS, vol. 68(7), pages 5464-5492, July.
    4. Wagner, Konstantin, 2020. "Competition, cost structure, and labour leverage: Evidence from the U.S. airline industry," IWH Discussion Papers 21/2020, Halle Institute for Economic Research (IWH).

  4. Harald Hau & Gabriela Hrasko, 2018. "Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks," Swiss Finance Institute Research Paper Series 18-67, Swiss Finance Institute.

    Cited by:

    1. Ongena, Steven & Goncharenko, Roman & Rauf, Asad, 2018. "The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone," CEPR Discussion Papers 13344, C.E.P.R. Discussion Papers.
    2. Dr. Martin Indergand & Gabriela Hrasko, 2021. "Does the market believe in loss-absorbing bank debt?," Working Papers 2021-13, Swiss National Bank.
    3. Michael Sigmund & Kevin Zimmermann, 2021. "Determinants of Contingent Convertible Bond Coupon Rates of Banks: An Empirical Analysis (Michael Sigmund, Kevin Zimmermann)," Working Papers 236, Oesterreichische Nationalbank (Austrian Central Bank).
    4. Roman Goncharenko, 2022. "Fighting Fire with Gasoline: CoCos in Lieu of Equity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 493-517, March.

  5. Harald Hau & Difei Ouyang, 2018. "Capital Scarcity and Industrial Decline: Evidence from 172 Real Estate Booms in China," Swiss Finance Institute Research Paper Series 18-38, Swiss Finance Institute, revised May 2018.

    Cited by:

    1. Gambacorta, Leonardo & Huang, Yiping & Li, Zhenhua & Qiu, Han & Chen, Shu, 2020. "Data vs collateral," CEPR Discussion Papers 15262, C.E.P.R. Discussion Papers.
    2. Fleisher, Belton M. & McGuire, William H. & Wang, Xiaojun & Zhao, Min Qiang, 2020. "Induced Innovation: Evidence from China's Secondary Industry," IZA Discussion Papers 13072, Institute of Labor Economics (IZA).
    3. Leonardo Gambacorta & Yiping Huang & Zhenhua Li & Han Qiu & Shu Chen, 2023. "Data versus Collateral," Review of Finance, European Finance Association, vol. 27(2), pages 369-398.
    4. John Muellbauer, 2023. "Why we need a green land value tax and how to design it," Economics Series Working Papers 1010, University of Oxford, Department of Economics.
    5. Kenneth Rogoff & Yuanchen Yang, 2021. "Has China's Housing Production Peaked?," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 29(1), pages 1-31, January.

  6. Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," Swiss Finance Institute Research Paper Series 18-03, Swiss Finance Institute, revised Jun 2018.

    Cited by:

    1. Gordon Y. Liao & Tony Zhang, 2020. "The Hedging Channel of Exchange Rate Determination," International Finance Discussion Papers 1283, Board of Governors of the Federal Reserve System (U.S.).
    2. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    3. Niepmann, Friederike & Schmidt-Eisenlohr, Tim, 2023. "Institutional investors, the dollar, and U.S. credit conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 198-220.
    4. Ralph S. J. Koijen & Motohiro Yogo, 2020. "Exchange Rates and Asset Prices in a Global Demand System," Working Papers 2020-33, Princeton University. Economics Department..
    5. Koijen, Ralph & Gabaix, Xavier, 2020. "Granular Instrumental Variables," CEPR Discussion Papers 15531, C.E.P.R. Discussion Papers.
    6. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    7. Konradt, Maximilian, 2023. "Do pension funds reach for yield? Evidence from a new database," MPRA Paper 116209, University Library of Munich, Germany.
    8. Fidora, Michael & Schmitz, Martin & Bergant, Katharina, 2020. "International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme," Working Paper Series 2388, European Central Bank.
    9. George Pantelopoulos, 2024. "Can external sustainability be decoupled from the NIIP?," International Economics and Economic Policy, Springer, vol. 21(1), pages 89-116, February.
    10. Rey, Hélène & Gourinchas, Pierre-Olivier & Sauzet, Maxime, 2019. "The International Monetary and Financial System," CEPR Discussion Papers 13714, C.E.P.R. Discussion Papers.
    11. Perez-Reyna, David & Villamizar-Villegas, Mauricio, 2019. "Exchange rate effects of financial regulations," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 228-245.
    12. Menzie D. Chinn & Hiro Ito & Robert N. McCauley, 2021. "Do Central Banks Rebalance Their Currency Shares?," NBER Working Papers 29190, National Bureau of Economic Research, Inc.
    13. Eric Qian, 2023. "Heterogeneity-robust granular instruments," Papers 2304.01273, arXiv.org, revised Nov 2023.
    14. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    15. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    16. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    17. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
    18. Ostry, D. A., 2023. "Tails of Foreign Exchange-at-Risk (FEaR)," Cambridge Working Papers in Economics 2343, Faculty of Economics, University of Cambridge.
    19. Jonas Becker & Maik Schmeling & Andreas Schrimpf, 2024. "Global Bank Lending and Exchange Rates," BIS Working Papers 1161, Bank for International Settlements.
    20. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    21. Florez-Orrego, Sergio & Maggiori, Matteo & Schreger, Jesse & Sun, Ziwen & Tinda, Serdil, 2023. "Global Capital Allocation," SocArXiv 5s6n3, Center for Open Science.
    22. Carol Bertaut & Valentina Bruno & Hyun Song Shin, 2023. "Original sin redux: role of duration risk," BIS Working Papers 1109, Bank for International Settlements.
    23. Martijn A. Boermans & Robert Vermeulen, 2020. "International investment positions revisited: Investor heterogeneity and individual security characteristics," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 466-496, May.
    24. Milan Szabo, 2023. "Cyclical Investment Behavior of Investment Funds: Its Heterogeneity and Drivers," Working Papers 2023/5, Czech National Bank.
    25. Korsaye, Sofonias Alemu & Trojani, Fabio & Vedolin, Andrea, 2023. "The global factor structure of exchange rates," Journal of Financial Economics, Elsevier, vol. 148(1), pages 21-46.
    26. Nathan, Daniel & Ben Zeev, Nadav, 2022. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," MPRA Paper 112909, University Library of Munich, Germany.
    27. Carvalho, Daniel & Schmitz, Martin, 2022. "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum," Working Paper Series 2734, European Central Bank.
    28. Mirela Sandulescu & Fabio Trojani & Andrea Vedolin, 2021. "Model‐Free International Stochastic Discount Factors," Journal of Finance, American Finance Association, vol. 76(2), pages 935-976, April.
    29. Peter Albrecht & Evžen Kočenda & Evžen Kocenda, 2023. "Volatility Connectedness on the Central European Forex Markets," CESifo Working Paper Series 10728, CESifo.

  7. Ernest Dautovic & Harald Hau & Yi Huang, 2017. "The Consumption Response to Minimum Wages: Evidence from Chinese Households," Swiss Finance Institute Research Paper Series 17-01, Swiss Finance Institute.

    Cited by:

    1. Fan, Haichao & Lin, Faqin & Tang, Lixin, 2018. "Minimum Wage and Outward FDI from China," Journal of Development Economics, Elsevier, vol. 135(C), pages 1-19.

  8. Harald Hau & Yi Huang & Gewei Wang, 2017. "Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy," CESifo Working Paper Series 6637, CESifo.

    Cited by:

    1. Wang, Maolin & Lin, Huiting & Huang, Yehua & Lu, Huiyan, 2023. "Poverty alleviation and firm productivity: Evidence from China's minimum wage system," International Review of Financial Analysis, Elsevier, vol. 87(C).
    2. Peter Harasztosi & Attila Lindner, 2019. "Who Pays for the Minimum Wage?," American Economic Review, American Economic Association, vol. 109(8), pages 2693-2727, August.
    3. Wang, Feicheng & Liang, Zhe & Lehmann, Hartmut, 2021. "Import Competition and Informal Employment: Empirical Evidence from China," IZA Discussion Papers 14650, Institute of Labor Economics (IZA).
    4. Xiaoping Li & Shuzhou Peng & Wei‐Chiao Huang & Qian Zhou, 2022. "What Drives Chinese Firms' Export Sophistication? A Perspective from the Rise of Minimum Wages," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(2), pages 28-59, March.
    5. Eliav Danziger & Leif Danziger, 2024. "A Minimum Wage May Increase Exports and Firm Size Even with a Competitive Labor Market," CESifo Working Paper Series 10997, CESifo.
    6. Gilbert CETTE & Jimmy LOPEZ & Jacques MAIRESSE & Giuseppe NICOLETTI, 2020. "Economic Adjustment during the Great Recession: The Role of Managerial Quality," Working Papers 2020-26, Center for Research in Economics and Statistics.
    7. Fan, Haichao & Lin, Faqin & Tang, Lixin, 2018. "Minimum Wage and Outward FDI from China," Journal of Development Economics, Elsevier, vol. 135(C), pages 1-19.
    8. Zhang, Ming-ang & Lu, Shuling & Zhang, Sihan & Bai, Yanfeng, 2023. "The unintended consequence of minimum wage hikes: Evidence based on firms' pollution emission," Energy Economics, Elsevier, vol. 125(C).
    9. Orley Ashenfelter & Stepan Jurajda Jurajda, 2021. "Wages, Minimum Wages, and Price Pass-Through: The Case of McDonald's Restaurants," Working Papers 646, Princeton University, Department of Economics, Industrial Relations Section..
    10. Daniel Aaronson & Brian J. Phelan, 2020. "The Evolution of Technological Substitution in Low-Wage Labor Markets," Working Paper Series WP-2020-16, Federal Reserve Bank of Chicago, revised 01 Mar 2022.
    11. Liu, Hang & Luo, Jin-hui & Wang, Xin, 2021. "Do controlling shareholders expropriate employees? Evidence from workplace fatalities in China," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
    12. Clement Imbert & Marlon Seror & Yifan Zhang & Yanos Zylberberg, 2018. "Migrants and Firms: Evidence from China," CESifo Working Paper Series 7440, CESifo.
    13. Dodini, Samuel & Løken, Katrine & Willén, Alexander, 2022. "The Effect of Labor Market Competition on Firms, Workers, and Communities," Discussion Paper Series in Economics 17/2022, Norwegian School of Economics, Department of Economics.
    14. Degong, Prof. Ma & Ullah, Farid & Ullah, Raza & Arif, Muhammad, 2023. "An empirical nexus between exchange rate and China's outward foreign direct investment: Implications for Pakistan under the China Pakistan economic corridor project," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 224-234.
    15. Yuci Chen, 2019. "What Do Establishments Do When Wages Increase? Evidence from Minimum Wages in the United States," Working Papers 19-31, Center for Economic Studies, U.S. Census Bureau.
    16. Hou, Qingsong & Tang, Xiaofang & Teng, Min, 2021. "Labor costs and financialization of real sectors in emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    17. Zheng Li & Fengshuo Liu & Shuai Mi, 2022. "Can an increase in the minimum wage standard force enterprises to innovate? Evidence from China," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(8), pages 3807-3819, December.
    18. Duanmu, Jing-Lin & Norbäck, Pehr-Johan & Lu, Jane Wenzhen & Clegg, Jeremy, 2022. "Contraction under minimum wages? Operational and financial advantages of multinational subsidiaries in China," International Business Review, Elsevier, vol. 31(2).
    19. Chih-Hai Yang, 2023. "R&D responses to labor cost shock in China: does firm size matter?," Small Business Economics, Springer, vol. 61(4), pages 1773-1793, December.
    20. Dosi, Giovanni & Virgillito, Maria Enrica & Yu, Xiaodan, 2020. "The wage-productivity nexus in the world factory economy," World Development, Elsevier, vol. 129(C).
    21. Du, Pengcheng & Zheng, Yi & Wang, Shuxun, 2022. "The minimum wage and the financialization of firms: Evidence from China," China Economic Review, Elsevier, vol. 76(C).
    22. Chen, Yunsi & Hu, Dezhuang, 2023. "Why are exporters more gender-friendly? Evidence from China," Economic Modelling, Elsevier, vol. 118(C).
    23. Xue Bai & Arpita Chatterjee & Kala Krishna & Hong Ma, 2018. "Trade and Minimum Wages in General Equilibrium: Theory and Evidence," NBER Working Papers 24456, National Bureau of Economic Research, Inc.
    24. Danziger, Eliav & Danziger, Leif, 2024. "A Minimum Wage May Increase Exports and Firm Size Even with a Competitive Labor Market," IZA Discussion Papers 16846, Institute of Labor Economics (IZA).
    25. Jin, Zhangfeng, 2021. "The Legacies of the Soviet Influence in the 1950s: China's 156 Major Industrial Projects," GLO Discussion Paper Series 932, Global Labor Organization (GLO).
    26. Matthew T. Gustafson & Jason D. Kotter, 2023. "Higher Minimum Wages Reduce Capital Expenditures," Management Science, INFORMS, vol. 69(5), pages 2933-2953, May.
    27. Yao, Wenyun & Qian, Yuhang & Yang, Hang & Xu, Wei, 2023. "Does minimum wages affect executive compensation? – Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    28. Liu, Zheng & Shen, Hongtao & Welker, Michael & Zhang, Ning & Zhao, Yang, 2021. "Gone with the wind: An externality of earnings pressure," Journal of Accounting and Economics, Elsevier, vol. 72(1).
    29. Ahn,Jaebin & Choi,Jaerim & Chung,Sunghoon, 2022. "Labor Market Rigidity at Home and Multinational Corporations’ Flexible Task Reallocation Abroad," Policy Research Working Paper Series 10114, The World Bank.
    30. Chen, Feng-Wen & Xu, Jingwei & Wang, Jiang & Li, Zhilong & Wu, Yongqiu, 2023. "Do rising labour costs promote technology upgrading? A novel theoretical hypothesis of an inverted U-shaped relationship," Structural Change and Economic Dynamics, Elsevier, vol. 66(C), pages 327-341.
    31. Kong, Dongmin & Qin, Ni & Xiang, Junyi, 2021. "Minimum wage and entrepreneurship: Evidence from China," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 320-336.
    32. Huang,Zhangkai & Liu,Jinyu & Ma,Guangrong & Xu,L. Colin, 2020. "The Transformative Effects of Privatization in China : A Natural Experiment Based on Politician Career Concern," Policy Research Working Paper Series 9261, The World Bank.
    33. Huang, Yi & Sheng, Liugang & Wang, Gewei, 2021. "How did rising labor costs erode China’s global advantage?," Journal of Economic Behavior & Organization, Elsevier, vol. 183(C), pages 632-653.
    34. Zhao, Lei & Li, Na & Wu, Yanjun, 2023. "Institutional investors' site visits, information asymmetry, and investment efficiency," International Review of Financial Analysis, Elsevier, vol. 88(C).
    35. Li, Xiaoying & Shi, Dongbo & Zhou, Sifan, 2023. "The minimum wage and the locations of new business entries in China: Estimates based on a refined border approach," Regional Science and Urban Economics, Elsevier, vol. 99(C).
    36. Fan, Haichao & Hu, Yichuan & Tang, Lixin, 2021. "Labor costs and the adoption of robots in China," Journal of Economic Behavior & Organization, Elsevier, vol. 186(C), pages 608-631.
    37. Chu, Angus C. & Furukawa, Yuichi & Kou, Zonglai & Liu, Xueyue, 2019. "Effects of Minimum Wage on Import and Innovation: Theory and Evidence from China," MPRA Paper 97008, University Library of Munich, Germany.

  9. Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.

    Cited by:

    1. Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
    2. Christina Brinkmann, 2023. "Differentiation in Risk Profiles," CRC TR 224 Discussion Paper Series crctr224_2023_444, University of Bonn and University of Mannheim, Germany.
    3. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
    4. Khetan, Umang & Neamțu, Ioana & Sen, Ishita, 2023. "The market for sharing interest rate risk: quantities behind prices," Bank of England working papers 1031, Bank of England.
    5. Daisuke Miyakawa & Takemasa Oda & Taihei Sone, 2023. "Regulatory Reforms and Price Heterogeneity in an OTC Derivative Market," Bank of Japan Working Paper Series 23-E-12, Bank of Japan.
    6. Cenedese, Gino & Ranaldo, Angelo & Vasios, Michalis, 2018. "OTC premia," Bank of England working papers 751, Bank of England.
    7. Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
    8. Ingomar Krohn & Vladyslav Sushko, 2020. "FX spot and swap market liquidity spillovers," BIS Working Papers 836, Bank for International Settlements.
    9. Daniel Neuhann & Michael Sockin, 2019. "Risk-Sharing and Investment in Concentrated Markets," 2019 Meeting Papers 118, Society for Economic Dynamics.
    10. Fontana, Silvia Dalla & Holz auf der Heide, Marco & Pelizzon, Loriana & Scheicher, Martin, 2019. "The anatomy of the euro area interest rate swap market," SAFE Working Paper Series 255, Leibniz Institute for Financial Research SAFE.
    11. Delis, Manthos & Politsidis, Panagiotis & Sarno, Lucio, 2018. "Foreign currency lending," MPRA Paper 88197, University Library of Munich, Germany.
    12. Puriya Abbassi & Falk Bräuning, 2018. "The pricing of FX forward contracts: micro evidence from banks’ dollar hedging," Working Papers 18-6, Federal Reserve Bank of Boston.
    13. Fiedor, Pawel & Killeen, Neill, 2019. "Securitisation special purpose entities, bank sponsors and derivatives," Research Technical Papers 5/RT/19, Central Bank of Ireland.
    14. Camila Casas & Sergii Meleshchuk & Yannick Timmer, 2022. "The Dominant Currency Financing Channel of External Adjustment," International Finance Discussion Papers 1343, Board of Governors of the Federal Reserve System (U.S.).
    15. Jukonis, Audrius, 2022. "Evaluating market risk from leveraged derivative exposures," Working Paper Series 2722, European Central Bank.
    16. Gerba, Eddie & Katsoulis, Petros, 2021. "The repo market under Basel III," Bank of England working papers 954, Bank of England.
    17. John M. Griffin & Nicholas Hirschey & Samuel Kruger, 2023. "Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?," Journal of Finance, American Finance Association, vol. 78(2), pages 887-934, April.
    18. Wang, Chaojun, 2023. "The limits of multi-dealer platforms," Journal of Financial Economics, Elsevier, vol. 149(3), pages 434-450.
    19. Andreas Schrimpf & Vladyslav Sushko, 2019. "FX trade execution: complex and highly fragmented," BIS Quarterly Review, Bank for International Settlements, December.
    20. Opie, Wei & Riddiough, Steven J., 2020. "Global currency hedging with common risk factors," Journal of Financial Economics, Elsevier, vol. 136(3), pages 780-805.
    21. Jurkatis, Simon & Schrimpf, Andreas & Todorov, Karamfil & Vause, Nicholas, 2023. "Relationship discounts in corporate bond trading," Bank of England working papers 1049, Bank of England.

  10. Heng GENG & Harald HAU & Sandy LAI, 2015. "Technological Progress and Ownership Structure," Swiss Finance Institute Research Paper Series 15-39, Swiss Finance Institute.

    Cited by:

    1. Melisa Newham & Jo Seldeslachts & Albert Banal-Estañol, 2018. "Common ownership and market entry: Evidence from the pharmaceutical industry," Economics Working Papers 1612, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Edward L. Glaeser, 2016. "Real Estate Bubbles and Urban Development," NBER Working Papers 22997, National Bureau of Economic Research, Inc.
    3. Giuli, Alberta Di & Karmaziene, Egle & Sekerci, Naciye, 2021. "Common ownership and firm dividend policies," Finance Research Letters, Elsevier, vol. 40(C).
    4. Colonnello, Stefano & Efing, Matthias & Zucchi, Francesca, 2019. "Shareholder bargaining power and the emergence of empty creditors," Journal of Financial Economics, Elsevier, vol. 134(2), pages 297-317.
    5. Vives, Xavier & Azar, José, 2020. "General Equilibrium Oligopoly and Ownership Structure," CEPR Discussion Papers 15499, C.E.P.R. Discussion Papers.
    6. Vives, Xavier, 2020. "Common ownership, market power, and innovation," International Journal of Industrial Organization, Elsevier, vol. 70(C).

  11. Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo.

    Cited by:

    1. Taylor, Alan M. & Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz, 2023. "Loose monetary policy and financial instability," CEPR Discussion Papers 17896, C.E.P.R. Discussion Papers.
    2. Kent Daniel & Lorenzo Garlappi & Kairong Xiao, 2021. "Monetary Policy and Reaching for Income," Journal of Finance, American Finance Association, vol. 76(3), pages 1145-1193, June.
    3. Arina Wischnewsky & Matthias Neuenkirch, 2018. "Shadow Banks and the Risk-Taking Channel of Monetary Policy Transmission in the Euro Area," Research Papers in Economics 2018-03, University of Trier, Department of Economics.
    4. Ayelen Banegas & Gabriel Montes-Rojas & Lucas Siga, 2016. "Mutual Fund Flows, Monetary Policy and Financial Stability," Finance and Economics Discussion Series 2016-071, Board of Governors of the Federal Reserve System (U.S.).
    5. Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
    6. Albertazzi, Ugo & Barbiero, Francesca & Marqués-Ibáñez, David & Popov, Alexander & Rodriguez d’Acri, Costanza & Vlassopoulos, Thomas, 2020. "Monetary policy and bank stability: the analytical toolbox reviewed," Working Paper Series 2377, European Central Bank.
    7. Kaufmann, Christoph, 2021. "Investment funds, monetary policy, and the global financial cycle," ESRB Working Paper Series 119, European Systemic Risk Board.
    8. Chen, Minghua & Wu, Ji & Jeon, Bang Nam & Wang, Rui, 2017. "Monetary policy and bank risk-taking: Evidence from emerging economies," Emerging Markets Review, Elsevier, vol. 31(C), pages 116-140.
    9. Jannic Cutura & Gianpaolo Parise & Andreas Schrimpf, 2020. "Debt De-risking," BIS Working Papers 868, Bank for International Settlements.
    10. Giovanna Bua & Peter G. Dunne, 2019. "The Portfolio Rebalancing Effects of the ECB's Asset Purchase Programme," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 1-46, December.
    11. Konradt, Maximilian, 2023. "Do pension funds reach for yield? Evidence from a new database," MPRA Paper 116209, University Library of Munich, Germany.
    12. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2018. "Determinants of equity mutual fund flows – Evidence from the fund flow dynamics between Hong Kong and global markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 231-247.
    13. Agnieszka Zawadzka & Małgorzata Grzywińska‐Rąpca, 2023. "Financial savings structure—Eurozone and Visegrad Group," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 699-717, January.
    14. Gilbert Colletaz & Grégory Levieuge & Alexandra Popescu, 2018. "Monetary policy and long-run systemic risk-taking," Post-Print hal-02162296, HAL.
    15. John Ammer & Alexandra Tabova & Caleb Wroblewski, 2018. "Searching for yield abroad: risk-taking through foreign investment in U.S. bonds," BIS Working Papers 687, Bank for International Settlements.
    16. Ammer, John & Claessens, Stijn & Tabova, Alexandra & Wroblewski, Caleb, 2019. "Home country interest rates and international investment in U.S. bonds," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 212-227.
    17. Derrick W. H. Fung & David Jou & Ai Ju Shao & Jason J. H. Yeh, 2021. "The informativeness of embedded value reporting to stock price," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5341-5376, December.
    18. Filippo Gori, 2016. "Disentangling the Monetary Policy Stance," Bank of Lithuania Working Paper Series 27, Bank of Lithuania.
    19. Tim A Kroencke & Maik Schmeling & Andreas Schrimpf, 2015. "Global Asset Allocation Shifts," BIS Working Papers 497, Bank for International Settlements.
    20. Banegas, Ayelen & Montes-Rojas, Gabriel & Siga, Lucas, 2022. "The effects of U.S. monetary policy shocks on mutual fund investing," Journal of International Money and Finance, Elsevier, vol. 123(C).
    21. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).
    22. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2018. "The portfolio of euro area fund investors and ECB monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 103-126.
    23. Cenedese, Gino & Elard, Ilaf, 2018. "Unconventional monetary policy and the portfolio choice of international mutual funds," Bank of England working papers 705, Bank of England.
    24. Lin, Shu & Xiao, Jinchuan & Ye, Haichun, 2020. "Disguised carry trade and the transmission of global liquidity shocks: Evidence from China’s goods trade data," Journal of International Money and Finance, Elsevier, vol. 104(C).
    25. Giuzio, Margherita & Kaufmann, Christoph & Ryan, Ellen & Cappiello, Lorenzo, 2021. "Investment funds, risk-taking, and monetary policy in the euro area," Working Paper Series 2605, European Central Bank.
    26. Nikolaos Petrakis & Christos Lemonakis & Christos Floros & Constantin Zopounidis, 2022. "Greek Banking Sector Stock Reaction to ECB’s Monetary Policy Interventions," JRFM, MDPI, vol. 15(10), pages 1-19, October.
    27. Kaufmann, Christoph & Leyva, Jaime & Storz, Manuela, 2024. "Insurance corporations’ balance sheets, financial stability and monetary policy," Working Paper Series 2892, European Central Bank.
    28. John Ammer & Stijn Claessens & Alexandra M. Tabova & Caleb Wroblewski, 2018. "Searching for Yield Abroad : Risk-Taking Through Foreign Investment in U.S. Bonds," International Finance Discussion Papers 1224, Board of Governors of the Federal Reserve System (U.S.).
    29. Warinthip Worasak & Nuwat Nookhwun & Pongpitch Amatyakul, 2022. "Monetary Policy and Risk-Taking: Evidence from Thai Corporate Bond Markets," PIER Discussion Papers 186, Puey Ungphakorn Institute for Economic Research.
    30. Kim, Hugh Hoikwang, 2020. "Information spillover of bailouts," Journal of Financial Intermediation, Elsevier, vol. 43(C).
    31. Gilbert COLLETAZ & Grégory LEVIEUGE & Alexandra POPESCU, 2016. "Monetary Policy and Long-Run Risk-Taking," LEO Working Papers / DR LEO 2409, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    32. Fang, Yi & Shao, Zhiquan & Zhao, Yang, 2023. "Risk spillovers in global financial markets: Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 821-840.

  12. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," CESifo Working Paper Series 4984, CESifo.

    Cited by:

    1. Allen, Jason & Thompson, James R., 2019. "Variable pay: Is it for the worker or the firm?," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 551-566.
    2. Cerasi, Vittoria & Deininger, Sebastian M. & Gambacorta, Leonardo & Oliviero, Tommaso, 2020. "How post-crisis regulation has affected bank CEO compensation," Journal of International Money and Finance, Elsevier, vol. 104(C).
    3. Ariell Reshef & Hamid Boustanifar & Everett Grant, 2017. "Wages and Human Capital in Finance: International Evidence, 1970–2011," PSE-Ecole d'économie de Paris (Postprint) hal-01472400, HAL.
    4. Sorravich Kingsuwankul & Chloe Tergiman & Marie Claire Villeval, 2023. "Why do oaths work? Image concerns and credibility in promise keeping," Working Papers 2316, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    5. Gersbach, Hans & Aptus, Elias & Britz, Volker, 2016. "On the Economics of Crisis Contracts," CEPR Discussion Papers 11267, C.E.P.R. Discussion Papers.
    6. Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet, 2019. "Bank Bonus Pay as a Risk Sharing Contract," CESifo Working Paper Series 7495, CESifo.
    7. Harkin, Sean M. & Mare, Davide S. & Crook, Jonathan N., 2017. "Average Pay in Banks: Do Agency Problems and Bank Performance Matter?," MPRA Paper 81249, University Library of Munich, Germany.
    8. Udo Milkau, 2017. "Risk Culture during the Last 2000 Years—From an Aleatory Society to the Illusion of Risk Control," IJFS, MDPI, vol. 5(4), pages 1-20, December.
    9. Larry D. Wall, 2019. "Is Stricter Regulation of Incentive Compensation the Missing Piece?," FRB Atlanta Working Paper 2019-6, Federal Reserve Bank of Atlanta.
    10. Colonnello, Stefano & Koetter, Michael & Wagner, Konstantin, 2020. "Effectiveness and (in)efficiencies of compensation regulation: Evidence from the EU banker bonus cap," IWH Discussion Papers 7/2018, Halle Institute for Economic Research (IWH), revised 2020.
    11. Axel Wieneke, 2016. "Better Financial Innovation via Innovative Finance of Supervisors," Economic Papers, The Economic Society of Australia, vol. 35(1), pages 16-23, March.
    12. Gietl, Daniel, 2018. "Overconfidence and Bailouts," Rationality and Competition Discussion Paper Series 132, CRC TRR 190 Rationality and Competition.
    13. Stieglitz, Moritz & Wagner, Konstantin, 2020. "Marginal returns to talent for material risk takers in banking," IWH Discussion Papers 20/2020, Halle Institute for Economic Research (IWH).
    14. Thanassoulis, John & Morrison, Alan, 2017. "Ethical standards and cultural assimilation in financial services," CEPR Discussion Papers 12060, C.E.P.R. Discussion Papers.
    15. Gietl, Daniel & Haufler, Andreas, 2018. "Bonus taxes and international competition for bank managers," European Economic Review, Elsevier, vol. 110(C), pages 41-60.
    16. Surajeet Chakravarty & Sumedh Dalwai & Pradeep Kumar, 2020. "Incentives and Performance of Agents in a Microfinance Bank," Discussion Papers 2002, University of Exeter, Department of Economics.
    17. Elias Aptus & Volker Britz & Hans Gersbach, 2020. "Crisis Contracts," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(1), pages 121-164, July.
    18. Jason Allen & James R. Thompson, 2016. "Capital Structure, Pay Structure and Job Termination," Staff Working Papers 16-12, Bank of Canada.
    19. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2015. "The Dose Makes the Poison – an Analysis of the Influence of Bonus Payments on Profitability and Risk-Taking by Banks," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(03), pages 23-31, February.
    20. Colonnello, Stefano & Koetter, Michael & Wagner, Konstantin, 2023. "Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    21. Christina Atanasova & Mingxin Li & Yevgeny Mugerman & Mehrdad Rastan, 2019. "Government guarantees and the risk-taking of financial institutions: evidence from a regulatory experiment," Journal of Asset Management, Palgrave Macmillan, vol. 20(6), pages 476-492, October.
    22. Hamid Boustanifar & Everett Grant & Ariell Reshef, 2016. "Wages and human capital in finance: international evidence, 1970-2005," Globalization Institute Working Papers 266, Federal Reserve Bank of Dallas.

  13. Matthias Efing & Harald Hau, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," Swiss Finance Institute Research Paper Series 13-21, Swiss Finance Institute.

    Cited by:

    1. Kempf, Elisabeth, 2020. "The job rating game: Revolving doors and analyst incentives," Journal of Financial Economics, Elsevier, vol. 135(1), pages 41-67.
    2. Morkoetter, Stefan & Stebler, Roman & Westerfeld, Simone, 2015. "Competition in the Credit Rating Industry: Benefits for Investors and Issuers," Working Papers on Finance 1505, University of St. Gallen, School of Finance, revised Feb 2016.
    3. Jed J. Neilson & Stephen G. Ryan & K. Philip Wang & Biqin Xie, 2022. "Asset‐Level Transparency and the (E)valuation of Asset‐Backed Securities," Journal of Accounting Research, Wiley Blackwell, vol. 60(3), pages 1131-1183, June.
    4. Kempf, Elisabeth, 2017. "The Job Rating Game: The Effects of Revolving Doors on Analyst Incentives," Working Papers 258, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    5. Brunnermeier, Markus K. & Langfield, Sam & Pagano, Marco & Reis, Ricardo & Nieuwerburgh, Stijn Van & Vayanos, Dimitri, 2016. "ESBies: safety in the tranches," LSE Research Online Documents on Economics 86221, London School of Economics and Political Science, LSE Library.
    6. Martin Kuncl, 2016. "Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases," Staff Working Papers 16-46, Bank of Canada.
    7. Mariassunta Giannetti & José María Liberti & Jason Sturgess, 2017. "Information Sharing and Rating Manipulation," The Review of Financial Studies, Society for Financial Studies, vol. 30(9), pages 3269-3304.
    8. Wai Choi Lee & Jianfu Shen & Tsun Se Cheong & Michal Wojewodzki, 2021. "Detecting conflicts of interest in credit rating changes: a distribution dynamics approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-23, December.
    9. Solomon Y. Deku & Alper Kara & Nodirbek Karimov, 2021. "Do investors value frequent issuers in securitization?," Review of Quantitative Finance and Accounting, Springer, vol. 57(4), pages 1247-1282, November.
    10. Deena Zaidi, 2015. "Eurozone Debt Crisis and Regulation of Credit Rating Agencies," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 99-111.
    11. Efing, Matthias, 2016. "Arbitraging the Basel securitization framework: Evidence from German ABS investment," ESRB Working Paper Series 22, European Systemic Risk Board.
    12. Nguyen, Quan M.P. & Do, Hung Xuan & Molchanov, Alexander & Nguyen, Lily & Nguyen, Nhut H., 2023. "Political similarities in credit ratings," International Review of Financial Analysis, Elsevier, vol. 86(C).
    13. Baghai, Ramin P. & Becker, Bo, 2020. "Reputations and credit ratings: Evidence from commercial mortgage-backed securities," Journal of Financial Economics, Elsevier, vol. 135(2), pages 425-444.
    14. Kilian R. Dinkelaker & Andreas-Walter Mattig & Stefan Morkoetter, 2019. "A Closer Look at Credt Rating Processes: Uncovering the Impact of Analyst Rotation," Working Papers on Finance 1911, University of St. Gallen, School of Finance.
    15. Abidi, Nordine & Falagiarda, Matteo & Miquel-Flores, Ixart, 2023. "Quantitative easing and credit rating agencies," International Review of Financial Analysis, Elsevier, vol. 86(C).
    16. Michael R. King & Steven Ongena & Nikola Tarashev, 2020. "Bank Standalone Credit Ratings," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 101-144, September.
    17. Darmouni, Olivier & Papoutsi, Melina, 2022. "The rise of bond financing in Europe: five facts about new and small issuers," Working Paper Series 2663, European Central Bank.
    18. Baghai, Ramin P. & Becker, Bo, 2018. "Non-rating revenue and conflicts of interest," Journal of Financial Economics, Elsevier, vol. 127(1), pages 94-112.
    19. John M Griffin & Jordan Nickerson, 2023. "Are CLO Collateral and Tranche Ratings Disconnected?," The Review of Financial Studies, Society for Financial Studies, vol. 36(6), pages 2319-2360.
    20. Sirio Aramonte & Frank Packer, 2022. "Information governance in sustainable finance," BIS Papers, Bank for International Settlements, number 132.
    21. Solomon Y. Deku & Alper Kara & Artur Semeyutin, 2021. "The predictive strength of MBS yield spreads during asset bubbles," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 111-142, January.
    22. Angerer, Martin & Herrmann-Romero, Matthias & Szymczak, Wiebke, 2022. "Losing funds or losing face? Reputation and accountability in the credit rating industry," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    23. Faiza Sajjad & Muhammad Zakaria, 2018. "Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure," JRFM, MDPI, vol. 11(2), pages 1-16, May.
    24. Samuel B. Bonsall & Kevin Koharki & Pepa Kraft & Karl A. Muller & Anywhere Sikochi, 2023. "Do Rating Agencies Behave Defensively for Higher Risk Issuers?," Management Science, INFORMS, vol. 69(8), pages 4864-4887, August.
    25. Paseda, Oluseun & Olowe, Rufus, 2018. "The Debt Maturity Structure of Nigerian Quoted Firms," MPRA Paper 117061, University Library of Munich, Germany, revised 30 Jun 2018.
    26. Deku, Solomon Y. & Kara, Alper & Zhou, Yifan, 2019. "Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature," International Review of Financial Analysis, Elsevier, vol. 61(C), pages 245-254.

  14. Peter G. Dunne & Harald Hau & Michael Moore, 2012. "Dealer Intermediation between Markets," Swiss Finance Institute Research Paper Series 12-29, Swiss Finance Institute.

    Cited by:

    1. Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
    2. Jason Allen & Milena Wittwer, 2021. "Centralizing Over-the-Counter Markets?," Staff Working Papers 21-39, Bank of Canada.
    3. Artem Neklyudov, 2019. "Bid-Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 33, pages 57-84, July.
    4. Kathi Schlepper & Heiko Hofer & Ryan Riordan & Andreas Schrimpf, 2017. "Scarcity effects of QE: A transaction-level analysis in the Bund market," BIS Working Papers 625, Bank for International Settlements.
    5. Yu An & Zeyu Zheng, 2023. "Immediacy Provision and Matchmaking," Management Science, INFORMS, vol. 69(2), pages 1245-1263, February.
    6. de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2019. "OTC discount," Discussion Papers 42/2019, Deutsche Bundesbank.
      • de Roure, Calebe & Mönch, Emanuel & Pelizzon, Loriana & Schneider, Michael, 2021. "OTC discount," SAFE Working Paper Series 298, Leibniz Institute for Financial Research SAFE, revised 2021.
    7. Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
    8. Pierre Collin‐Dufresne & Benjamin Junge & Anders B. Trolle, 2020. "Market Structure and Transaction Costs of Index CDSs," Journal of Finance, American Finance Association, vol. 75(5), pages 2719-2763, October.
    9. Foucault, Thierry & Colliard, Jean-Edouard & Hoffmann, Peter, 2018. "Inventory Management, Dealers' Connections, and Prices in OTC Markets," CEPR Discussion Papers 13093, C.E.P.R. Discussion Papers.
    10. Kryzanowski, Lawrence & Perrakis, Stylianos & Zhong, Rui, 2021. "Financial oligopolies and parallel exclusion in the credit default swap markets," Journal of Financial Markets, Elsevier, vol. 56(C).
    11. Gehde-Trapp, Monika & Gündüz, Yalin & Nasev, Julia, 2015. "The liquidity premium in CDS transaction prices: Do frictions matter?," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 184-205.
    12. Benos, Evangelos & Žikeš, Filip, 2018. "Funding constraints and liquidity in two-tiered OTC markets," Journal of Financial Markets, Elsevier, vol. 39(C), pages 24-43.
    13. Michael Moore & Andreas Schrimpf & Vladyslav Sushko, 2016. "Downsized FX markets: causes and implications," BIS Quarterly Review, Bank for International Settlements, December.
    14. Claudio Impenna & Paola Paiardini, 2019. "Informed trading in a two-tier market structure under financial distress," Discussion Papers 19-06, Department of Economics, University of Birmingham.
    15. Jean‐Edouard Colliard & Thierry Foucault & Peter Hoffmann, 2021. "Inventory Management, Dealers' Connections, and Prices in Over‐the‐Counter Markets," Journal of Finance, American Finance Association, vol. 76(5), pages 2199-2247, October.
    16. Clancy, Daragh & Dunne, Peter G. & Filiani, Pasquale, 2019. "Liquidity and tail-risk interdependencies in the euro area sovereign bond market," Research Technical Papers 11/RT/19, Central Bank of Ireland.
    17. Rod Garratt & Michael Junho Lee & Antoine Martin & Robert M. Townsend, 2019. "Who Sees the Trades? The Effect of Information on Liquidity in Inter-Dealer Markets," Staff Reports 892, Federal Reserve Bank of New York.
    18. Pierre Collin-Dufresne & Benjamin Junge & Anders B. Trolle, 2018. "Market Structure and Transaction Costs of Index CDSs," Swiss Finance Institute Research Paper Series 18-40, Swiss Finance Institute.

  15. Harald Hau, 2012. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," Swiss Finance Institute Research Paper Series 12-07, Swiss Finance Institute.

    Cited by:

    1. Rasmus Fatum & Yohei Yamamoto & Guozhong Zhu, 2016. "Is the Renminbi a safe haven?," Globalization Institute Working Papers 276, Federal Reserve Bank of Dallas.
    2. Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020. "Winners and Losers from Sovereign Debt Inflows," CSEF Working Papers 562, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    3. Xin Yang & Shigang Wen & Zhifeng Liu & Cai Li & Chuangxia Huang, 2019. "Dynamic Properties of Foreign Exchange Complex Network," Mathematics, MDPI, vol. 7(9), pages 1-19, September.
    4. Naveed, Hafiz Muhammad & HongXing, Yao & Memon, Bilal Ahmed & Ali, Shoaib & Alhussam, Mohammed Ismail & Sohu, Jan Muhammad, 2023. "Artificial neural network (ANN)-based estimation of the influence of COVID-19 pandemic on dynamic and emerging financial markets," Technological Forecasting and Social Change, Elsevier, vol. 190(C).
    5. David Gray, 2014. "Central European foreign exchange markets: a cross-spectral analysis of the 2007 financial crisis," The European Journal of Finance, Taylor & Francis Journals, vol. 20(6), pages 550-567, June.
    6. Du, Jiangze & Wang, Jying-Nan & Hsu, Yuan-Teng & Lai, Kin Keung, 2018. "The importance of hedging currency risk: Evidence from CNY and CNH," Economic Modelling, Elsevier, vol. 75(C), pages 81-92.

  16. Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).

    Cited by:

    1. Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
    2. Louhichi, Awatef & Boujelbene, Younes, 2017. "Bank capital, lending and financing behaviour of dual banking systems," Journal of Multinational Financial Management, Elsevier, vol. 41(C), pages 61-79.
    3. Matthias Efing & Harald Hau, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," Swiss Finance Institute Research Paper Series 13-21, Swiss Finance Institute.
    4. Merrouche, Ouarda & Karam, Philippe & Turk, Rima & Souissi, Moez, 2014. "The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades," CEPR Discussion Papers 10252, C.E.P.R. Discussion Papers.
    5. Giovanni Ferri & Panu Kalmi & Eeva Kerola, 2014. "Organizational Structure and Exposure to Crisis among European Banks: Evidence from Rating Changes," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 35-55, June.
    6. Oana Toader, 2015. "Estimating the impact of higher capital requirements on the cost of equity: an empirical study of European banks," International Economics and Economic Policy, Springer, vol. 12(3), pages 411-436, September.
    7. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022. "The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation," European Economic Review, Elsevier, vol. 150(C).
    8. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017. "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, vol. 49(2), pages 194-210.
    9. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    10. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
    11. Parrado-Martínez, Purificación & Gómez-Fernández-Aguado, Pilar & Partal-Ureña, Antonio, 2019. "Factors influencing the European bank’s probability of default: An application of SYMBOL methodology," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 223-240.
    12. Toader, Oana, 2015. "Quantifying and explaining implicit public guarantees for European banks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 136-147.
    13. CUREA-PITORAC Ruxandra Ioana, 2020. "An Inquiry On Top Banks By Tier 1 Ranking From Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 64-73, December.
    14. Volkova, Olga (Волкова, Ольга) & Lvova, Irina (Львова, Ирина), 2016. "The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model [Влияние Финансовых Показателей На Международные Рейтинги Российских Банков]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 177-195, February.
    15. Weder di Mauro, Beatrice & Bartels, Bernhard, 2013. "A Rating Agency for Europe ? A good idea?," CEPR Discussion Papers 9512, C.E.P.R. Discussion Papers.
    16. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
    17. Jeon, Doh-Shin & Lovo, Stefano, 2013. "Credit Rating Industry: a Helicopter Tour of Stylized Facts and Recent Theories," TSE Working Papers 13-376, Toulouse School of Economics (TSE).
    18. Michael R. King & Steven Ongena & Nikola Tarashev, 2020. "Bank Standalone Credit Ratings," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 101-144, September.
    19. Pilar Gómez-Fernández-Aguado & Purificación Parrado-Martínez & Antonio Partal-Ureña, 2018. "Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach," Sustainability, MDPI, vol. 10(4), pages 1-16, April.
    20. Dimitris Christelis & Sébastien Pérez-Duarte, 2013. "The euro system household finance and consumption survey: an important resource for policy-makers and researchers," Research Bulletin, European Central Bank, vol. 19, pages 13-17.
    21. Marcin Borsuk & Błażej Lepczyński, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
    22. Borsuk, Marcin & Lepczyński, Błażej, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(1), March.
    23. Jowita Grzelak, 2019. "Determinants of Central Eastern European Banks’ Adequacy Risk (Determinanty ryzyka adekwatnosci kapitalowej banków Europy Srodkowo-Wschodniej)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(30), pages 20-30.
    24. Košak, Marko & Li, Shaofang & Lončarski, Igor & Marinč, Matej, 2015. "Quality of bank capital and bank lending behavior during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 168-183.
    25. Poghosyan, Tigran & Werger, Charlotte & de Haan, Jakob, 2016. "Size and support ratings of US banks," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 236-247.
    26. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Efterpi Doumpa & Maria Stefanidou, 2020. "Forecasting Credit Ratings of EU Banks," IJFS, MDPI, vol. 8(3), pages 1-15, August.
    27. Robert N McCauley, 2018. "The 2008 crisis: transpacific or transatlantic?," BIS Quarterly Review, Bank for International Settlements, December.
    28. Dorota Krol, 2019. "Analysis of Factors Determining the Credit Rating of Banks from Western European Countries (Analiza czynników determinujacych rating kredytowy bankow z krajow Europy Zachodniej)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(30), pages 43-55.
    29. Mr. Philippe D Karam & Ouarda Merrouche & Moez Souissi & Ms. Rima A Turk, 2014. "The Transmission of Liquidity Shocks: The Role of Internal Capital Markets and Bank Funding Strategies," IMF Working Papers 2014/207, International Monetary Fund.
    30. Gabriela Kuvikova, 2015. "Credit Ratings and Their Information Value: Evidence from the Recent Financial Crisis," CERGE-EI Working Papers wp544, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    31. Ardit Gjeçi & Matej Marinč & Vasja Rant, 2023. "Non-performing loans and bank lending behaviour," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-26, March.
    32. Camba-Méndez, Gonzalo & Rodriguez-Palenzuela, Diego & Carbó-Valverde, Santiago, 2014. "Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach," Working Paper Series 1741, European Central Bank.
    33. Oussama Ben Hmiden & Tanguy Meigné, 2018. "The impact of bank rating changes on lending in major European banks," Economics Bulletin, AccessEcon, vol. 38(1), pages 638-649.
    34. Juan Ayuso & Roberto Blanco, 2013. "The 2007- Financial Crisis - a EURO-pean Perspective," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 12, pages 415-444, SUERF - The European Money and Finance Forum.
    35. Meriläinen, Jari-Mikko & Junttila, Juha, 2020. "The relationship between credit ratings and asset liquidity: Evidence from Western European banks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    36. Philipp Hartmann & Kirstin Hubrich & Manfred Kremer, 2013. "Introducing Systemic Financial instability into macroeconomics: how to meet the challenge?," Research Bulletin, European Central Bank, vol. 19, pages 2-9.
    37. Patrycja Chodnicka Jaworska, "undated". "Prediction Of Banking Sector Condition," Review of Socio - Economic Perspectives 201703, Reviewsep.
    38. Jiri Slacalek, 2013. "Wealth heterogeneity and the response of consumption to shocks," Research Bulletin, European Central Bank, vol. 19, pages 10-12.
    39. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.

  17. Hau, Harald & Lai, Sandy, 2012. "Real Effects of Stock Underpricing," CEPR Discussion Papers 8820, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dong, Ming & Hirshleifer, David & Teoh, Siew Hong, 2021. "Misvaluation and Corporate Inventiveness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(8), pages 2605-2633, December.
    2. Kusnadi, Yuanto & Wei, K.C. John, 2017. "The equity-financing channel, the catering channel, and corporate investment: International evidence," Journal of Corporate Finance, Elsevier, vol. 47(C), pages 236-252.
    3. Goldstein, Itay & Jiang, Hao & Ng, David T., 2017. "Investor flows and fragility in corporate bond funds," Journal of Financial Economics, Elsevier, vol. 126(3), pages 592-613.
    4. Winkler, Fabian, 2020. "The role of learning for asset prices and business cycles," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 42-58.
    5. Shen, Huayu & Zheng, Shaofeng & Xiong, Hao & Tang, Wenjie & Dou, Jiachun & Silverman, Henry, 2021. "Stock market mispricing and firm innovation based on path analysis," Economic Modelling, Elsevier, vol. 95(C), pages 330-343.
    6. Ding Du & Ou Hu, 2020. "Why does stock-market investor sentiment influence corporate investment?," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1221-1246, May.
    7. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Journal of Finance, American Finance Association, vol. 75(5), pages 2503-2553, October.
    8. Fricke, Daniel & Wilke, Hannes, 2020. "Connected funds," Discussion Papers 48/2020, Deutsche Bundesbank.
    9. Jiang, Jinglin & Nanda, Vikram & Xiao, Steven Chong, 2021. "Stock-market disruptions and corporate disclosure policies," Journal of Corporate Finance, Elsevier, vol. 66(C).
    10. Lai, Shaojie & Li, Xiaorong & Liu, Shiang & Wang, Qing Sophie, 2022. "Institutional investors’ site visits and corporate employment decision-making," Journal of Contemporary Accounting and Economics, Elsevier, vol. 18(3).
    11. Ning Jia & Arun Rai & Sean Xin Xu, 2020. "Reducing Capital Market Anomaly: The Role of Information Technology Using an Information Uncertainty Lens," Management Science, INFORMS, vol. 66(2), pages 979-1001, February.
    12. Choi, Jaewon & Hoseinzade, Saeid & Shin, Sean Seunghun & Tehranian, Hassan, 2020. "Corporate bond mutual funds and asset fire sales," Journal of Financial Economics, Elsevier, vol. 138(2), pages 432-457.
    13. Wagner, Alexander F. & Glossner, Simon & Matos, Pedro Pinto & Ramelli, Stefano, 2022. "Do institutional investors stabilize equity markets in crisis periods? Evidence from COVID-19," CEPR Discussion Papers 15070, C.E.P.R. Discussion Papers.
    14. Belke, Ansgar & Beckmann, Joscha, 2015. "Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 254-265.
    15. Kubitza, Christian, 2021. "Investor-driven corporate finance: Evidence from insurance markets," ICIR Working Paper Series 43/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    16. Pengjie Gao & Dong Lou, "undated". "Cross-Market Timing in Security Issuance," FMG Discussion Papers dp718, Financial Markets Group.
    17. Pitkäjärvi, Aleksi & Suominen, Matti & Vaittinen, Lauri, 2020. "Cross-asset signals and time series momentum," Journal of Financial Economics, Elsevier, vol. 136(1), pages 63-85.
    18. Campbell R. Harvey & Yan Liu, 2022. "Luck versus Skill in the Cross Section of Mutual Fund Returns: Reexamining the Evidence," Journal of Finance, American Finance Association, vol. 77(3), pages 1921-1966, June.
    19. Lubos Pastor & Robert F. Stambaugh & Lucian A. Taylor, 2019. "Sustainable Investing in Equilibrium," NBER Working Papers 26549, National Bureau of Economic Research, Inc.
    20. Dasgupta, Amil & Choi, Jaewon & Oh, Ji Yeol Jimmy, 2019. "Bond Funds and Credit Risk," CEPR Discussion Papers 14134, C.E.P.R. Discussion Papers.
    21. Johan Sulaeman & Kelsey D. Wei, 2019. "Sell-Side Analysts and Stock Mispricing: Evidence from Mutual Fund Flow-Driven Trading Pressure," Management Science, INFORMS, vol. 65(11), pages 5427-5448, November.
    22. Shaw, Frances & Dunne, Peter G., 2017. "Investment Fund Risk: The Tale in the Tails," Research Technical Papers 01/RT/17, Central Bank of Ireland.
    23. Steven Chong Xiao, 2020. "Do Noisy Stock Prices Impede Real Efficiency?," Management Science, INFORMS, vol. 66(12), pages 5990-6014, December.
    24. Im, Hyun Joong & Liu, Jia & Park, Young Joon, 2021. "Policy uncertainty and peer effects: Evidence from corporate investment in China," International Review of Financial Analysis, Elsevier, vol. 77(C).
    25. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
    26. Beck, Thorsten & Carletti, Elena & Goldstein, Itay, 2016. "Financial Regulation in Europe: Foundations and Challenges," CEPR Discussion Papers 11147, C.E.P.R. Discussion Papers.
    27. Nina Boyarchenko & Lars C. Larsen & Paul Whelan, 2020. "The Overnight Drift," Staff Reports 917, Federal Reserve Bank of New York.
    28. Patrice Fontaine & Sujiao Zhao, 2021. "Suppliers as financial intermediaries: Trade credit for undervalued firms," Post-Print hal-03507994, HAL.
    29. Pawel Maryniak & Rafal Weron, 2017. "Habitat momentum," HSC Research Reports HSC/17/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    30. Gilje, Erik P. & Gormley, Todd A. & Levit, Doron, 2020. "Who's paying attention? Measuring common ownership and its impact on managerial incentives," Journal of Financial Economics, Elsevier, vol. 137(1), pages 152-178.
    31. Edmans, Alex & Holderness, Clifford, 2016. "Blockholders: A Survey of Theory and Evidence," CEPR Discussion Papers 11442, C.E.P.R. Discussion Papers.
    32. Campbell R. Harvey & Yan Liu, 2020. "False (and Missed) Discoveries in Financial Economics," Papers 2006.04269, arXiv.org.

  18. Harald HAU & Sandy LAI, 2011. "The Role of Equity Funds in the Financial Crisis Propagation," Swiss Finance Institute Research Paper Series 11-35, Swiss Finance Institute.

    Cited by:

    1. Wen-Hsiu Chou & William Hardin, 2014. "Performance Chasing, Fund Flows and Fund Size in Real Estate Mutual Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 49(3), pages 379-412, October.
    2. Hau, Harald & Lai, Sandy, 2013. "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, vol. 108(2), pages 392-408.
    3. Cortes, Fabio & Lindner, Peter & Malik, Sheheryar & Segoviano, Miguel, 2018. "A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)," LSE Research Online Documents on Economics 118928, London School of Economics and Political Science, LSE Library.
    4. Aragon, George O. & Kim, Min S., 2023. "Fire sale risk and expected stock returns," Journal of Financial Economics, Elsevier, vol. 149(3), pages 578-609.
    5. Karthik Reddy & Moritz Schularick & Vasiliki Skreta, 2020. "Immunity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(2), pages 531-564, May.
      • Karthik Reddy & Moritz Schularick & Vasiliki Skreta, 2012. "Immunity," Working Papers 12-17, New York University, Leonard N. Stern School of Business, Department of Economics.
      • Karthik Reddy & Moritz Schularick & Vasiliki Skreta, 2013. "Immunity," Working Papers 13-04, New York University, Leonard N. Stern School of Business, Department of Economics.
      • Karthik Reddy & Moritz Schularick & Vasiliki Skreta, 2013. "Immunity," CESifo Working Paper Series 4445, CESifo.
    6. Mr. Stijn Claessens & Mr. Hui Tong & Mr. Igor Esteban Zuccardi Huertas, 2011. "Did the Euro Crisis Affect Non-Financial Firm Stock Prices Through a Financial or Trade Channel?," IMF Working Papers 2011/227, International Monetary Fund.
    7. Geert Bekaert & Michael Ehrmann & Marcel Fratzscher & Arnaud Mehl, 2014. "The Global Crisis and Equity Market Contagion," Discussion Papers of DIW Berlin 1352, DIW Berlin, German Institute for Economic Research.
    8. Fernando M. Linardi, 2020. "Investors’ Behavior and Mutual Fund Portfolio Allocations in Brazil during the Global Financial Crisis," Working Papers Series 517, Central Bank of Brazil, Research Department.
    9. Abou Tanos, Barbara & Jimenez-Garcès, Sonia, 2022. "Foreign investments during financial crises: Institutional investors’ informational skills create value when familiarity does not," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    10. Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    11. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
    12. Chernenko, Sergey & Sunderam, Adi, 2020. "Do fire sales create externalities?," Journal of Financial Economics, Elsevier, vol. 135(3), pages 602-628.
    13. Xuewen Liu & Antonio S. Mello, 2017. "The Creditor Channel of Liquidity Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(6), pages 1113-1160, September.
    14. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    15. Grill, Michael & Molestina Vivar, Luis & Wedow, Michael, 2022. "Mutual fund suspensions during the COVID-19 market turmoil - asset liquidity, liquidity management tools and spillover effects," Finance Research Letters, Elsevier, vol. 50(C).
    16. Zhang, Yaozhong & Wu, Junfeng & Zhang, Chao, 2021. "Risk transfer between stock and open-ended equity fund markets in China based on a multi-layer network model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
    17. Hiraki, Takato & Liu, Ming, 2021. "Do global equity mutual funds exhibit home bias?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    18. Agarwal, Vikas & Aragon, George O. & Shi, Zhen, 2015. "Funding liquidity risk of funds of hedge funds: Evidence from their holdings," CFR Working Papers 15-12, University of Cologne, Centre for Financial Research (CFR).
    19. Lyócsa, Štefan & Baumöhl, Eduard & Výrost, Tomáš, 2022. "YOLO trading: Riding with the herd during the GameStop episode," Finance Research Letters, Elsevier, vol. 46(PA).
    20. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    21. Kanis Saengchote, 2023. "Developers' Leverage, Capital Market Financing, and Fire Sale Externalities Evidence from the Thai Condominium Market," Papers 2312.05013, arXiv.org.
    22. Dang, Tung Lam & Moshirian, Fariborz & Zhang, Bohui, 2019. "Liquidity shocks and institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 184-209.
    23. Fink, Christopher & Raatz, Katharina & Weigert, Florian, 2014. "Do Mutual Funds Outperform During Recessions? International (Counter-) Evidence," Working Papers on Finance 1415, University of St. Gallen, School of Finance.
    24. Ignashkina, Anna & Rinne, Kalle & Suominen, Matti, 2022. "Short-term reversals, returns to liquidity provision and the costs of immediacy," Journal of Banking & Finance, Elsevier, vol. 138(C).
    25. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    26. Massa, Massimo & Cheng, Si & Zhang, Hong, 2021. "Financial Globalization vs. Income Inequality: The Surprising Role of Delegated Portfolio Flows in Taming the Top 1%," CEPR Discussion Papers 15745, C.E.P.R. Discussion Papers.
    27. Axelle Arquié, 2023. "Fire Sales and Bank Runs in the Presence of a Saving Allocation by Depositors," Working Papers 2023-09, CEPII research center.
    28. Brandao-Marques, Luis & Gelos, Gaston & Ichiue, Hibiki & Oura, Hiroko, 2022. "Changes in the global investor base and the stability of portfolio flows to emerging markets," Journal of Banking & Finance, Elsevier, vol. 144(C).
    29. Stavros Peristiani & Vanessa Savino, 2011. "Are credit default swaps associated with higher corporate defaults?," Staff Reports 494, Federal Reserve Bank of New York.
    30. Herwartz, Helmut & Roestel, Jan, 2022. "Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    31. Jakša Krišto & Alen Stojanović & Hrvoje Filipović, 2015. "Systemic risk of UCITS investment funds and financial market stability tested using MRS model," EFZG Working Papers Series 1508, Faculty of Economics and Business, University of Zagreb.
    32. Cheng, Tingting & Yan, Cheng & Yan, Yayi, 2021. "Improved inference for fund alphas using high-dimensional cross-sectional tests," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 57-81.
    33. Puy, Damien, 2016. "Mutual funds flows and the geography of contagion," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 73-93.
    34. Kalle Rinne & Matti Suominen, 2014. "Mutual Funds’ Returns from Providing Liquidity and Costs of Immediacy," LSF Research Working Paper Series 14-01, Luxembourg School of Finance, University of Luxembourg.
    35. Sergey Chernenko & Adi Sunderam, 2018. "Do Fire Sales Create Externalities?," NBER Working Papers 25104, National Bureau of Economic Research, Inc.
    36. Fabio Cortes & Peter Lindner & Sheheryar Malik & Miguel A. Segoviano, 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)," IMF Working Papers 2018/014, International Monetary Fund.
    37. Zuccardi Huertas Igor Esteban, 2015. "Sovereign Spreads in the Eurozone: Is Market Discipline Working?," Working Papers 2015-20, Banco de México.
    38. Zheng, Yi & Wu, Da, 2023. "The impact of opacity on bank valuation during the global financial crisis: A channel analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
    39. Linardi, Fernando M., 2020. "Investors’ behavior and mutual fund portfolio allocations in Brazil during the global financial crisis," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    40. Massa, Massimo & Zhang, Lei, 2015. "Fire Sales and Information Advantage: When Informed Investor Helps," CEPR Discussion Papers 10536, C.E.P.R. Discussion Papers.
    41. Segoviano, Miguel & Espinoza, Raphael, 2017. "Consistent measures of systemic risk," LSE Research Online Documents on Economics 118947, London School of Economics and Political Science, LSE Library.
    42. Kanis Saengchote, 2023. "Developers’ Leverage, Capital Market Financing, and Fire Sale Externalities: Evidence from the Thai Condominium Market," PIER Discussion Papers 212, Puey Ungphakorn Institute for Economic Research.

  19. Harald Hau & Marcel Thum, 2009. "Subprime Crisis and Board (In-)Competence: Private vs. Public Banks in Germany," CESifo Working Paper Series 2640, CESifo.

    Cited by:

    1. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2018. "Bank governance and performance: a survey of the literature," Journal of Banking Regulation, Palgrave Macmillan, vol. 19(3), pages 236-256, July.
    2. Rubén Chavarín, 2020. "Risk governance, banks affiliated to business groups, and foreign ownership," Risk Management, Palgrave Macmillan, vol. 22(1), pages 1-37, March.
    3. Schnabel, Isabel & Körner, Tobias, 2012. "Abolishing Public Guarantees in the Absence of Market Discipline," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65401, Verein für Socialpolitik / German Economic Association.
    4. Eichacker, Nina, 2020. "German Public Banks, Financial Competition, and Crisis: Institutional Change in German Banking and Financial Vulnerability Before the Global Financial Crisis," SocArXiv jkp5u, Center for Open Science.
    5. Giovanni Ferri & Panu Kalmi & Eeva Kerola, 2014. "Organizational Structure and Exposure to Crisis among European Banks: Evidence from Rating Changes," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 35-55, June.
    6. Odile Paulus & Christophe Lejeune, 2013. "What do board members in art organizations do? A grounded theory approach," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 17(4), pages 963-988, November.
    7. Linus Siming, 2018. "Government Involvement in the Corporate Governance of Banks," Post-Print hal-01861817, HAL.
    8. Martín-Oliver, Alfredo & Ruano, Sonia & Salas-Fumás, Vicente, 2017. "The fall of Spanish cajas: Lessons of ownership and governance for banks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 244-260.
    9. Zhou, Yifan & Kara, Alper & Molyneux, Philip, 2019. "Chair-CEO generation gap and bank risk-taking," The British Accounting Review, Elsevier, vol. 51(4), pages 352-372.
    10. Marco Pagano & Sam Langfield & Viral V. Acharya & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Martin F. Hellwig & André Sapir & Ieke van den Burg, 2014. "Is Europe Overbanked?," Report of the Advisory Scientific Committee 4, European Systemic Risk Board.
    11. Gropp, Reint E. & Guettler, Andre & Saadi, Vahid, 2015. "Public Bank Guarantees and Allocative Efficiency," IWH Discussion Papers 7/2015, Halle Institute for Economic Research (IWH).
    12. Robert S. Chirinko, 2022. "Is a State Bank a Useful Economic Development Tool in the United States?," CESifo Working Paper Series 10098, CESifo.
    13. Aebi, Vincent & Sabato, Gabriele & Schmid, Markus, 2012. "Risk management, corporate governance, and bank performance in the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3213-3226.
    14. Behr, Patrick & Norden, Lars & Noth, Felix, 2013. "Financial constraints of private firms and bank lending behavior," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3472-3485.
    15. Mavrakana, Christina & Psillaki, Maria, 2019. "Do board structure and compensation matter for bank stability and bank performance? Evidence from European banks," MPRA Paper 95776, University Library of Munich, Germany.
    16. Koetter, Michael & Müller, Carola & Noth, Felix & Fritz, Benedikt, 2018. "May the force be with you: Exit barriers, governance shocks, and profitability sclerosis in banking," Discussion Papers 49/2018, Deutsche Bundesbank.
    17. Allen N. Berger & Thomas Kick & Klaus Schaeck, 2012. "Executive Board Composition and Bank Risk Taking," Working Papers 12004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    18. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.
    19. Hani El-Chaarani, 2017. "The Mutual Impacts of Corporate Governance Dimensions and Legal Protection Systems on the Performance of European Banks: A Post-Crisis Study," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 538-567.
    20. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
    21. Xavier Vives, 2010. "Competition and Stability in Banking," Working Papers Central Bank of Chile 576, Central Bank of Chile.
    22. Michel Magnan & Garen Markarian, 2011. "Accounting, Governance and the Crisis: Is Risk the Missing Link?," European Accounting Review, Taylor & Francis Journals, vol. 20(2), pages 215-231.
    23. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2017. "Supervisory boards, financial crisis and bank performance: do board characteristics matter?," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(4), pages 310-337, November.
    24. Shkendije Himaj, 2014. "Corporate Governance in Banks and its Impact on Risk and Performance: Review of Literature on the Selected Governance Mechanisms," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 3(3), pages 53-85.
    25. Falk Bräuning & Falko Fecht, 2017. "Relationship Lending in the Interbank Market and the Price of Liquidity," Review of Finance, European Finance Association, vol. 21(1), pages 33-75.
    26. Savchenko, P. & Semenova, M., 2013. "Sitting on the Fence: Does Having a "Dual-Director" Add to Bank Profitability?," Journal of the New Economic Association, New Economic Association, vol. 20(4), pages 12-32.
    27. Daniel Ferreira & Tom Kirchmaier & Daniel Metzger, 2011. "Boards of Banks," FMG Discussion Papers dp664, Financial Markets Group.
    28. Adam Pilny & Felix Rösel, 2020. "Are Doctors Better Health Ministers?," ifo Working Paper Series 328, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    29. Jochimsen, Beate & Thomasius, Sebastian, 2014. "The perfect finance minister: Whom to appoint as finance minister to balance the budget," European Journal of Political Economy, Elsevier, vol. 34(C), pages 390-408.
    30. Körner, Tobias & Müller, Oliver & Paul, Stephan & Schmidt, Christoph M., 2014. "Glas halb voll oder halb leer? Eine Analyse der Qualifikation von Kontrollorganmitgliedern deutscher Banken," RWI Materialien 78, RWI - Leibniz-Institut für Wirtschaftsforschung.
    31. Mollah, Sabur & Liljeblom, Eva & Mobarek, Asma, 2021. "Heterogeneity in independent non-executive directors' attributes and risk-taking in large banks," Journal of Corporate Finance, Elsevier, vol. 70(C).
    32. Haucap, Justus & Coenen, Michael, 2010. "Industriepolitische Konsequenzen der Wirtschaftskrise," DICE Ordnungspolitische Perspektiven 03, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    33. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
    34. Carlos Arteta & Mark S. Carey & Ricardo Correa & Jason Kotter, 2013. "Revenge of the steamroller: ABCP as a window on risk choices," International Finance Discussion Papers 1076, Board of Governors of the Federal Reserve System (U.S.).
    35. Luis Garicano & Luis Rayo, 2016. "Why Organizations Fail: Models and Cases," Journal of Economic Literature, American Economic Association, vol. 54(1), pages 137-192, March.
    36. Kathrin Johansen & Saskia Laser & Doris Neuberger & Ettore Andreani, 2017. "Inside or outside control of banks? Evidence from the composition of supervisory boards," European Journal of Law and Economics, Springer, vol. 43(1), pages 31-58, February.
    37. Berger, Allen N. & Kick, Thomas & Koetter, Michael & Schaeck, Klaus, 2013. "Does it pay to have friends? Social ties and executive appointments in banking," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2087-2105.
    38. Gilani, Usman & Keasey, Kevin & Vallascas, Francesco, 2021. "Board financial expertise and the capital decisions of US banks," Journal of Corporate Finance, Elsevier, vol. 71(C).
    39. V.M. Morais Pereira & J.A. Candeias Bonito Filipe, 2018. "Quality of Board Members’ Training and Bank Financial Performance: Evidence from Portugal," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 47-79.
    40. Ibáñez-Hernández, Francisco J. & Peña-Cerezo, Miguel A. & Araujo-de-la-Mata, Andrés, 2019. "Corporate governance and procyclicality in a banking crisis: Empirical evidence and implications," Finance Research Letters, Elsevier, vol. 30(C), pages 271-275.
    41. Michael Faulkender & Dalida Kadyrzhanova & N. Prabhala & Lemma Senbet, 2010. "Executive Compensation: An Overview of Research on Corporate Practices and Proposed Reforms," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(1), pages 107-118, January.
    42. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2015. "The Dose Makes the Poison – an Analysis of the Influence of Bonus Payments on Profitability and Risk-Taking by Banks," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(03), pages 23-31, February.
    43. Battistin, Erich & Graziano, Clara & Parigi, Bruno M., 2012. "Connections and performance in bankers’ turnover," European Economic Review, Elsevier, vol. 56(3), pages 470-487.
    44. Kaodui Li & Yusheng Kong & Sampson Agyapong Atuahene & Geoffrey Bentum-Micah & Michael Kwakye Agyapong, 2020. "Corporate Governance and Banking Stability: The Case of Universal Banks in Ghana," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(Special 1), pages 325-352.
    45. Ebrahim Mohammed Al-Matari & Mahfoudh Hussein Mgammal & Mushari Hamdan Alosaimi & Talal Fawzi Alruwaili & Sultan Al-Bogami, 2022. "Fintech, Board of Directors and Corporate Performance in Saudi Arabia Financial Sector: Empirical Study," Sustainability, MDPI, vol. 14(17), pages 1-23, August.

  20. Rey, Hélène & Hau, Harald, 2008. "Home Bias at the Fund Level," CEPR Discussion Papers 6721, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ulrike Malmendier & Demian Pouzo & Victoria Vanasco, 2019. "Investor experiences and international capital flows," Economics Working Papers 1710, Department of Economics and Business, Universitat Pompeu Fabra.
    2. Carole Gresse & Hugo Marin, 2022. "Geographical Proximity and Enhanced Attention in P2B Crowdlending Strategies," Post-Print hal-03960132, HAL.
    3. Opazo, Luis & Raddatz, Claudio & Schmukler, Sergio L., 2014. "Institutional investors and long-term investment : evidence from Chile," Policy Research Working Paper Series 6922, The World Bank.
    4. J. Scott Davis & Eric van Wincoop, 2022. "A Theory of Gross and Net Capital Flows over the Global Financial Cycle," NBER Working Papers 30738, National Bureau of Economic Research, Inc.
    5. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    6. Luis Opazo & Claudio Raddatz & Sergio Schmukler, 2009. "The Long And The Short Of Emerging Market Debt," Working Papers Central Bank of Chile 530, Central Bank of Chile.
    7. Lau, Sie Ting & Ng, Lilian & Zhang, Bohui, 2010. "The world price of home bias," Journal of Financial Economics, Elsevier, vol. 97(2), pages 191-217, August.
    8. Jaksa Cvitanic & Julien Hugonnier, 2018. "Optimal Fund Menus," Swiss Finance Institute Research Paper Series 18-47, Swiss Finance Institute, revised Aug 2018.
    9. Lee, Seohyun, 2017. "Three essays on uncertainty: real and financial effects of uncertainty shocks," MPRA Paper 83617, University Library of Munich, Germany.
    10. Tatiana Didier & Roberto Rigobon & Sergio L. Schmukler, 2010. "Unexploited Gains from International Diversification: Patterns of Portfolio Holdings Around the World," NBER Working Papers 16629, National Bureau of Economic Research, Inc.
    11. Kim, Heeho & Cho, Seong-Hoon & Kim, Yongku, 2015. "Home bias, risk differential, and cultural spatial spillover effects," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 114-136.
    12. Lambert, Claudia & Molestina Vivar, Luis & Wedow, Michael, 2024. "Is home bias biased? New evidence from the investment fund sector," Working Paper Series 2924, European Central Bank.
    13. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
    14. Rosen Valchev, 2019. "Beyond Home Bias: Portfolio Holdings and Information Heterogeneity," 2019 Meeting Papers 1439, Society for Economic Dynamics.
    15. Ole‐Kristian Hope & Pingui Rao & Yanping Xu & Heng Yue, 2023. "Information sharing between mutual funds and auditors," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(1-2), pages 152-197, January.
    16. Pitterle, Claudia, 2022. "Home- Market- Bias! Investment behavior from the perspective of behavioral economics in the Germany stock market," MPRA Paper 117698, University Library of Munich, Germany.
    17. Anil Mishra, 2011. "Australia’s equity home bias and real exchange rate volatility," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 223-244, August.
    18. Hiraki, Takato & Liu, Ming, 2021. "Do global equity mutual funds exhibit home bias?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    19. Ciccone, Julien & Marchiori, Luca & Morhs, Romuald, 2022. "The flow-performance relationship of global investment funds," Journal of International Money and Finance, Elsevier, vol. 127(C).
    20. Stracca, Livio & Habib, Maurizio Michael, 2013. "Foreign investors and risk shocks: seeking a safe haven or running for the exit?," Working Paper Series 1609, European Central Bank.
    21. Carole Gresse & Hugo Marin, 2021. "Geographical-Proximity Bias in P2B Crowdlending Strategies," Working Papers hal-03338244, HAL.
    22. Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," Swiss Finance Institute Research Paper Series 18-03, Swiss Finance Institute, revised Jun 2018.
    23. Paul Chiou & Cheng-Few Lee, 2013. "Do investors still benefit from culturally home-biased diversification? An empirical study of China, Hong Kong, and Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 341-381, February.
    24. Carpio, Ronaldo & Guo, Meixin & Liu, Yuan & Pyun, Ju Hyun, 2021. "Wealth heterogeneity, information acquisition and equity home bias: Evidence from U.S. household surveys of consumer finance," Journal of Banking & Finance, Elsevier, vol. 126(C).
    25. Giuliano Rossi & Jakub Kolodziej & Gurvinder Brar, 2020. "A recommender system for active stock selection," Computational Management Science, Springer, vol. 17(4), pages 517-547, December.
    26. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).
    27. Kempf, Elisabeth & Luo, Mancy & Schafer, Larissa & Tsoutsoura, Margarita, 2022. "Does Political Partisanship Cross Borders? Evidence from International Capital Flows," Working Papers 316, The University of Chicago Booth School of Business, George J. Stigler Center for the Study of the Economy and the State.
    28. Geranio, Manuela & Lazzari, Valter, 2019. "Stress testing the equity home bias: A turnover analysis of Eurozone markets," Journal of International Money and Finance, Elsevier, vol. 97(C), pages 70-85.
    29. Jordi Mondria & Thomas Wu, 2013. "Imperfect financial integration and asymmetric information: competing explanations of the home bias puzzle?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(1), pages 310-337, February.
    30. Chung, Chune Young & Sul, Hong Kee & Wang, Kainan, 2021. "A tale of two forms of proximity: Geography and market," Journal of Business Research, Elsevier, vol. 122(C), pages 14-23.
    31. Lippi, Andrea, 2016. "(Country) Home bias in Italian occupational pension funds asset allocation choices," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 78-82.
    32. Damien PUY, 2013. "Institutional Investors Flows and the Geography of Contagion," Economics Working Papers ECO2013/06, European University Institute.
    33. Eduard Gaar & David Scherer & Dirk Schiereck, 2022. "The home bias and the local bias: A survey," Management Review Quarterly, Springer, vol. 72(1), pages 21-57, February.
    34. Riedler, Jesper & Koziol, Tina, 2021. "Scaling, unwinding and greening QE in a calibrated portfolio balance model," ZEW Discussion Papers 21-086, ZEW - Leibniz Centre for European Economic Research.
    35. Mr. Gaston Gelos, 2011. "International Mutual Funds, Capital Flow Volatility, and Contagion – A Survey," IMF Working Papers 2011/092, International Monetary Fund.
    36. Jing Chen & Junxiong Fang & Chunqiu Zhang & Yi Zhou, 2023. "Homemade international diversification under economic policy uncertainty," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 31-62, February.
    37. Hooley, John, 2013. "Bringing down the Great Wall? Global implications of capital account liberalisation in China," Bank of England Quarterly Bulletin, Bank of England, vol. 53(4), pages 304-315.
    38. Puy, Damien, 2016. "Mutual funds flows and the geography of contagion," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 73-93.
    39. Cenedese, Gino & Elard, Ilaf, 2018. "Unconventional monetary policy and the portfolio choice of international mutual funds," Bank of England working papers 705, Bank of England.
    40. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," SciencePo Working papers Main hal-01069440, HAL.
    41. Wan- Jiun Paul Chiou & Chun- Pin Hsu & Chin- Wen Huang, 2013. "Development and international diversification benefits of equity markets in China, Hong Kong, and Taiwan," Chapters, in: Peter C.Y. Chow (ed.), Economic Integration Across the Taiwan Strait, chapter 5, pages 102-138, Edward Elgar Publishing.
    42. Manuela Geranio & Valter Lazzari, 2019. "Stress Testing the Equity Home Bias: A Turnover Analysis of Eurozone Markets," BAFFI CAREFIN Working Papers 19114, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    43. Jinjarak, Yothin & Wongswan, Jon & Zheng, Huanhuan, 2011. "International fund investment and local market returns," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 572-587, March.
    44. Wan-Jiun Paul Chiou & Vigdis W Boasson, 2015. "International Variations in the Benefits of Feasible Diversification Strategies," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(04), pages 1-38, December.
    45. Peter Cornelius & Karlijn Juttmann & Broes Langelaar, 2009. "Home Bias in Leveraged Buyouts," International Finance, Wiley Blackwell, vol. 12(3), pages 321-349, December.
    46. Diyarbakirlioglu, Erkin, 2011. "Foreign equity flows and the “Size Bias”: Evidence from an emerging stock market," Emerging Markets Review, Elsevier, vol. 12(4), pages 485-509.
    47. Diyarbakirlioglu, Erkin, 2011. "Domestic and foreign country bias in international equity portfolios," Journal of Multinational Financial Management, Elsevier, vol. 21(5), pages 301-329.
    48. Kwabi, Frank Obenpong & Boateng, Agyenim & Wonu, Chizindu & Kariuki, Charles & Du, Anna, 2023. "Political uncertainty and cross-border equity portfolio allocation decisions: International evidence," International Review of Financial Analysis, Elsevier, vol. 87(C).
    49. Broer, Tobias, 2017. "The home bias of the poor: Foreign asset portfolios across the wealth distribution," European Economic Review, Elsevier, vol. 92(C), pages 74-91.
    50. Converse, Nathan, 2018. "Uncertainty, capital flows, and maturity mismatch," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 260-275.
    51. Christina Guenther & Sofia Johan & Denis Schweizer, 2018. "Is the crowd sensitive to distance?—how investment decisions differ by investor type," Small Business Economics, Springer, vol. 50(2), pages 289-305, February.
    52. Maffett, Mark, 2012. "Financial reporting opacity and informed trading by international institutional investors," Journal of Accounting and Economics, Elsevier, vol. 54(2), pages 201-220.
    53. Erkin Diyarbakirlioglu, 2011. "Foreign equity flows and the "Size Bias" : Evidence from an emerging stock market," Post-Print hal-01127657, HAL.

  21. Rey, Hélène & Hau, Harald, 2008. "Global Portfolio Rebalancing Under the Microscope," CEPR Discussion Papers 6901, C.E.P.R. Discussion Papers.

    Cited by:

    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    2. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    3. Cédric Tille & Eric Van Wincoop, 2007. "International capital flows," Staff Reports 280, Federal Reserve Bank of New York.
    4. Fratzscher, Marcel & Forbes, Kristin & Straub, Roland, 2012. "Bubble Thy Neighbor: Portfolio Effects and Externalities from Capital Controls," CEPR Discussion Papers 8979, C.E.P.R. Discussion Papers.
    5. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
    6. Tobias Broer, 2013. "The home bias of the poor: terms of trade effects and portfolios across the wealth distribution," 2013 Meeting Papers 618, Society for Economic Dynamics.
    7. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
    8. Galagedera, Don U.A., 2012. "Recent trends in relative performance of global equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 834-854.
    9. Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011. "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011 3038, EcoMod.
    10. Valentina Bruno & Hyun Song Shin, 2013. "Capital Flows, Cross-Border Banking and Global Liquidity," NBER Working Papers 19038, National Bureau of Economic Research, Inc.
    11. Lizarazo, Sandra Valentina, 2013. "Default risk and risk averse international investors," Journal of International Economics, Elsevier, vol. 89(2), pages 317-330.
    12. Kyungkeun Kim & Dongwon Lee, 2017. "Equity Market Globalization and Portfolio Rebalancing," Working Papers 2017-17, Economic Research Institute, Bank of Korea.
    13. Gauvin, Ludovic & McLoughlin, Cameron & Reinhardt, Dennis, 2014. "Policy uncertainty spillovers to emerging markets – evidence from capital flows," Bank of England working papers 512, Bank of England.
    14. Konradt, Maximilian, 2023. "Do pension funds reach for yield? Evidence from a new database," MPRA Paper 116209, University Library of Munich, Germany.
    15. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    16. Lundblad, Christian T & Jotikasthira, Chotibhak, 2009. "Asset fire sales and purchases and the international transmission of financial shocks," CEPR Discussion Papers 7595, C.E.P.R. Discussion Papers.
    17. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
    18. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    19. Zhang, Dongyang & Guo, Yumei & Wang, Zhaorui & Chen, Yanbin, 2020. "The impact of US monetary policy on Chinese enterprises’ R&D investment," Finance Research Letters, Elsevier, vol. 35(C).
    20. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
    21. Fatemeh Salimi Namin, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," AMSE Working Papers 2037, Aix-Marseille School of Economics, France.
    22. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    23. Bruno, Valentina & Shin, Hyun Song, 2015. "Capital flows and the risk-taking channel of monetary policy," Journal of Monetary Economics, Elsevier, vol. 71(C), pages 119-132.
    24. Kristin J. Forbes, 2008. "Why do Foreigners Invest in the United States?," NBER Working Papers 13908, National Bureau of Economic Research, Inc.
    25. Mariassunta Giannetti & Luc Laeven, 2016. "Local Ownership, Crises, and Asset Prices: Evidence from US Mutual Funds," Review of Finance, European Finance Association, vol. 20(3), pages 947-978.
    26. Signe Krogstrup & Cédric Tille, 2018. "Foreign Currency Bank Funding and Global Factors," IMF Working Papers 2018/097, International Monetary Fund.
    27. Bárbara Ulloa & Carlos Saavedra & Carola Moreno, 2015. "A Microstructure Approach to Gross Portfolio Inflows. The Case of Chile," Working Papers Central Bank of Chile 760, Central Bank of Chile.
    28. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    29. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    30. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).
    31. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    32. Dongwon Lee & Kyungkeun Kim, 2016. "Global Risk and International Equity Portfolio Rebalancing," Working Papers 201605, University of California at Riverside, Department of Economics.
    33. Kim, Kyungkeun & Lee, Dongwon, 2020. "Equity market integration and portfolio rebalancing," Journal of Banking & Finance, Elsevier, vol. 113(C).
    34. Melvin, Michael & Prins, John, 2015. "Equity hedging and exchange rates at the London 4p.m. fix," Journal of Financial Markets, Elsevier, vol. 22(C), pages 50-72.
    35. Fatemeh Salimi, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," Working Papers halshs-03007904, HAL.
    36. Justine Pedrono, 2015. "Banking Leverage Procyclicality: A Theoretical Model Introducing Currency Diversification," Working Papers halshs-01203758, HAL.
    37. Broer, Tobias, 2017. "The home bias of the poor: Foreign asset portfolios across the wealth distribution," European Economic Review, Elsevier, vol. 92(C), pages 74-91.
    38. Fratzscher, Marcel & Straub, Roland & Saborowski, Christian, 2010. "Monetary Policy Shocks and Portfolio Choice," CEPR Discussion Papers 8099, C.E.P.R. Discussion Papers.

  22. Dunne, Peter G & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.

    Cited by:

    1. Schulz, Alexander & Wolff, Guntram B., 2009. "Sovereign bond market integration: the euro, trading platforms and financial crises," MPRA Paper 16900, University Library of Munich, Germany.
    2. Carol Osler & Alexander Mende & Lukas Menkhoff, 2010. "Price Discovery in Currency Markets," Working Papers 03, Brandeis University, Department of Economics and International Business School.
    3. Paiardini, Paola, 2009. "Informed Trading in Parallel Bond Markets," Economics & Statistics Discussion Papers esdp09053, University of Molise, Department of Economics.
    4. Caporale, Guglielmo Maria & Girardi, Alessandro, 2013. "Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 227-240.
    5. Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
    6. Alessandro Girardi & Claudio Impenna, 2013. "Price discovery in the Italian sovereign bonds market: the role of order flow," Temi di discussione (Economic working papers) 906, Bank of Italy, Economic Research and International Relations Area.
    7. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2015. "Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?," SAFE Working Paper Series 95, Leibniz Institute for Financial Research SAFE.
    8. Reitz, Stefan & Schmidt, Markus & Taylor, Mark P., 2009. "Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market," MPRA Paper 15602, University Library of Munich, Germany.
    9. Michael R. King & Carol Osler & Dagfinn Rime, 2011. "Foreign exchange market structure, players and evolution," Working Paper 2011/10, Norges Bank.
    10. Guglielmo Maria Caporale & Alessandro Girardi & Paolo Paesani, 2010. "Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market," CESifo Working Paper Series 3281, CESifo.
    11. Schneider, Michael & Lillo, Fabrizio & Pelizzon, Loriana, 2016. "How has sovereign bond market liquidity changed? An illiquidity spillover analysis," SAFE Working Paper Series 151, Leibniz Institute for Financial Research SAFE.
    12. Zhuo Zhong & Kei Kawakami, 2016. "The Risk Sharing BenefiÂ…t versus the Collateral Cost: The Formation of the Inter-Dealer Network in Over-the-Counter Trading," 2016 Meeting Papers 822, Society for Economic Dynamics.
    13. Buis, Boyd & Pieterse-Bloem, Mary & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2020. "Expected issuance fees and market liquidity," Journal of Financial Markets, Elsevier, vol. 48(C).

  23. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tomas Williams & Lorenzo Pandolfi, 2017. "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers 2017-11, The George Washington University, Institute for International Economic Policy.
    2. Schnitzler, Jan, 2018. "S&P 500 inclusions and stock supply," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 341-356.
    3. Hung, Chung-Wen & Shiu, Cheng-Yi, 2016. "Trader activities, ownership, and stock price reactions to MSCI standard index changes: Evidence from Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 49-63.
    4. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    5. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    6. Escobar,Mariana,Pandolfi,Lorenzo,Pedraza Morales,Alvaro Enrique,Williams,Tomas, 2021. "The Anatomy of Index Rebalancings : Evidence from Transaction Data," Policy Research Working Paper Series 9770, The World Bank.
    7. Banti, C, 2015. "Illiquidity in the stock and FX markets: an investigation of their cross-market dynamics," Essex Finance Centre Working Papers 15626, University of Essex, Essex Business School.
    8. Francis Breedon & Angelo Ranaldo, 2013. "Intraday Patterns in FX Returns and Order Flow," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 953-965, August.
    9. Calomiris, Charles W. & Larrain, Mauricio & Schmukler, Sergio L. & Williams, Tomas, 2022. "Large international corporate bonds: Investor behavior and firm responses," Journal of International Economics, Elsevier, vol. 137(C).
    10. Charles W. Calomiris & Mauricio Larrain & Sergio L. Schmukler & Tomas Williams, 2020. "Search for Yield in Large International Corporate Bonds: Investor Behavior and Firm Responses," Mo.Fi.R. Working Papers 165, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    11. Garcia-Cicco Javier & Bucacos Elizabeth & Mello Miguel, 2023. "Foreign Exchange Interventions and Foreign Shocks: The case of Uruguay," Asociación Argentina de Economía Política: Working Papers 4657, Asociación Argentina de Economía Política.
    12. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    13. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    14. Hanno Lustig, 2021. "Matteo Maggiori: Winner of the 2021 Fischer Black Prize," Journal of Finance, American Finance Association, vol. 76(5), pages 2087-2091, October.
    15. Itzhak Ben‐David & Francesco Franzoni & Rabih Moussawi, 2018. "Do ETFs Increase Volatility?," Journal of Finance, American Finance Association, vol. 73(6), pages 2471-2535, December.
    16. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    17. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    18. Mishra, Anil V., 2013. "Foreign ownership in Australian firms," Research in International Business and Finance, Elsevier, vol. 28(C), pages 1-18.
    19. Chen, Yu-Lun & Xu, Ke, 2021. "The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets," Journal of Banking & Finance, Elsevier, vol. 127(C).
    20. Marcet, Francisco, 2017. "Analyst coverage network and stock return comovement in emerging markets," Emerging Markets Review, Elsevier, vol. 32(C), pages 1-27.
    21. Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
    22. Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020. "Winners and Losers from Sovereign Debt Inflows," CSEF Working Papers 562, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    23. Ranaldo, Angelo & de Magistris, Paolo Santucci, 2022. "Liquidity in the global currency market," Journal of Financial Economics, Elsevier, vol. 146(3), pages 859-883.
    24. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2022. "Sunshine vs. predatory trading effects in commodity futures markets: New evidence from index rebalancing," Journal of Commodity Markets, Elsevier, vol. 26(C).
    25. Gerlach, Jeffrey R. & Yook, Youngsuk, 2016. "Political conflict and foreign portfolio investment: Evidence from North Korean attacks," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 178-196.
    26. Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," Swiss Finance Institute Research Paper Series 18-03, Swiss Finance Institute, revised Jun 2018.
    27. Francis Breedon & Jagjit S. Chadha & Alex Waters, 2012. "The Financial Market Impact of UK Quantitative Easing," Studies in Economics 1211, School of Economics, University of Kent.
    28. Chiara Banti, 2016. "Illiquidity In The Stock And Foreign Exchange Markets: An Investigation Of Their Cross-Market Dynamics," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(4), pages 411-436, December.
    29. Geetesh Bhardwaj & Gary Gorton & Geert Rouwenhorst, 2015. "Facts and Fantasies about Commodity Futures Ten Years Later," NBER Working Papers 21243, National Bureau of Economic Research, Inc.
    30. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    31. Melvin, Michael & Prins, John, 2015. "Equity hedging and exchange rates at the London 4p.m. fix," Journal of Financial Markets, Elsevier, vol. 22(C), pages 50-72.
    32. Atanasov, Vladimir & Merrick, John, 2011. "Financial asset demand is elastic: Evidence from new issues of Federal Home Loan Bank debt," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3225-3239.
    33. Bank for International Settlements, 2012. "Threat of fiscal dominance?," BIS Papers, Bank for International Settlements, number 65.
    34. Chen, Haiwei & Ngo, Thanh, 2017. "Leverage-based index revisions: The case of Dow Jones Islamic Market World Index," Global Finance Journal, Elsevier, vol. 32(C), pages 16-34.
    35. Arcand, Jean-Louis & Kumar, Shekhar Hari & Hongler, Max-Olivier & Rinaldo, Daniele, 2023. "Can one hear the shape of a target zone?," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    36. Matthew C. Mitchell & Muhamad Iqbal Mohd Rafi & Sean Severe & Jeffrey A. Kappen, 2014. "Conventional Vs. Islamic Finance: The Impact Of Ramadan Upon Sharia-Compliant Markets," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 5(1).
    37. Jeffrey R. Gerlach & Youngsuk Yook, 2016. "Political Conflict and Foreign Portfolio Investment : Evidence from North Korean Attacks," Finance and Economics Discussion Series 2016-037, Board of Governors of the Federal Reserve System (U.S.).

  24. Dunne, Peter G & Hau, Harald & Moore, Michael, 2004. "Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns," CEPR Discussion Papers 4806, C.E.P.R. Discussion Papers.

    Cited by:

    1. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    2. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    3. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    4. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).

  25. Rey, Hélène & Hau, Harald, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows and Exchange Rates?," CEPR Discussion Papers 4517, C.E.P.R. Discussion Papers.

    Cited by:

    1. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    2. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    3. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    4. Matteo Maggiori & Brent Neiman & Jesse Schreger, 2018. "International Currencies and Capital Allocation," NBER Working Papers 24673, National Bureau of Economic Research, Inc.
    5. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    6. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    7. Coeurdacier, Nicolas & Kollmann, Robert Miguel W. K. & Martin, Philippe J., 2008. "International portfolios, capital accumulation and foreign assets dynamics," Discussion Paper Series 1: Economic Studies 2008,19, Deutsche Bundesbank.
    8. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
    9. Carlos Alberto Piscarreta Pinto Ferreira, 2021. "Does Public Debt Ownership Structure Matter for a Borrowing Country?," Working Papers REM 2021/0190, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    10. Ferraro, Domenico & Rogoff, Kenneth & Rossi, Barbara, 2015. "Can oil prices forecast exchange rates? An empirical analysis of the relationship between commodity prices and exchange rates," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 116-141.
    11. Thomas Nitschka, 2007. "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers 340, Institute for Empirical Research in Economics - University of Zurich.
    12. Milesi-Ferretti, Gian Maria & Lane, Philip, 2005. "A Global Perspective on External Positions," CEPR Discussion Papers 5234, C.E.P.R. Discussion Papers.
    13. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
    14. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    15. Oloko, Tirimisiyu F., 2018. "Portfolio diversification between developed and developing stock markets: The case of US and UK investors in Nigeria," Research in International Business and Finance, Elsevier, vol. 45(C), pages 219-232.
    16. Porras, Eva & Ülkü, Numan, 2015. "Foreigners’ trading and stock returns in Spain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 111-126.
    17. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
    18. Heeho Kim, 2017. "The Spatial Impact of Cultural Distances on Home Bias across Asian Emerging Markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 81-101, March.
    19. Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.
    20. Afees A. Salisu & Juncal Cuñado & Kazeem Isah & Rangan Gupta, 2021. "Stock markets and exchange rate behavior of the BRICS," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1581-1595, December.
    21. Yang, Sheng-Ping, 2017. "Exchange rate dynamics and stock prices in small open economies: Evidence from Asia-Pacific countries," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 337-354.
    22. Bing, Tao & Ma, Hongkun, 2021. "COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 384-396.
    23. Bippus, B. & Lloyd, S. & Ostry, D., 2023. "Granular Banking Flows and Exchange-Rate Dynamics," Janeway Institute Working Papers 2314, Faculty of Economics, University of Cambridge.
    24. Müller-Plantenberg, Nikolas A., 2010. "Balance of payments accounting and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 46-63, January.
    25. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
    26. Haselmann, Rainer & Herwartz, Helmut, 2010. "The introduction of the Euro and its effects on portfolio decisions," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 94-110, February.
    27. Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3621, Stanford University, Graduate School of Business.
    28. Coeurdacier, Nicolas, 2008. "Do Trade Costs in Goods Market Lead to Home Bias in Equities?," CEPR Discussion Papers 6991, C.E.P.R. Discussion Papers.
    29. Robert Kollmann & Nicolas Coeurdacier & Philippe Martin, 2008. "International portfolios, current account dynamics and capital accumulation," ULB Institutional Repository 2013/13410, ULB -- Universite Libre de Bruxelles.
    30. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    31. Ralph S. J. Koijen & Motohiro Yogo, 2020. "Exchange Rates and Asset Prices in a Global Demand System," Working Papers 2020-33, Princeton University. Economics Department..
    32. Heeho Kim & Sanguk Kwon & Youn Seol, 2022. "Currency Bias of Sovereign Wealth Fund Investments," Korean Economic Review, Korean Economic Association, vol. 38, pages 415-443.
    33. Linda S. Goldberg & Signe Krogstrup, 2023. "International Capital Flow Pressures and Global Factors," Staff Reports 1051, Federal Reserve Bank of New York.
    34. Sami Alpanda & Uluc Aysun & Serdar Kabaca, 2022. "International Portfolio Rebalancing and Fiscal Policy Spillovers," Working Papers 2022-01, University of Central Florida, Department of Economics.
    35. Abbass, Kashif & Sharif, Arshian & Song, Huaming & Ali, Malik Tayyab & Khan, Farina & Amin, Nabila, 2022. "Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach," Resources Policy, Elsevier, vol. 77(C).
    36. Kyungkeun Kim & Dongwon Lee, 2017. "Equity Market Globalization and Portfolio Rebalancing," Working Papers 2017-17, Economic Research Institute, Bank of Korea.
    37. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    38. Pietro Cova & Mr. Alessandro Rebucci & Mr. Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equity Prices," IMF Working Papers 2008/284, International Monetary Fund.
    39. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    40. Serdar Kabaca, 2016. "Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach," Staff Working Papers 16-55, Bank of Canada.
    41. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group.
    42. Nyborg, Kjell G. & Östberg, Per, 2014. "Money and liquidity in financial markets," Journal of Financial Economics, Elsevier, vol. 112(1), pages 30-52.
    43. Cushman, David O. & Breuer, Janice Boucher, 2007. "Exchange rates and international financial assets: A special issue in honor of Stanley W. Black," Review of Financial Economics, Elsevier, vol. 16(3), pages 231-234.
    44. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    45. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "International portfolio rebalancing and exchange rate fluctuations in Thailand," BIS Working Papers 287, Bank for International Settlements.
    46. Rey, Hélène & Gourinchas, Pierre-Olivier & Sauzet, Maxime, 2019. "The International Monetary and Financial System," CEPR Discussion Papers 13714, C.E.P.R. Discussion Papers.
    47. Hadiwibowo, Yuniarto & Komatsu, Masaaki, 2011. "Trilemma and macroeconomic policies under different financial structures in Indonesia," Journal of Asian Economics, Elsevier, vol. 22(4), pages 302-310, August.
    48. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2018. "Determinants of equity mutual fund flows – Evidence from the fund flow dynamics between Hong Kong and global markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 231-247.
    49. Sahoo, Ganeswar, 2010. "International Capital Flows: An empirical study of the relationship between equity and debt investments," MPRA Paper 24797, University Library of Munich, Germany.
    50. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.
    51. Linda S. Goldberg & Signe Krogstrup, 2018. "International capital flow pressures," Staff Reports 834, Federal Reserve Bank of New York.
    52. Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
    53. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    54. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2020. "The foreign exchange and stock market nexus: New international evidence," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 240-266.
    55. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
    56. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    57. Chaban, Maxym, 2009. "Commodity currencies and equity flows," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 836-852, September.
    58. Boubekeur Baba & Güven Sevil, 2021. "Bayesian analysis of time-varying interactions between stock returns and foreign equity flows," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-25, December.
    59. Harjoat Bhamra & Nicolas Coeurdacier & Stéphane Guibaud, 2014. "A Dynamic Equilibrium Model of Imperfectly Integrated Financial Markets," Post-Print hal-03393013, HAL.
    60. Angelo Ranaldo & Fabricius Somogyi, 2018. "Asymmetric Information Risk in FX Markets," Working Papers on Finance 1820, University of St. Gallen, School of Finance, revised Apr 2020.
    61. Sameer Khatiwada, 2017. "Quantitative Easing by the Fed and International Capital Flows," IHEID Working Papers 02-2017, Economics Section, The Graduate Institute of International Studies.
    62. Marques, Luis B, 2007. "The Costs to Consumers of a Depreciated Conversion Rate to the Euro," MPRA Paper 5723, University Library of Munich, Germany.
    63. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand," IMF Working Papers 2012/214, International Monetary Fund.
    64. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    65. Owusu Junior, Peterson & Tweneboah, George, 2020. "Are there asymmetric linkages between African stocks and exchange rates?," Research in International Business and Finance, Elsevier, vol. 54(C).
    66. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
    67. Oliver Hossfeld & Ronald MacDonald, 2014. "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach," CESifo Working Paper Series 5117, CESifo.
    68. Liljeblom, Eva & Loflund, Anders, 2005. "Determinants of international portfolio investment flows to a small market: Empirical evidence," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 211-233, July.
    69. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
    70. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    71. Georgios, Katechos, 2011. "On the relationship between exchange rates and equity returns: A new approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 550-559, October.
    72. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    73. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    74. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    75. Boyao Wu & Difang Huang & Muzi Chen, 2024. "Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect," Papers 2404.04335, arXiv.org.
    76. Yan, Cheng & Wang, Xichen, 2018. "The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 38-54.
    77. Nicolas Coeurdacier & Stéphane Guibaud, 2008. "A dynamic equilibrium of imperfectly integrated financial markets," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
    78. Haselmann, Rainer & Helmut, Herwartz, 2005. "The Introduction of the Euro and its Effects on Investment Decisions," Economics Working Papers 2005-15, Christian-Albrechts-University of Kiel, Department of Economics.
    79. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    80. Abuelfadl, Moustafa & Yamani, Ehab, 2021. "Currency news and international bond markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    81. Nicolaas Groenewold & James E.H. Paterson, 2013. "Stock Prices and Exchange Rates in Australia: Are Commodity Prices the Missing Link?," Australian Economic Papers, Wiley Blackwell, vol. 52(3-4), pages 159-170, December.
    82. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    83. Garcia-Herrero, Alicia & Terada-Hagiwara, Akiko, 2007. "Do Asian investors rebalance their portfolios and what are the consequences?," Journal of Asian Economics, Elsevier, vol. 18(1), pages 195-216, February.
    84. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    85. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    86. Dongwon Lee & Kyungkeun Kim, 2016. "Global Risk and International Equity Portfolio Rebalancing," Working Papers 201605, University of California at Riverside, Department of Economics.
    87. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 281-301, April.
    88. Gábor Dávid Kiss & Mercédesz Mészáros, 2020. "Gravity Among Central Bank Balance Sheets: Monetary Policy Spill-Over on FX Volatility," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 5(1), pages 33-57, June.
    89. Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2022. "Dollar beta and stock returns," Oxford Open Economics, Oxford University Press, vol. 1, pages 1-10.
    90. Fong, Tom Pak Wing & Sze, Angela Kin Wan & Ho, Edmund Ho Cheung, 2021. "Assessing cross-border interconnectedness between shadow banking systems," Journal of International Money and Finance, Elsevier, vol. 110(C).
    91. Bettendorf, Timo, 2016. "Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach," Discussion Papers 42/2016, Deutsche Bundesbank.
    92. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    93. Kodongo, Odongo & Ojah, Kalu, 2013. "Real exchange rates, trade balance and capital flows in Africa," Journal of Economics and Business, Elsevier, vol. 66(C), pages 22-46.
    94. Sami Alpanda & Serdar Kabaca, 2020. "International Spillovers of Large-Scale Asset Purchases," Journal of the European Economic Association, European Economic Association, vol. 18(1), pages 342-391.
    95. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    96. Carol Bertaut & Valentina Bruno & Hyun Song Shin, 2023. "Original sin redux: role of duration risk," BIS Working Papers 1109, Bank for International Settlements.
    97. Mustafa Kultur & Romuald Morhs, 2014. "The impact of the exchange rate on Luxembourg equity funds," BCL working papers 86, Central Bank of Luxembourg.
    98. Jimoh Olajide Raji & Yusnidah Ibrahim & Siti-Aznor Ahmad, 2017. "Stock Price Index and Exchange Rate Nexus in African Markets," International Economic Journal, Taylor & Francis Journals, vol. 31(1), pages 112-134, January.
    99. David O. Cushman, 2007. "A portfolio balance approach to the Canadian–U.S. exchange rate," Review of Financial Economics, John Wiley & Sons, vol. 16(3), pages 305-320.
    100. Gregor von Schweinitz & Lena Tonzer & Manuel Buchholz, 2021. "Monetary policy through exchange rate pegs: The removal of the Swiss franc‐Euro floor and stock price reactions," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1382-1406, December.
    101. Áron Gereben & György Gyomai & Norbert Kiss M., 2005. "The microstructure approach to exchange rates: a survey from a central bank’s viewpoint," MNB Occasional Papers 2005/42, Magyar Nemzeti Bank (Central Bank of Hungary).
    102. Andreas M. Fischer & Dr. Pinar Yesin, 2023. "The kindness of strangers: Brexit and bilateral financial linkages," Working Papers 2023-02, Swiss National Bank.
    103. Hongxia Zhang & Heeho Kim, 2019. "Foreign Bias Of Sovereign Wealth Fund And Spatial Spillover Effects," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(02), pages 377-397, March.
    104. Sean J. Gossel & Nicholas Biekpe, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 105-117, June.
    105. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1491-1505.
    106. Ding, Liang, 2021. "Conditional correlation between exchange rates and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 452-463.
    107. Nathan, Daniel & Ben Zeev, Nadav, 2022. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," MPRA Paper 112909, University Library of Munich, Germany.
    108. Carvalho, Daniel & Schmitz, Martin, 2022. "Brexit, what Brexit? Euro area portfolio exposures to the United Kingdom since the Brexit referendum," Working Paper Series 2734, European Central Bank.
    109. Nicolas Coeurdacier, 2011. "Limited participation and International Risk-Sharing," 2011 Meeting Papers 613, Society for Economic Dynamics.
    110. Aytaç, Beysül & Coqueret, Guillaume & Mandou, Cyrille, 2018. "Herding behavior among wine investors," Economic Modelling, Elsevier, vol. 68(C), pages 318-328.
    111. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    112. Kari Heimonen, 2009. "The euro–dollar exchange rate and equity flows," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 202-209, October.
    113. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    114. Jaydip Sen & Arup Dasgupta & Subhasis Dasgupta & Sayantani Roychoudhury, 2023. "A Portfolio Rebalancing Approach for the Indian Stock Market," Papers 2310.09770, arXiv.org.
    115. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
    116. Zhengyang Jiang, 2019. "US Fiscal Cycle and the Dollar," 2019 Meeting Papers 667, Society for Economic Dynamics.
    117. French, Jordan, 2017. "Asset pricing with investor sentiment: On the use of investor group behavior to forecast ASEAN markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 124-148.
    118. Fratzscher, Marcel & Straub, Roland & Saborowski, Christian, 2010. "Monetary Policy Shocks and Portfolio Choice," CEPR Discussion Papers 8099, C.E.P.R. Discussion Papers.
    119. Lukas Mankhoff & Lucio Sarno & Maik Schmeling & Andreas Schrimpf, 2013. "Information flows in foreign exchange markets: dissecting customer currency trades," BIS Working Papers 405, Bank for International Settlements.
    120. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
    121. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
    122. Torsten Ehlers & Elod Takáts, 2013. "Capital flow dynamics and FX intervention," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 25-38, Bank for International Settlements.
    123. Elias Papaioannou & Richard Portes, 2008. "The international role of the euro: a status report," European Economy - Economic Papers 2008 - 2015 317, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    124. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip & Chan, Eric, 2014. "Exchange rate fluctuations and international portfolio rebalancing," Emerging Markets Review, Elsevier, vol. 18(C), pages 34-44.
    125. Wamg, Jianxin, 2011. "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, vol. 28(2), pages 32-57.

  26. Rey, Hélène & Hau, Harald, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers.

    Cited by:

    1. Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
    2. Maghyereh, Aktham & Abdoh, Hussein, 2022. "Extreme dependence between structural oil shocks and stock markets in GCC countries," Resources Policy, Elsevier, vol. 76(C).
    3. Ma, Yong & Pan, Dongtao & Shrestha, Keshab & Xu, Weidong, 2020. "Pricing and hedging foreign equity options under Hawkes jump–diffusion processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
    4. Pierre-Olivier Gourinchas & Hélène Rey, 2007. "International Financial Adjustment," Journal of Political Economy, University of Chicago Press, vol. 115(4), pages 665-703, August.
    5. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    6. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    7. Ethan Ilzetzki & Carmen M Reinhart & Kenneth S Rogoff, 2019. "Exchange Arrangements Entering the Twenty-First Century: Which Anchor will Hold?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 134(2), pages 599-646.
    8. Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2019. "Return spillovers around the globe: A network approach," Economic Modelling, Elsevier, vol. 77(C), pages 133-146.
    9. Philip R. Lane & Jay C. Shambaugh, 2007. "Financial Exchange Rates and International Currency Exposures," The Institute for International Integration Studies Discussion Paper Series iiisdp229, IIIS.
    10. Claudio Raddatz & Sergio L. Schmukler, 2011. "On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios," NBER Chapters, in: Global Financial Crisis, National Bureau of Economic Research, Inc.
    11. Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
    12. Charles W. Calomiris & Mauricio Larrain & Sergio L. Schmukler, 2019. "Capital Inflows, Equity Issuance Activity, and Corporate Investment," Mo.Fi.R. Working Papers 156, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    13. Julia Reynolds & Leopold Sögner & Martin Wagner, 2021. "Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 13(2), pages 105-146, June.
    14. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    15. Fuertes, Ana-Maria & Phylaktis, Kate & Yan, Cheng, 2019. "Uncovered equity “disparity” in emerging markets," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
    16. John C Adams & F Reid Hartsfield, 2010. "Foreign currency exchange rates and mutual fund cash flows," Journal of Asset Management, Palgrave Macmillan, vol. 11(5), pages 314-320, December.
    17. Tille, Cédric, 2008. "Financial integration and the wealth effect of exchange rate fluctuations," Journal of International Economics, Elsevier, vol. 75(2), pages 283-294, July.
    18. Abdorrahman Haeri & Masoud Rabbani & Ali Habibnia, 2011. "The Proposed Mathematical Models for Decision-Making and Forecasting on Euro-Yen in Foreign Exchange Market," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 16(3), pages 67-91, fall.
    19. Jens Eisenschmidt & Klaus Wälde, 2007. "International Trade, Hedging, and the Demand for Forward Contracts," Review of International Economics, Wiley Blackwell, vol. 15(2), pages 414-429, May.
    20. Cumperayot, Phornchanok & Keijzer, Tjeert & Kouwenberg, Roy, 2006. "Linkages between extreme stock market and currency returns," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 528-550, April.
    21. Jinjarak, Yothin, 2014. "Equity prices and financial globalization," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 49-57.
    22. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
    23. Thomas Nitschka, 2007. "Consumption growth, uncovered equity parity and the cross-section of returns on foreign currencies," IEW - Working Papers 340, Institute for Empirical Research in Economics - University of Zurich.
    24. Dagfinn Rime & Hans Jørgen Tranvåg, 2012. "The Flows of the Pacific: Asian foreign exchange markets through tranquility and turbulence," Working Paper 2012/01, Norges Bank.
    25. Feng, Chaonan & Han, Liyan & Vigne, Samuel & Xu, Yang, 2023. "Geopolitical risk and the dynamics of international capital flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    26. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    27. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    28. Marcel Fratzscher, 2012. "Capital Controls and Foreign Exchange Policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(2), pages 66-98, August.
    29. Porras, Eva & Ülkü, Numan, 2015. "Foreigners’ trading and stock returns in Spain," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 111-126.
    30. Ho, Tuan & Nguyen, Yen & Parikh, Bhavik & Vo, Dinh-Tri, 2020. "Does foreign exchange risk matter to equity research analysts when forecasting stock prices? Evidence from U.S. firms," International Review of Financial Analysis, Elsevier, vol. 72(C).
    31. Domenico Ferraro & Kenneth S. Rogoff & Barbara Rossi, 2012. "Can Oil Prices Forecast Exchange Rates?," NBER Working Papers 17998, National Bureau of Economic Research, Inc.
    32. Kunkler, Michael & MacDonald, Ronald, 2018. "Decomposition of the uncovered equity parity correlation," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 44-58.
    33. Chan, Kalok & Yang, Jian & Zhou, Yinggang, 2018. "Conditional co-skewness and safe-haven currencies: A regime switching approach," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 58-80.
    34. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
    35. Kodongo, Odongo & Ojah, Kalu, 2012. "The dynamic relation between foreign exchange rates and international portfolio flows: Evidence from Africa's capital markets," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 71-87.
    36. Bretscher, Lorenzo & Julliard, Christian & Rosa, Carlo, 2016. "Human capital and international portfolio diversification: a reappraisal," LSE Research Online Documents on Economics 64835, London School of Economics and Political Science, LSE Library.
    37. Heeho Kim, 2017. "The Spatial Impact of Cultural Distances on Home Bias across Asian Emerging Markets," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 81-101, March.
    38. Gong, Pu & Dai, Jun, 2017. "Monetary policy, exchange rate fluctuation, and herding behavior in the stock market," Journal of Business Research, Elsevier, vol. 76(C), pages 34-43.
    39. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
    40. Afees A. Salisu & Juncal Cuñado & Kazeem Isah & Rangan Gupta, 2021. "Stock markets and exchange rate behavior of the BRICS," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1581-1595, December.
    41. Chang, Kuang-Liang, 2023. "The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate," Journal of International Money and Finance, Elsevier, vol. 133(C).
    42. Portes, Richard & Rey, Hélène, 1999. "The Determinants of Cross-Border Equity Flows," CEPR Discussion Papers 2225, C.E.P.R. Discussion Papers.
    43. Bing, Tao & Ma, Hongkun, 2021. "COVID-19 pandemic effect on trading and returns: Evidence from the Chinese stock market," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 384-396.
    44. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
    45. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
    46. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
    47. Nikolas A. Müller-Plantenberg, 2017. "Boom-and-bust Cycles, External Imbalances and the Real Exchange Rate," The World Economy, Wiley Blackwell, vol. 40(1), pages 56-87, January.
    48. Marcel Fratzscher & Roland Straub, 2013. "Asset Prices, News Shocks, and the Trade Balance," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1211-1251, October.
    49. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    50. Cole,Shawn Allen & Melecky,Martin & Molders,Florian & Reed,Tristan, 2020. "Long-run Returns to Impact Investing in Emerging Market and Developing Economies," Policy Research Working Paper Series 9366, The World Bank.
    51. Philippe Bacchetta & Eric van Wincoop, 2010. "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, vol. 100(3), pages 870-904, June.
    52. Müller-Plantenberg, Nikolas A., 2010. "Balance of payments accounting and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 46-63, January.
    53. Haakon Kavli & Nicola Viegi, 2015. "Portfolio Flows in a Two-Country RBC Model with Financial Intermediaries," Working Papers 201568, University of Pretoria, Department of Economics.
    54. Schneider, Martin & Albuquerque, Rui & Bauer, Gregory, 2005. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," CEPR Discussion Papers 5159, C.E.P.R. Discussion Papers.
    55. Taylor, Mark, 2014. "Common Macro Factors and Currency Premia," CEPR Discussion Papers 10016, C.E.P.R. Discussion Papers.
    56. Haselmann, Rainer & Herwartz, Helmut, 2010. "The introduction of the Euro and its effects on portfolio decisions," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 94-110, February.
    57. Wu, Manhwa & Huang, Paoyu & Ni, Yensen, 2017. "Capital liberalization and various financial markets: Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 265-274.
    58. Emmanuel Farhi & Xavier Gabaix, "undated". "Rare Disasters and Exchange Rates," Working Paper 71001, Harvard University OpenScholar.
    59. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
    60. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    61. Candian, Giacomo, 2019. "Information frictions and real exchange rate dynamics," Journal of International Economics, Elsevier, vol. 116(C), pages 189-205.
    62. Bruno, Valentina & Shin, Hyun Song, 2018. "Currency depreciation and emerging market corporate distress," CEPR Discussion Papers 13298, C.E.P.R. Discussion Papers.
    63. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
    64. Muhammad Aftab & Rubi Ahmad & Izlin Ismail & Kate Phylaktis, 2021. "Economic integration and the currency and equity markets nexus," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5278-5301, October.
    65. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "The behavior of exchange rate and stock returns in high and low interest rate environments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 138-149.
    66. Martin D. D. Evans & Richard K. Lyons, 2005. "Understanding Order Flow," NBER Working Papers 11748, National Bureau of Economic Research, Inc.
    67. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    68. Reboredo, Juan Carlos & Ugolini, Andrea & Hernandez, Jose Arreola, 2021. "Dynamic spillovers and network structure among commodity, currency, and stock markets," Resources Policy, Elsevier, vol. 74(C).
    69. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    70. Kyungkeun Kim & Dongwon Lee, 2017. "Equity Market Globalization and Portfolio Rebalancing," Working Papers 2017-17, Economic Research Institute, Bank of Korea.
    71. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    72. Vo, Xuan Vinh & Nguyen, Dong Phong & Ho, Viet Tien & Nguyen, Trung Thong, 2017. "Where do the advanced countries invest? An investigation of capital flows from advanced countries to emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 142-154.
    73. Stefan Schüder, 2011. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," EcoMod2011 3024, EcoMod.
    74. Mr. Gian M Milesi-Ferretti & Mr. Philip R. Lane, 2005. "Financial Globalization and Exchange Rates," IMF Working Papers 2005/003, International Monetary Fund.
    75. Fratzscher, Marcel & Straub, Roland, 2010. "Asset Prices, News Shocks and the Current Account," CEPR Discussion Papers 8080, C.E.P.R. Discussion Papers.
    76. Pietro Cova & Filippo Natoli, 2019. "The risk-taking channel of international financial flows," GRU Working Paper Series GRU_2019_015, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    77. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
    78. Castrén, Olli, 2004. "Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?," Working Paper Series 379, European Central Bank.
    79. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
    80. Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
    81. Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
    82. Bjonnes, Geir Hoidal & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "Liquidity provision in the overnight foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 175-196, March.
    83. Warshaw, Evan, 2020. "Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 1-14.
    84. Schüder, Stefan, 2011. "Monetary policy trade-offs in a portfolio model with endogenous asset supply," University of Göttingen Working Papers in Economics 127, University of Goettingen, Department of Economics.
    85. Wang, Kuan-Min & Lee, Yuan-Ming, 2022. "Is gold a safe haven for exchange rate risks? An empirical study of major currency countries," Journal of Multinational Financial Management, Elsevier, vol. 63(C).
    86. Vistesen, Claus, 2008. "Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges," MPRA Paper 9952, University Library of Munich, Germany.
    87. Nina Karnaukh & Angelo Ranaldo & Paul Söderlind, 2015. "Understanding FX Liquidity," The Review of Financial Studies, Society for Financial Studies, vol. 28(11), pages 3073-3108.
    88. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    89. Haakon Kavli & Nicola Viegi, 2017. "Are Determinants of Portfolio Flows Always the Same? - South African Results from a Time Varying Parameter Var Model," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 3-27, March.
    90. Rita Biswas & Louis R. Piccotti & Ben Z. Schreiber, 2021. "Differential risk premiums and the UIP puzzle," Financial Management, Financial Management Association International, vol. 50(1), pages 139-167, March.
    91. Xiaoquan Jiang & Iván M. Rodríguez & Qianying Zhang, 2023. "Macroeconomic fundamentals and cryptocurrency prices: A common trend approach," Financial Management, Financial Management Association International, vol. 52(1), pages 181-198, March.
    92. Dewandaru, Ginanjar & Masih, Rumi & Masih, A. Mansur M., 2016. "What can wavelets unveil about the vulnerabilities of monetary integration? A tale of Eurozone stock markets," Economic Modelling, Elsevier, vol. 52(PB), pages 981-996.
    93. Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," CESifo Working Paper Series 10065, CESifo.
    94. Rey, Hélène & Gourinchas, Pierre-Olivier & Sauzet, Maxime, 2019. "The International Monetary and Financial System," CEPR Discussion Papers 13714, C.E.P.R. Discussion Papers.
    95. Hadiwibowo, Yuniarto & Komatsu, Masaaki, 2011. "Trilemma and macroeconomic policies under different financial structures in Indonesia," Journal of Asian Economics, Elsevier, vol. 22(4), pages 302-310, August.
    96. Jay C. Shambaugh, 2015. "International Currency Exposures, Valuation Effects, and the Global Financial Crisis," Working Papers 2015-3, The George Washington University, Institute for International Economic Policy.
    97. Lee, Hsiu-Chuan & Lee, Yun-Huan & Lu, Yang-Cheng & Wang, Yu-Chun, 2020. "States of psychological anchors and price behavior of Japanese yen futures," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    98. Choi, Yoonho & Choi, E. Kwan, 2022. "Why exchange rate pass-through matters in forward exchange markets," Economic Modelling, Elsevier, vol. 110(C).
    99. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers 405, Institute for Empirical Research in Economics - University of Zurich.
    100. Linda S. Goldberg & Signe Krogstrup, 2018. "International capital flow pressures," Staff Reports 834, Federal Reserve Bank of New York.
    101. Chang Shu & Dong He & Jinyue Dong & Honglin Wang, 2016. "Regional pull vs global push factors: China and US influence on Asia-Pacific financial markets," BIS Working Papers 579, Bank for International Settlements.
    102. Fischer, Andreas & Greminger, Rafael P. & Grisse, Christian & Kaufmann, Sylvia, 2021. "Portfolio rebalancing in times of stress," CEPR Discussion Papers 15777, C.E.P.R. Discussion Papers.
    103. Pami Dua & Divya Tuteja, 2016. "Contagion in International Stock and Currency Markets During Recent Crisis Episodes," Working papers 258, Centre for Development Economics, Delhi School of Economics.
    104. Charles Engel & Akito Matsumoto, 2006. "Portfolio Choice in a Monetary Open-Economy DSGE Model," NBER Working Papers 12214, National Bureau of Economic Research, Inc.
    105. Rob Hayward & Andros Gregoriou, 2021. "International Capital Flows and Speculation," JRFM, MDPI, vol. 14(5), pages 1-12, April.
    106. Wu, Thomas, 2006. "Order Flow in the South: Anatomy of the Brazilian FX Market," Santa Cruz Center for International Economics, Working Paper Series qt1k2250wj, Center for International Economics, UC Santa Cruz.
    107. Suman S. Basu & Atish R. Ghosh & Jonathan D. Ostry & Pablo E. Winant, 2018. "Managing Capital Outflows with Limited Reserves," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(2), pages 333-374, June.
    108. Li, Xin & Su, Chi-Wei & Chang, Hsu-Ling & Ma, Ji, 2018. "Do short-term international capital movements play a role in exchange rate and stock price transmission mechanism in China?," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 15-25.
    109. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    110. Jung, JiYong & Jung, Kuk Mo, 2021. "Stock market uncertainty and uncovered equity parity deviation: Evidence from Asia," Journal of Asian Economics, Elsevier, vol. 73(C).
    111. Yang, Cai & Wang, Xinyi & Gao, Wang, 2022. "Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    112. Rosen Valchev, 2017. "Bond Convenience Yields and Exchange Rate Dynamics," Boston College Working Papers in Economics 943, Boston College Department of Economics.
    113. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    114. Olli Castrén, 2006. "Do Financial Market Variables Show Indicator Properties Relative to Exchange Rate Returns?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 142(1), pages 165-180, April.
    115. Rey, Hélène & Hau, Harald, 2008. "Global Portfolio Rebalancing Under the Microscope," CEPR Discussion Papers 6901, C.E.P.R. Discussion Papers.
    116. Chaban, Maxym, 2009. "Commodity currencies and equity flows," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 836-852, September.
    117. Menzie D. Chinn & Hiro Ito & Robert N. McCauley, 2021. "Do Central Banks Rebalance Their Currency Shares?," NBER Working Papers 29190, National Bureau of Economic Research, Inc.
    118. Fatemeh Salimi Namin, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," AMSE Working Papers 2037, Aix-Marseille School of Economics, France.
    119. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    120. Claus VISTESEN, 2009. "Carry Trade Fundamentals And The Financial Crisis 2007-2010," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(2(8)_ Sum).
    121. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
    122. Masaaki Kijima & Yuan Tian, 2013. "Investment and capital structure decisions of foreign subsidiary with international debt shifting and exchange rate uncertainty," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(2), pages 169-197, November.
    123. Christopher A. Sims, 2007. "Monetary Policy Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(2), pages 75-90.
    124. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
    125. Oliver Hossfeld & Ronald MacDonald, 2014. "Carry Funding and Safe Haven Currencies: A Threshold Regression Approach," CESifo Working Paper Series 5117, CESifo.
    126. Castrén, Olli & Osbat, Chiara & Sydow, Matthias, 2006. "What drives investors' behaviour in different FX market segments? A VAR-based return decomposition analysis," Working Paper Series 706, European Central Bank.
    127. Grivas Chiyaba, 2021. "The components and determinants of FDI within firms: A case study of Zambia," Economics Discussion Papers em-dp2021-09, Department of Economics, University of Reading.
    128. Jeon, Jin Q & Moffett, Clay M., 2010. "Herding by foreign investors and emerging market equity returns: Evidence from Korea," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 698-710, October.
    129. Amanda Liu & Ilhyock Shim & Vladyslav Sushko, 2020. "Cross-border commercial real estate investment in Asia-Pacific," BIS Quarterly Review, Bank for International Settlements, September.
    130. Chang Shu & Dong He & Honglin Wang & Jinyue Dong, 2015. "The influence of Chinese and US financial markets on Asia-Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Cross-border Financial Linkages: Challenges for Monetary Policy and Financial Stability, volume 82, pages 7-24, Bank for International Settlements.
    131. Ginanjar Dewandaru & Rumi Masih & Mansur Masih, 2018. "Unraveling the Financial Contagion in European Stock Markets During Financial Crises: Multi-Timescale Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 859-880, March.
    132. Vedolin, Andrea & Korsaye, Sofonias Alemu & Trojani, Fabio, 2020. "The Global Factor Structure of Exchange Rates," CEPR Discussion Papers 15337, C.E.P.R. Discussion Papers.
    133. Georgios, Katechos, 2011. "On the relationship between exchange rates and equity returns: A new approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 550-559, October.
    134. Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
    135. Dua, Pami & Tuteja, Divya, 2016. "Financial crises and dynamic linkages across international stock and currency markets," Economic Modelling, Elsevier, vol. 59(C), pages 249-261.
    136. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Forecasting the CNY-CNH pricing differential: The role of investor attention," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 232-247.
    137. Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," Swiss Finance Institute Research Paper Series 18-03, Swiss Finance Institute, revised Jun 2018.
    138. Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2017. "Portfolio flows and the US dollar–yen exchange rate," Empirical Economics, Springer, vol. 52(1), pages 179-189, February.
    139. Haselmann, Rainer & Herwartz, Helmut, 2008. "Portfolio performance and the Euro: Prospects for new potential EMU members," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 314-330, March.
    140. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," University of Göttingen Working Papers in Economics 89, University of Goettingen, Department of Economics.
    141. Stoupos, Nikolaos & Nikas, Christos & Kiohos, Apostolos, 2023. "Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets," Emerging Markets Review, Elsevier, vol. 54(C).
    142. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    143. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Exchange rate uncertainty and international portfolio flows: A multivariate GARCH-in-mean approach," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 70-92.
    144. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    145. Yan, Cheng & Wang, Xichen, 2018. "The non-persistent relationship between foreign equity flows and emerging stock market returns across quantiles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 38-54.
    146. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    147. Kuang-Liang Chang, 2021. "A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 965-999, December.
    148. Aliyu, Shehu Usman Rano, 2020. "What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?," MPRA Paper 110382, University Library of Munich, Germany, revised 06 Jun 2021.
    149. Breedon, Francis & Vitale, Paolo, 2010. "An empirical study of portfolio-balance and information effects of order flow on exchange rates," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 504-524, April.
    150. Abuelfadl, Moustafa & Yamani, Ehab, 2021. "Currency news and international bond markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    151. Mr. Jaewoo Lee & Mr. H. Takizawa & Mr. David Hauner, 2011. "In Which Exchange Rate Models Do Forecasters Trust?," IMF Working Papers 2011/116, International Monetary Fund.
    152. João Barata Ribeiro Blanco Barroso, 2016. "Quantitative Easing and United States Investor Portfolio Rebalancing Towards Foreign Assets," Working Papers Series 420, Central Bank of Brazil, Research Department.
    153. International Monetary Fund, 2009. "South Africa: Selected Issues," IMF Staff Country Reports 2009/276, International Monetary Fund.
    154. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    155. Ülkü, Numan & Demirci, Ebru, 2012. "Joint dynamics of foreign exchange and stock markets in emerging Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 55-86.
    156. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2015. "International Portfolio Flows and Exchange Rate Volatility for Emerging Markets," Discussion Papers of DIW Berlin 1519, DIW Berlin, German Institute for Economic Research.
    157. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    158. Zhenzhen Fan & Juan M. Londono & Xiao Xiao, 2019. "US Equity Tail Risk and Currency Risk Premia," International Finance Discussion Papers 1253, Board of Governors of the Federal Reserve System (U.S.).
    159. Kang-Soek Lee, 2017. "Safe-haven currency: An empirical identification," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 924-947, September.
    160. Guglielmo Maria Caporale & Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cross-Border Portfolio Flows and News Media Coverage," CESifo Working Paper Series 8112, CESifo.
    161. Dongwon Lee & Kyungkeun Kim, 2016. "Global Risk and International Equity Portfolio Rebalancing," Working Papers 201605, University of California at Riverside, Department of Economics.
    162. Söderberg, Jonas, 2008. "Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia," CAFO Working Papers 2009:10, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    163. Li, Suxiao & de Haan, Jakob & Scholtens, Bert, 2018. "Cyclical behavior of international fund flows," Research in International Business and Finance, Elsevier, vol. 43(C), pages 99-112.
    164. Djeutem, Edouard & Dunbar, Geoffrey R., 2022. "Uncovered return parity: Equity returns and currency returns," Journal of International Money and Finance, Elsevier, vol. 128(C).
    165. Kim, Kyungkeun & Lee, Dongwon, 2020. "Equity market integration and portfolio rebalancing," Journal of Banking & Finance, Elsevier, vol. 113(C).
    166. Julliard, Christian, 2004. "Human capital and international portfolio choice," LSE Research Online Documents on Economics 4813, London School of Economics and Political Science, LSE Library.
    167. Michenaud, Sébastien & Solnik, Bruno, 2008. "Applying regret theory to investment choices: Currency hedging decisions," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 677-694, September.
    168. Philip R. Lane & Gian Maria Milesi-Ferretti, 2007. "Europe and Global Imbalances," The Institute for International Integration Studies Discussion Paper Series iiisdp226, IIIS.
    169. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2016. "Downside and upside risk spillovers between exchange rates and stock prices," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 76-96.
    170. Valentina Bruno & Ilhyock Shim & Hyun Song Shin, 2022. "Dollar beta and stock returns," Oxford Open Economics, Oxford University Press, vol. 1, pages 1-10.
    171. Maggiori, Matteo, 2021. "International Macroeconomics With Imperfect Financial Markets," SocArXiv z8g6r, Center for Open Science.
    172. Sun, Lingxia & Lee, Dong Wook, 2019. "Dollar-weighted return on aggregate corporate sector: How is it distributed across countries?," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    173. Jung, Kuk Mo, 2015. "Liquidity Risk and Time-Varying Correlation Between Equity and Currency Returns," MPRA Paper 67416, University Library of Munich, Germany.
    174. Combes, Jean-Louis & Kinda, Tidiane & Ouedraogo, Rasmané & Plane, Patrick, 2019. "Financial flows and economic growth in developing countries," Economic Modelling, Elsevier, vol. 83(C), pages 195-209.
    175. Melvin, Michael & Prins, John, 2015. "Equity hedging and exchange rates at the London 4p.m. fix," Journal of Financial Markets, Elsevier, vol. 22(C), pages 50-72.
    176. Joon Woo Bae & Redouane Elkamhi, 2021. "Global Equity Correlation in International Markets," Management Science, INFORMS, vol. 67(11), pages 7262-7289, November.
    177. Lubomír Skoupil, 2015. "Hedger Behaviour and Its Impact on Order Flow and Exchange Rate on Foreign Exchange Markets," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2015(6), pages 3-20.
    178. Sangyup Choi & Jiri Havel, 2023. "Geopolitical Risk and Foreign Portfolio Investment: A Tale of Advanced and Emerging Markets," Working papers 2023rwp-221, Yonsei University, Yonsei Economics Research Institute.
    179. Ingomar Krohn & Philippe Mueller & Paul Whelan, 2021. "Foreign Exchange Fixings and Returns Around the Clock," Staff Working Papers 21-48, Bank of Canada.
    180. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
    181. Kenourgios, Dimitris & Drakonaki, Emmanouela & Dimitriou, Dimitrios, 2019. "ECB’s unconventional monetary policy and cross-financial-market correlation dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    182. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    183. Kanchanapoom Termkiat & Padungsaksawasdi Chaiyuth & Chunhachinda Pornchai & de Boyrie Maria E., 2018. "Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials," Global Economy Journal, De Gruyter, vol. 18(3), pages 1-11, September.
    184. Kabir, Sarkar Humayun & Masih, Mansur, 2014. "Dynamic Integration of Domestic Equity Price, Foreign Equity Price and Macroeconomic Indicators: Evidence from Malaysia," MPRA Paper 57007, University Library of Munich, Germany.
    185. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    186. Pami Dua & Divya Tuteja, 2013. "Interdependence Of International Financial Market-- The Case Of India And U.S," Working papers 223, Centre for Development Economics, Delhi School of Economics.
    187. Stanley W. Black, 2015. "The Portfolio Theory of Exchange Rates—Then and Now," Review of International Economics, Wiley Blackwell, vol. 23(2), pages 379-386, May.
    188. Vargas, Gregorio A., 2008. "What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?," MPRA Paper 7174, University Library of Munich, Germany.
    189. Ülkü, Numan & Fatullayev, Sabutay & Diachenko, Daria, 2016. "Can risk-rebalancing explain the negative correlation between stock return differential and currency? Or, does source status drive it?," Journal of Financial Markets, Elsevier, vol. 27(C), pages 28-54.
    190. Aktham Maghyereh & Hussein Abdoh, 2022. "Can news-based economic sentiment predict bubbles in precious metal markets?," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-29, December.
    191. Bahcivan, Hulusi & Karahan, Cenk C., 2022. "High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange," International Review of Financial Analysis, Elsevier, vol. 80(C).
    192. Bakshi, Gurdip & Panayotov, George, 2013. "Predictability of currency carry trades and asset pricing implications," Journal of Financial Economics, Elsevier, vol. 110(1), pages 139-163.
    193. Yutaka Kurihara, 2015. "Are Japanese Stock Prices Important Deterministic Elements of Exchange Rate Returns?," Bulletin of Applied Economics, Risk Market Journals, vol. 2(2), pages 1-9.
    194. Rodney Ramcharan & Christopher Crowe, 2013. "The Impact of House Prices on Consumer Credit: Evidence from an Internet Bank," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1085-1115, September.
    195. Arif P. Sulistiono & Miki Ishida, 2019. "Finding The Driver: A Case Study Of Indonesian Government Bond Market," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 543-574, June.
    196. Cho, Jin-Wan & Choi, Joung Hwa & Kim, Taeyong & Kim, Woojin, 2016. "Flight-to-quality and correlation between currency and stock returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 191-212.
    197. Fatemeh Salimi, 2020. "Exchange Rates, Stock Prices, and Stock Market Uncertainty," Working Papers halshs-03007904, HAL.
    198. Gregor von Schweinitz & Lena Tonzer & Manuel Buchholz, 2021. "Monetary policy through exchange rate pegs: The removal of the Swiss franc‐Euro floor and stock price reactions," International Review of Finance, International Review of Finance Ltd., vol. 21(4), pages 1382-1406, December.
    199. Schüder, Stefan, 2012. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65402, Verein für Socialpolitik / German Economic Association.
    200. Fratzscher, Marcel & Straub, Roland, 2009. "Asset prices and current account fluctuations in G7 economies," Working Paper Series 1014, European Central Bank.
    201. Korsaye, Sofonias Alemu & Trojani, Fabio & Vedolin, Andrea, 2023. "The global factor structure of exchange rates," Journal of Financial Economics, Elsevier, vol. 148(1), pages 21-46.
    202. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    203. Sean J. Gossel & Nicholas Biekpe, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 29(2), pages 105-117, June.
    204. Arash Aloosh & Geert Bekaert, 2019. "Currency Factors," NBER Working Papers 25449, National Bureau of Economic Research, Inc.
    205. Tshikalange, Mulanga & Bonga-Bonga, Lumengo, 2023. "The determinants of the dynamic correlation between foreign exchange and equity markets: Cross-Country comparisons," MPRA Paper 118401, University Library of Munich, Germany.
    206. Chang, Sanders S., 2013. "Can cross-country portfolio rebalancing give rise to forward bias in FX markets?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1079-1096.
    207. Li, Kui-Wai, 2011. "Identifying the Signs of Currency Speculation in Hong Kong's Linked exchange Rate," MPRA Paper 35279, University Library of Munich, Germany.
    208. Eric McCoy, 2020. "Euro-US Dollar Exchange Rate Dynamics at the Effective Lower Bound," European Economy - Economic Briefs 055, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    209. Khuram Shafi & Liu Hua & Zahra Idrees & Amna Nazeer, 2015. "Exchange Rate Volatility and Macroeconomic War: A Comparative Study of India and Pakistan," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 5(1), pages 257-269, January.
    210. Frömmel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2003. "Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach," Hannover Economic Papers (HEP) dp-289, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    211. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1491-1505.
    212. Jinjarak, Yothin & Wongswan, Jon & Zheng, Huanhuan, 2011. "International fund investment and local market returns," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 572-587, March.
    213. Wei Sun & Lian An, 2011. "Dynamics of floating exchange rate: how important are capital flows relative to macroeconomic fundamentals?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 35(4), pages 456-472, October.
    214. Peter Hördahl & Giorgio Valente, 2022. "Emerging market bond flows and exchange rate returns," BIS Working Papers 1042, Bank for International Settlements.
    215. Ding, Liang, 2021. "Conditional correlation between exchange rates and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 452-463.
    216. Nathan, Daniel & Ben Zeev, Nadav, 2022. "Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination," MPRA Paper 112909, University Library of Munich, Germany.
    217. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    218. Rodney Ramcharan & Christopher Crowe, 2013. "The Impact of House Prices on Consumer Credit: Evidence from an Internet Bank," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(6), pages 1085-1115, September.
    219. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations [‘Micro effects of macro announcements: Real-time price discovery in foreign exchange’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 23(54), pages 364-409.
    220. Shu, Chang & He, Dong & Dong, Jinyue & Wang, Honglin, 2018. "Regional pull vs global push factors: China and US influence on Asian financial markets," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 112-132.
    221. Kari Heimonen, 2009. "The euro–dollar exchange rate and equity flows," Review of Financial Economics, John Wiley & Sons, vol. 18(4), pages 202-209, October.
    222. Wenxin Du & Jesse Schreger, 2016. "Local Currency Sovereign Risk," Journal of Finance, American Finance Association, vol. 71(3), pages 1027-1070, June.
    223. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
    224. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
    225. Lucjan Orlowski & Carolyne Soper & Monika Sywak, 2023. "Uncovered equity returns parity in non‐euro Central European EU member countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 307-315, January.
    226. French, Joseph J. & Naka, Atsuyuki, 2013. "Dynamic relationships among equity flows, equity returns and dividends: Behavior of U.S. investors in China and India," Global Finance Journal, Elsevier, vol. 24(1), pages 13-29.
    227. Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
    228. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
    229. Xiaoping Li & Zhipeng Zhang & Junyu Pan & Jihong Duan, 2023. "Investor attention and the predictability of the volatility of CNY‐CNH spreads: Evidence from a GARCH‐MIDAS model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(5), pages 4939-4959, December.
    230. Philip R. Lane & G Milesi-Feretti, 2004. "Financial Globalization and Exchange Rates," CEP Discussion Papers dp0662, Centre for Economic Performance, LSE.
    231. Nikolaos Stoupos & Apostolos Kiohos, 2021. "BREXIT referendum’s impact on the financial markets in the UK," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 157(1), pages 1-19, February.
    232. Orlov, Vitaly, 2016. "Currency momentum, carry trade, and market illiquidity," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 1-11.
    233. Fratzscher, Marcel & Straub, Roland & Saborowski, Christian, 2010. "Monetary Policy Shocks and Portfolio Choice," CEPR Discussion Papers 8099, C.E.P.R. Discussion Papers.
    234. Numan Ülkü & Petar Petrov, 2015. "How Reliable Are the Findings of ‘Foreign’ Investor Studies That Use TIC Data? A Look from the Host Market," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 521-553, December.
    235. Gao Meng & Eric Wincoop, 2020. "A Decomposition of International Capital Flows," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 68(2), pages 362-389, June.
    236. Cappiello, Lorenzo & De Santis, Roberto A., 2007. "The uncovered return parity condition," Working Paper Series 812, European Central Bank.
    237. Dirk G Baur & Isaac Miyakawa, 2013. "International Investors, Exchange Rates and Equity Prices," Working Paper Series 178, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    238. Kryzanowski, Lawrence & Zhang, Jie & Zhong, Rui, 2017. "Cross-financial-market correlations and quantitative easing," Finance Research Letters, Elsevier, vol. 20(C), pages 13-21.
    239. Bruce Morley, 2009. "Exchange Rates and Stock Prices in the Long Run and Short Run," Department of Economics Working Papers 5/09, University of Bath, Department of Economics.
    240. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
    241. Utku Altunoz, 2020. "Determining the Interaction of the International Portfolio Flows with Exchange Rate Volatility in Developing Countries," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 6(1), pages 41-54, June.
    242. Aftab, Muhammad & Ahmad, Rubi & Ismail, Izlin, 2018. "Examining the uncovered equity parity in the emerging financial markets," Research in International Business and Finance, Elsevier, vol. 45(C), pages 233-242.
    243. Stefan Schueder, 2011. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," Working Papers 2011.3, International Network for Economic Research - INFER.
    244. Hasler, Nicole, 2016. "US International Equity Investment and Economic Fundamentals," VfS Annual Conference 2016 (Augsburg): Demographic Change 145840, Verein für Socialpolitik / German Economic Association.
    245. Yih-Bey Lin & Fu-Min Chang & Yu-Hin Leung & Jui-Feng Lin & Nicholas Lee, 2018. "Do European Central Bank Asset Purchase Programmes Matter for the Euro-area Stock Markets and Brent Crude Market?," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 115-120.
    246. Schüder, Stefan, 2014. "Expansive monetary policy in a portfolio model with endogenous asset supply," Economic Modelling, Elsevier, vol. 41(C), pages 239-252.
    247. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
    248. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.
    249. Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip & Chan, Eric, 2014. "Exchange rate fluctuations and international portfolio rebalancing," Emerging Markets Review, Elsevier, vol. 18(C), pages 34-44.
    250. Lu, Helen & Jacobsen, Ben, 2016. "Cross-asset return predictability: Carry trades, stocks and commodities," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 62-87.

  27. Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.

    Cited by:

    1. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
    2. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamaï, 2021. "Equilibrium asset pricing with transaction costs," Finance and Stochastics, Springer, vol. 25(2), pages 231-275, April.
    3. Carolin Fritzsche & Lucas Rohleder, 2017. "Effekte von Änderungen der Grunderwerbsteuer – Ein Überblick über die Ergebnisse internationaler Studien," ifo Dresden berichtet, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 24(05), pages 09-14, October.
    4. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
    5. Nicole Aregger & Martin Brown & Dr. Enzo Rossi, 2013. "Transaction Taxes, Capital Gains Taxes and House Prices," Working Papers 2013-02, Swiss National Bank.
    6. Danilova, Albina & Julliard, Christian, 2015. "Information asymmetries, volatility, liquidity and the Tobin Tax," LSE Research Online Documents on Economics 119016, London School of Economics and Political Science, LSE Library.
    7. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
    8. Yuming Fu & Wenlan Qian & Bernard Yeung, 2013. "Speculative Investors and Tobin's Tax in the Housing Market," NBER Working Papers 19400, National Bureau of Economic Research, Inc.
    9. Sirnes Espen, 2022. "Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy," Review of Economics, De Gruyter, vol. 73(1), pages 57-77, April.
    10. Bofinger, Peter & Franz, Wolfgang & Schmidt, Christoph M. & Weder di Mauro, Beatrice & Wiegard, Wolfgang, 2010. "Chancen für einen stabilen Aufschwung. Jahresgutachten 2010/11 [Chances for a stable upturn. Annual Report 2010/11]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201011.
    11. Hvozdyk, Lyudmyla & Rustanov, Serik, 2016. "The effect of financial transaction tax on market liquidity and volatility: An Italian perspective," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 62-78.
    12. Paolo Pellizzari & Frank Westerhoff, 2009. "Some effects of transaction taxes under different microstructures," Working Papers 190, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    13. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
    14. Leal, Sandrine Jacob & Napoletano, Mauro, 2019. "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 15-41.
    15. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
    16. Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
    17. Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW Kiel).
    18. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    19. Huber, Jürgen & Kleinlercher, Daniel & Kirchler, Michael, 2012. "The impact of a financial transaction tax on stylized facts of price returns—Evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1248-1266.
    20. Markku Lanne & Timo Vesalay, 2005. "The Effect of a Transaction Tax on Exchange Rate Volatility," Economics Working Papers ECO2005/19, European University Institute.
    21. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    22. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    23. European Commission, 2010. "Innovative Financing at a Global Level," Taxation Studies 0031, Directorate General Taxation and Customs Union, European Commission.
    24. Grigaliuniene, Zana & Celov, Dmitrij & Hartwell, Christopher A., 2020. "The more the Merrier? The reaction of euro area stock markets to new members," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    25. Olivier Damette, 2016. "Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment," Post-Print hal-01601393, HAL.
    26. Thomas Hemmelgarn & Gaetan Nicodeme, 2010. "The 2008 Financial Crisis and Taxation Policy," Taxation Papers 20, Directorate General Taxation and Customs Union, European Commission.
    27. Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016. "Financial Transaction Taxes in the European Union," Taxation Papers 62, Directorate General Taxation and Customs Union, European Commission.
    28. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
    29. He, Eric & Jacob, Martin & Vashishtha, Rahul & Venkatachalam, Mohan, 2022. "Does differential taxation of short-term relative to long-term capital gains affect long-term investment?," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    30. Francis Bismans & Olivier Damette, 2012. "La taxe Tobin : une synthèse des travaux basés sur la théorie des jeux et l’économétrie," Working Papers of BETA 2012-09, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    31. Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian, 2015. "Can a financial transaction tax prevent stock price booms?," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 90-109.
    32. Yongheng Deng & Xin Liu & Shang-Jin Wei, 2014. "One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?," NBER Working Papers 19974, National Bureau of Economic Research, Inc.
    33. Hanke, Michael & Huber, Jürgen & Kirchler, Michael & Sutter, Matthias, 2010. "The economic consequences of a Tobin tax--An experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 74(1-2), pages 58-71, May.
    34. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "Assessing the impact of an EU financial transactions tax on asset volatility: An event study," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 12-24.
    35. V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
    36. Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
    37. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
    38. Peter Gomber & Martin Haferkorn & Kai Zimmermann, 2016. "Securities Transaction Tax and Market Quality – the Case of France," European Financial Management, European Financial Management Association, vol. 22(2), pages 313-337, March.
    39. Jürgen Huber & Michael Kirchler & Daniel Kleinlercher & Matthias Sutter, 2017. "Market versus Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," Economic Journal, Royal Economic Society, vol. 127(605), pages 610-631, October.
    40. Huber, Jürgen & Kirchler, Michael & Kleinlercher, Daniel & Sutter, Matthias, 2014. "Market vs. Residence Principle: Experimental Evidence on the Effects of a Financial Transaction Tax," IZA Discussion Papers 7978, Institute of Labor Economics (IZA).
    41. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    42. Kang Shi & Juanyi Xu, 2009. "Entry cost, the Tobin tax, and noise trading in the foreign exchange market," Canadian Journal of Economics, Canadian Economics Association, vol. 42(4), pages 1501-1526, November.
    43. Will, Matthias Georg & Prehn, Sören & Pies, Ingo & Glauben, Thomas, 2012. "Schadet oder nützt die Finanzspekulation mit Agrarrohstoffen? Ein Literaturüberblick zum aktuellen Stand der empirischen Forschung," Discussion Papers 2012-26, Martin Luther University of Halle-Wittenberg, Chair of Economic Ethics.
    44. Sabastine Mushori & Delson Chikobvu, 2018. "Investment Opportunities, Uncertain Implicit Transaction Costs and Maximum Downside Risk in Dynamic Stochastic Financial Optimization," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 256-264.
    45. Michler Albrecht F. & Penatzer Markus, 2012. "Finanztransaktionssteuer: Zielsetzungen und potenzielle Auswirkungen / Financial transaction tax: Objectives and potential effects," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 63(1), pages 85-108, January.
    46. Stephan Schulmeister & Margit Schratzenstaller & Oliver Picek, 2008. "A General Financial Transaction Tax. Motives, Revenues, Feasibility and Effects," WIFO Studies, WIFO, number 31819, April.
    47. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
    48. Sabastine Mushori & Delson Chikobvu, 2016. "A Stochastic Multi-stage Trading Cost model in optimal portfolio selection," EERI Research Paper Series EERI RP 2016/23, Economics and Econometrics Research Institute (EERI), Brussels.
    49. Eichfelder, Sebastian & Noack, Mona & Noth, Felix, 2022. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and reallocation of trading activity," IWH Discussion Papers 12/2022, Halle Institute for Economic Research (IWH).
    50. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
    51. Olivier Damette, 2009. "Exchange rate volatility and noise traders: Currency Transaction Tax as an eviction device," Economics Bulletin, AccessEcon, vol. 29(3), pages 2449-2464.
    52. Tobias Dieler & Sonny Biswas & Giacomo Calzolari & Fabio Castiglionesi, 2023. "Asset Trade, Real Investment, and a Tilting Financial Transaction Tax," Management Science, INFORMS, vol. 69(4), pages 2401-2424, April.
    53. Jürgen Antony & Michiel Bijlsma & Adam Elbourne & Marcel Lever & Gijsbert Zwart, 2012. "Financial transaction tax: review and assessment," CPB Discussion Paper 202, CPB Netherlands Bureau for Economic Policy Analysis.
    54. Kirchler, Michael & Huber, Jürgen & Kleinlercher, Daniel, 2011. "Market microstructure matters when imposing a Tobin tax—Evidence from the lab," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 586-602.
    55. Xinhui Yang & Jie Zhang & Qing Ye, 2020. "Tick size and market quality: Simulations based on agent‐based artificial stock markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 27(3), pages 125-141, July.
    56. Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
    57. Atanas Pekanov & Margit Schratzenstaller, 2019. "A Global Financial Transaction Tax. Theory, Practice and Potential Revenues," WIFO Working Papers 582, WIFO.
    58. Johannes Muhle‐Karbe & Marcel Nutz & Xiaowei Tan, 2020. "Asset pricing with heterogeneous beliefs and illiquidity," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1392-1421, October.
    59. Alexander Mende & Lukas Menkhoff, 2003. "Tobin Tax Effects Seen from the Foreign Exchange Market's Microstructure," International Finance, Wiley Blackwell, vol. 6(2), pages 227-247, July.
    60. Parthasarathi Shome, 2011. "Financial Transactions Taxes," Working Papers id:3930, eSocialSciences.
    61. Kelly Shue & Richard R. Townsend, 2021. "Can the Market Multiply and Divide? Non‐Proportional Thinking in Financial Markets," Journal of Finance, American Finance Association, vol. 76(5), pages 2307-2357, October.
    62. Johannes Muhle-Karbe & Marcel Nutz & Xiaowei Tan, 2019. "Asset Pricing with Heterogeneous Beliefs and Illiquidity," Papers 1905.05730, arXiv.org, revised Mar 2020.
    63. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
    64. Ferdinand Fichtner & Kerstin Bernoth & Franziska Bremus & Karl Brenke & Christian Dreger & Burcu Erdogan & Hendrik Hagedorn & Vladimir Kuzin & Katharina Moll & Maximilian Podstawski & Jasper Scheppe &, 2010. "Sommergrundlinien 2010," DIW Wochenbericht, DIW Berlin, German Institute for Economic Research, vol. 77(26), pages 2-28.
    65. Kelly Shue & Richard R. Townsend, 2019. "Can the Market Multiply and Divide? Non-Proportional Thinking in Financial Markets," NBER Working Papers 25751, National Bureau of Economic Research, Inc.
    66. Rieger, Jörg, 2014. "Financial Transaction Tax and Financial Market Stability with Diverse Beliefs," Working Papers 0563, University of Heidelberg, Department of Economics.
    67. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
    68. Anna Pomeranets & Daniel G. Weaver, 2011. "Security Transaction Taxes and Market Quality," Staff Working Papers 11-26, Bank of Canada.
    69. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
    70. European Commission, 2010. "Tax Policy after the Crisis: Monitoring Tax Revenues and Tax Reforms in EU Member States 2010 Report," Taxation Papers 24, Directorate General Taxation and Customs Union, European Commission.
    71. FitzGerald, John & Central Bank Staff, 2012. "The EU Financial Transactions Tax Proposal: A Preliminary Evaluation," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT217, June.
    72. Martin Herdegen & Johannes Muhle-Karbe & Dylan Possamai, 2019. "Equilibrium Asset Pricing with Transaction Costs," Papers 1901.10989, arXiv.org, revised Sep 2020.
    73. Demary, Markus, 2009. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics Discussion Papers 2009-47, Kiel Institute for the World Economy (IfW Kiel).
    74. Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008. "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers 518, Institut d'Économie Industrielle (IDEI), Toulouse.

  28. Moore, Michael & Hau, Harald & Killeen, William, 2000. "The Euro as an International Currency: Explaining Puzzling First Evidence," CEPR Discussion Papers 2510, C.E.P.R. Discussion Papers.

    Cited by:

    1. Richard Payne & Charles Goodhart & Dagfinn Rime, 2002. "Analysis of spreads in the Dollar/Euro and Deutsche Mark/Dollar foreign exchange markets," FMG Discussion Papers dp467, Financial Markets Group.
    2. Gabriele Galati & Kostas Tsatsaronis, 2001. "The impact of the euro on Europe's financial markets," BIS Working Papers 100, Bank for International Settlements.
    3. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    4. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    5. Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 760-779, August.
    6. Mr. Jorge I Canales Kriljenko, 2004. "Foreign Exchange Market Organization in Selected Developing and Transition Economies: Evidence from a Survey," IMF Working Papers 2004/004, International Monetary Fund.
    7. Heimonen, Kari, 2001. "Substituting a substitute currency: The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Portes, Richard, 2001. "The Euro and the International Financial System," CEPR Discussion Papers 2955, C.E.P.R. Discussion Papers.
    9. Fischer, Andreas M., 2002. "Fluctuations in the Swiss Franc: What Has Changed Since the Euro's Introduction?," Journal of Public Policy, Cambridge University Press, vol. 22(2), pages 143-159, September.
    10. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    11. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.

  29. Hau, Harald, 2000. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," CEPR Discussion Papers 2356, C.E.P.R. Discussion Papers.

    Cited by:

    1. Daniel Aromi & Marcos Dal Bianco, 2014. "Un analisis de los desequilibrios del tipo de cambio real argentino bajo cambios de regimen," Working Papers 1431, BBVA Bank, Economic Research Department.
    2. Jorge Carrera & Guillermo Vuletin, 2003. "The Effects of Exchange Rate Regimes on Real Exchange Rate Volatility. A Dynamic Panel Data Approach," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31st Brazilian Economics Meeting] c67, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    3. Stefan Ried, 2009. "Putting Up a Good Fight: The Galí-Monacelli Model versus “The Six Major Puzzles in International Macroeconomicsâ€," SFB 649 Discussion Papers SFB649DP2009-020, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Emanuel Kohlscheen, 2010. "Emerging Floaters: pass-throughs and (some) new commodity currencies," Working Papers Series 224, Central Bank of Brazil, Research Department.
    5. Philippe Aghion & Philippe Baccheta & Romain Ranciere & Kenneth Rogoff, 2006. "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development," Swiss Finance Institute Research Paper Series 06-16, Swiss Finance Institute.
    6. Ganguly, Srideep & Breuer, Janice Boucher, 2010. "Nominal exchange rate volatility, relative price volatility, and the real exchange rate," Journal of International Money and Finance, Elsevier, vol. 29(5), pages 840-856, September.
    7. Tommaso Monacelli, 2000. "Relinquishing Monetary Policy Independence," Boston College Working Papers in Economics 483, Boston College Department of Economics.
    8. Ricardo Hausmann & Ugo Panizza & Roberto Rigobon, 2004. "The Long-Run Volatility Puzzle of the Real Exchange Rate," NBER Working Papers 10751, National Bureau of Economic Research, Inc.
    9. Hyun Kook Shin & Byoung Hark Yoo, 2012. "The Volatility Of The Won-Dollar Exchange Rate During The 2008-9 Crisis," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 37(4), pages 61-77, December.
    10. Yin-Wong Cheung & Kon S. Lai, 2009. "A Multiple-Horizon Search for the Role of Trade and Financial Factors in Bilateral Real Exchange Rate Volatility," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 5(2), pages 187-218, July.
    11. Olivier Habimana, 2017. "Do flexible exchange rates facilitate external adjustment? A dynamic approach with time-varying and asymmetric volatility," International Economics and Economic Policy, Springer, vol. 14(4), pages 625-642, October.
    12. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," NBER Working Papers 10607, National Bureau of Economic Research, Inc.
    13. Gnangnon, Sèna Kimm, 2021. "Tax reform and public debt instability in developing countries: The trade openness and public revenue instability channels," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 54-67.
    14. Michael Bleaney & Manuela Francisco, 2009. "What Makes Currencies Volatile? An Empirical Investigation," NIPE Working Papers 22/2009, NIPE - Universidade do Minho.
    15. Arshian Sharif, Sahar Afshan, 2016. "Tourism Development and Real Effective Exchange Rate Revisited by Wavelet based Analysis: Evidence from France," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(2), pages 101-118, October.
    16. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Nominal Exchange Rate Volatility? Evidence from the Latin American Countries," Discussion Paper Series 2010_10, Department of Economics, University of Macedonia, revised Jul 2010.
    17. Serhan Cevik & Richard D. F. Harris & Fatih Yilmaz, 2017. "Soft power and exchange rate volatility," International Finance, Wiley Blackwell, vol. 20(3), pages 271-288, December.
    18. Jounghyeon Kim, 2019. "The Impact of Remittances on Exchange Rate and Money Supply: Does “Openness” Matter in Developing Countries?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(15), pages 3682-3707, December.
    19. Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
    20. Amalia Morales-Zumaquero & Simón Sosvilla-Rivero, 2012. "Real exchange rate volatility, financial crises and nominal exchange regimes," Working Papers 12-05, Asociación Española de Economía y Finanzas Internacionales.
    21. Cooke, Dudley, 2010. "Consumption home bias and exchange rate behavior," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 415-425, March.
    22. Davide Romelli & Cristina Terra & Enrico Vasconcelos, 2016. "Current Account and Real Exchange Rate changes: the impact of trade openness," Working Papers Series 437, Central Bank of Brazil, Research Department.
    23. Lord Mensah & Charles Andoh & Saint Kuttu & Eric Boachie-Yiadom, 2023. "The level of African forex markets integration and Eurobond issue," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 232-250, March.
    24. Mariarosaria Comunale, 2016. "Dutch Disease, Real Effective Exchange Rate Misalignments and their effect on GDP growth in the EU," Bank of Lithuania Working Paper Series 26, Bank of Lithuania.
    25. Corsetti, Giancarlo, 2006. "Openness and the Case for Flexible Exchange Rates," CEPR Discussion Papers 5612, C.E.P.R. Discussion Papers.
    26. Jian Wang, 2007. "Home bias, exchange rate disconnect, and optimal exchange rate policy," Working Papers 0701, Federal Reserve Bank of Dallas.
    27. Al-Abri, Almukhtar, 2013. "Real exchange rate volatility, terms-of-trade shocks, and financial integration in primary-commodity exporting economies," Economics Letters, Elsevier, vol. 120(1), pages 126-129.
    28. Claudio Bravo-Ortega & Julian di Giovanni, 2006. "Remoteness and Real Exchange Rate Volatility," IMF Staff Papers, Palgrave Macmillan, vol. 53(si), pages 1-6.
    29. Itskhoki, Oleg & Mukhin, Dmitry, 2021. "Exchange rate disconnect in general equilibrium," LSE Research Online Documents on Economics 112140, London School of Economics and Political Science, LSE Library.
    30. Arthur Chopkeng Awounang & Maxime Niee Foning, 2014. "Macroeconomic Volatility and Physical Capital Accumulation in Sub-Saharan Africa," International Journal of Economic Sciences, Prague University of Economics and Business, vol. 2014(2), pages 01-19.
    31. Evzen Kocenda & Michala Moravcova, 2017. "Exchange Rate Co-movements, Hedging and Volatility Spillovers in New EU Forex Markets," Working Papers IES 2017/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Nov 2017.
    32. Johnson, Robert & Soenen, Luc, 2004. "The US stock market and the international value of the US dollar," Journal of Economics and Business, Elsevier, vol. 56(6), pages 469-481.
    33. Temple, Jonathan, 2002. "Openness, Inflation, and the Phillips Curve: A Puzzle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 450-468, May.
    34. Jorge Carrera & Romain Restout, 2008. "Long Run Determinants of Real Exchange Rates in Latin America," Post-Print halshs-00276402, HAL.
    35. Thi Hong Hanh Pham, 2018. "Liquidity and exchange rate volatility," Working Papers halshs-01708633, HAL.
    36. Chung-Fu Lai & Wen-Fang Wang, 2016. "Fiscal Policy in a Floating Exchange Rate Regime with Consumption Home Bias," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(6), pages 1-24, June.
    37. Rose, Andrew K., 2007. "A stable international monetary system emerges: Inflation targeting is Bretton Woods, reversed," Journal of International Money and Finance, Elsevier, vol. 26(5), pages 663-681, September.
    38. Hossain, Monzur, 2010. "Do Currency Regime and Developmental Stage Matter for Real Exchange Rate Volatility? A Cross-Country Analysis," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 33(4), pages 1-22, December.
    39. Christopher Bowdler, 2005. "Openness, exchange rate regimes and the Phillips curve," Economics Papers 2005-W25, Economics Group, Nuffield College, University of Oxford.
    40. Jordi Galí & Tommaso Monacelli, 2005. "Monetary Policy and Exchange Rate Volatility in a Small Open Economy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 707-734.
    41. Esteban Jadresic & Jorge Selaive, 2006. "Is the Foreign Exchange Derivates Market Effective and Efficient in Reducing Currency Risk?," Central Banking, Analysis, and Economic Policies Book Series, in: Ricardo Caballero & César Calderón & Luis Felipe Céspedes & Norman Loayza (Series Editor) & Klaus Sc (ed.),External Vulnerability and Preventive Policies, edition 1, volume 10, chapter 8, pages 253-288, Central Bank of Chile.
    42. Andrew K. Rose & Saktiandi Supaat & Jacob Braude, 2009. "Fertility and the real exchange rate," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(2), pages 496-518, May.
    43. Chernyshoff, Natalia & Jacks, David S. & Taylor, Alan M., 2009. "Stuck on gold: Real exchange rate volatility and the rise and fall of the gold standard, 1875-1939," Journal of International Economics, Elsevier, vol. 77(2), pages 195-205, April.
    44. Sheng, Andrew & Kwek, Kian-Teng & Cho, Cho-Wai, 2009. "A tale of Asian exchange rate management: Romance of the three currencies," Journal of Asian Economics, Elsevier, vol. 20(5), pages 519-535, September.
    45. Fitzgerald, Doireann, 2004. "Trade, Interdependence and Exchange Rates," Santa Cruz Department of Economics, Working Paper Series qt4794h3b1, Department of Economics, UC Santa Cruz.
    46. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
    47. Ondra Kamenik & Michael Kumhof, 2014. "Trade Openness and Exchange Rate Regimes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1657-1686, December.
    48. Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
    49. Ofori, Isaac Kwesi & Obeng, Camara Kwasi & Armah, Mark Kojo, 2018. "Exchange Rate Volatility and Tax Revenue: Evidence from Ghana," MPRA Paper 99857, University Library of Munich, Germany.
    50. Al-Abri, Almukhtar & Baghestani, Hamid, 2015. "Foreign investment and real exchange rate volatility in emerging Asian countries," Journal of Asian Economics, Elsevier, vol. 37(C), pages 34-47.
    51. Darius, Reginald, 2010. "The macroeconomic effects of monetary and fiscal policy in a small open economy: Does the exchange rate regime matter?," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1508-1528, December.
    52. Tommaso Monacelli, 2003. "Commitment, Discretion and Fixed Exchange Rates in an Open Economy," Working Papers 233, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    53. Victor Shevchuk & Roman Kopych, 2021. "Exchange Rate Volatility, Currency Misalignment, and Risk of Recession in the Central and Eastern European Countries," Risks, MDPI, vol. 9(5), pages 1-19, May.
    54. Manwa, Farai & Wijeweera, Albert & Kortt, Michael A., 2019. "Trade and growth in SACU countries: A panel data analysis," Economic Analysis and Policy, Elsevier, vol. 63(C), pages 107-118.
    55. Nsofor Ebele Sabina & Takon Samuel Manyo & Ugwuegbe Sebastine Ugochukwu, 2017. "Modeling Exchange Rate Volatility and Economic Growth in Nigeria," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 2(6), pages 88-97, June.
    56. Przemek Kowalski & Wojciech Paczynski & Lukasz Rawdanowicz, 2003. "Exchange Rate Regimes and the Real Sector: a Sectoral Analysis of CEE Countries," CASE Network Studies and Analyses 0248, CASE-Center for Social and Economic Research.
    57. Comunale, Mariarosaria & Simola, Heli, 2016. "The pass-through to consumer prices in CIS economies: The role of exchange rates, commodities and other common factors," BOFIT Discussion Papers 16/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
    58. Mark M. Spiegel, 2011. "Comment on "Identifying the Relationship Between Trade and Exchange Rate Volatility"," NBER Chapters, in: Commodity Prices and Markets, pages 114-118, National Bureau of Economic Research, Inc.
    59. Paul Bergin & Reuven Glick & Alan M. Taylor, 2004. "Productivity, Tradability, and the Long-Run Price Puzzle," NBER Working Papers 10569, National Bureau of Economic Research, Inc.
    60. Takamatsu, Satoko, 2010. "Openness and interest rates: An analysis using the MIUF model and transaction cost model of money," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 295-303, April.
    61. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    62. Ionel Bostan & Carmen Toderașcu (Sandu) & Bogdan-Narcis Firtescu, 2018. "Exchange Rate Effects on International Commercial Trade Competitiveness," JRFM, MDPI, vol. 11(2), pages 1-11, April.
    63. B. Gabriela Mundaca & Jon Strand, 2004. "A Risk Allocation Approach to Optimal Exchange Rate Policy," CESifo Working Paper Series 1361, CESifo.
    64. Lal, Madan & Kumar, Satish & Pandey, Dharen Kumar & Rai, Varun Kumar & Lim, Weng Marc, 2023. "Exchange rate volatility and international trade," Journal of Business Research, Elsevier, vol. 167(C).
    65. Yahui Yang & Zhe Peng, 2024. "Openness and Real Exchange Rate Volatility: Evidence from China," Open Economies Review, Springer, vol. 35(1), pages 121-158, February.
    66. Anubha Dhasmana, 2021. "Employment growth in the face of exchange rate uncertainty: The role of trade and foreign equity finance," Southern Economic Journal, John Wiley & Sons, vol. 88(1), pages 79-117, July.
    67. Michael Bleaney & Mo Tian, 2012. "Currency Networks, Bilateral Exchange Rate Volatility and the Role of the US Dollar," Open Economies Review, Springer, vol. 23(5), pages 785-803, November.
    68. Vatcharin Sirimaneetham, 2006. "Explaining policy volatility in developing countries," Bristol Economics Discussion Papers 06/583, School of Economics, University of Bristol, UK.
    69. Munazza Jabeen & Saud Ahmad Khan, 2014. "Modelling Exchange Rate Volatility by Macroeconomic Fundamentals in Pakistan," International Econometric Review (IER), Econometric Research Association, vol. 6(2), pages 58-76, September.
    70. Idoko Ahmed Itodo & Ojonugwa Usman & Michael Maju Abu, 2017. "The Asymmetric Effect in the Volatility of the South African Rand," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 3(3), pages 47-53, September.
    71. Michael Bleaney, 2006. "Fundamentals And Exchange Rate Volatility," Discussion Papers 06/03, University of Nottingham, School of Economics.
    72. Ernesto R. Gantman & Marcelo P. Dabós, 2018. "Does trade openness influence the real effective exchange rate? New evidence from panel time-series," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 9(1), pages 91-113, March.
    73. Mahbub Morshed, A.K.M. & Turnovsky, Stephen J., 2011. "Real exchange rate dynamics: The role of elastic labor supply," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1303-1322.
    74. Vu Manh Hoai Nguyen & Tin Huu Ho & Luan Huynh Nguyen & An Thi Ha Pham, 2023. "The Impact of Trade Openness on Economic Stability in Asian Countries," Sustainability, MDPI, vol. 15(15), pages 1-20, July.
    75. Bram Daelemans & Joseph P. Daniels & Farrokh Nourzad, 2018. "Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA," Open Economies Review, Springer, vol. 29(1), pages 141-163, February.
    76. Littke, Helge C. N. & Eichler, Stefan & Tonzer, Lena, 2016. "Central Bank Transparency and Cross-Border Banking," VfS Annual Conference 2016 (Augsburg): Demographic Change 145598, Verein für Socialpolitik / German Economic Association.
    77. Eichler, Stefan & Littke, Helge C. N., 2017. "Central bank transparency and the volatility of exchange rates," IWH Discussion Papers 22/2017, Halle Institute for Economic Research (IWH).
    78. Jalib Sikandar, Muhammad & Muhammad Yasin, Hafiz & Muhammad, Malik, 2019. "Exchange Rate Uncertainty and Workers’ Remittances: Empirical Bayesian Approach," Journal of Quantitative Methods, University of Management and Technology, Lahore, Pakistan, vol. 3(2), pages 90-109.
    79. Oğuz Tümtürk, 2023. "Key Macroeconomic Variables under Exchange Rate Volatility: Time-Varying Causality in the Presence of Structural Breaks and Nonlinearity," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 49-64, December.
    80. Christian Broda & John Romalis, 2011. "Identifying the Relationship Between Trade and Exchange Rate Volatility," NBER Chapters, in: Commodity Prices and Markets, pages 79-110, National Bureau of Economic Research, Inc.
    81. Noureldin Diaa, 2018. "Much Ado about the Egyptian Pound: Exchange Rate Misalignment and the Path Towards Equilibrium," Review of Middle East Economics and Finance, De Gruyter, vol. 14(2), pages 1-19, August.
    82. Aizenman, Joshua & Riera-Crichton, Daniel, 2007. "Real exchange rate and international reserves in an era of growing financial and trade integration," Santa Cruz Department of Economics, Working Paper Series qt6dr794sb, Department of Economics, UC Santa Cruz.
    83. Kenza Benhima, 2008. "Exhange Rate Volatility and Productivity Growth : The Role of Liability Dollarization," Working Papers 2008-11, Center for Research in Economics and Statistics.
    84. Fitzgerald, Doireann, 2004. "A Gravity View of Exchange Rate Disconnect," Santa Cruz Department of Economics, Working Paper Series qt05121869, Department of Economics, UC Santa Cruz.
    85. Tunç, Cengiz, 2017. "A Survey on Exchange Rate Pass through in Emerging Markets," Bulletin of Economic Theory and Analysis, BETA Journals, vol. 2(3), pages 205-233, July-Sept.
    86. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach," CESifo Working Paper Series 3645, CESifo.
    87. Haroon Mumtaz & Laura Sunder‐Plassmann, 2013. "Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, April.
    88. Byrne, Joseph P. & Darby, Julia & MacDonald, Ronald, 2008. "US trade and exchange rate volatility: A real sectoral bilateral analysis," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 238-259, March.
    89. Rose, Andrew, 2006. "A Stable International Monetary System Emerges: Bretton Woods, Reversed," CEPR Discussion Papers 5854, C.E.P.R. Discussion Papers.
    90. Liu, Xuan, 2007. "Trade Openness and the Cost of Sudden Stops: The Role of Financial Friction," MPRA Paper 18260, University Library of Munich, Germany, revised 26 Oct 2009.
    91. Juraj Valachy & Ev??en Ko?enda, 2003. "Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad," William Davidson Institute Working Papers Series 2003-622, William Davidson Institute at the University of Michigan.
    92. Ponomarev, Yuriy (Пономарев, Юрий) & Rey, Aleksey (Рей, Алексей) & Radchenko, Darya (Радченко, Дарья), 2018. "Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners [Исследование Взаимосвя," Working Papers 061823, Russian Presidential Academy of National Economy and Public Administration.
    93. Enrico Vasconcelos & Maria Cristina Terra, 2008. "Trade Openness Effect in Sudden Stops," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211046210, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    94. Gilhaimé MOUANDA-MOUANDA, 2019. "Impact of Exchange rate volatility on Global Value Chains Participation Evidence from panel African countries," International Journal of Science and Business, IJSAB International, vol. 3(3), pages 29-40.
    95. Ariel Burstein & Gita Gopinath, 2013. "International Prices and Exchange Rates," NBER Working Papers 18829, National Bureau of Economic Research, Inc.
    96. Trust R. Mpofu, 2021. "The determinants of real exchange rate volatility in South Africa," The World Economy, Wiley Blackwell, vol. 44(5), pages 1380-1401, May.
    97. Mr. Alessandro Rebucci & Mr. Fabio Ghironi, 2002. "Monetary Rules for Emerging Market Economies," IMF Working Papers 2002/034, International Monetary Fund.
    98. Fitzgerald, Doireann, 2008. "Can trade costs explain why exchange rate volatility does not feed into consumer prices?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 606-628, April.
    99. Rodolfo Cermeño & Julio Mamani-Palacios, 2013. "Regímenes Monetarios y Volatilidad del Tipo de Cambio Real: El Caso Peruano, 1995-2012," Working papers DTE 565, CIDE, División de Economía.
    100. Cavelaars, Paul, 2006. "Output and price effects of enhancing services sector competition in a large open economy," European Economic Review, Elsevier, vol. 50(5), pages 1131-1149, July.
    101. Esteban Jadresic & Jorge Selaive, 2005. "Is The FX Derivatives Market Effective and Efficient in Reducing Currency Risk?," Working Papers Central Bank of Chile 325, Central Bank of Chile.
    102. Mehmet Barıs Aslan, 2020. "An Econometric Analysis on the Relationship of Economic Liberalization with Real Exchange Rate," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 4(2), pages 271-290, December.
    103. Mark J. Holmes & Sayeeda Bano, 2008. "On openness and real exchange rate volatility," Economics Bulletin, AccessEcon, vol. 6(14), pages 1-12.
    104. Calderon, Cesar & Kubota, Megumi, 2009. "Does higher openness cause more real exchange rate volatility ?," Policy Research Working Paper Series 4896, The World Bank.
    105. Eichler, Stefan & Littke, Helge C.N., 2018. "Central bank transparency and the volatility of exchange rates," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 23-49.
    106. Martha A. Starr, 2006. "One World, One Currency: Exploring The Issues," Contemporary Economic Policy, Western Economic Association International, vol. 24(4), pages 618-633, October.
    107. Helena Glebocki Keefe & Sujata Saha, 2022. "Threshold effects of openness on real and nominal effective exchange rates in emerging and developing economies," The World Economy, Wiley Blackwell, vol. 45(5), pages 1386-1408, May.
    108. Oğuz Tümtürk, 2022. "Global Uncertainty and Exchange Rate Volatility," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 69-84, December.
    109. Muhammad Kamran Khan & Jian-Zhou Teng & Muhammad Imran Khan, 2019. "Cointegration between macroeconomic factors and the exchange rate USD/CNY," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-15, December.
    110. Juraj Stanèík, 2007. "Determinants of Exchange-Rate Volatility: The Case of the New EU Members," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(9-10), pages 414-432, October.
    111. Ajao Mayowa G & Igbekoyi Olushola E., 2013. "The Determinants of Real Exchange Rate Volatility in Nigeria," Academic Journal of Interdisciplinary Studies, Richtmann Publishing Ltd, vol. 2, March.
    112. SATO Kiyotaka & Shajuan ZHANG, 2019. "Do Exchange Rates Matter in Global Value Chains?," Discussion papers 19059, Research Institute of Economy, Trade and Industry (RIETI).
    113. Zhang, Hao & Zhu, Jiaqing, 2022. "Does trade cause fear of appreciation?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 68-80.
    114. Syed Ali Raza & Sahar Afshan, 2017. "Determinants of Exchange Rate in Pakistan: Revisited with Structural Break Testing," Global Business Review, International Management Institute, vol. 18(4), pages 825-848, August.
    115. AJAO, Mayowa G., 2016. "The Determinants of Real Exchange Rate Volatility in Nigeria," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 24(2), August.
    116. Darrat, Ali F. & Li, Bin & Park, Jung Chul, 2011. "Consumption-based CAPM models: International evidence," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2148-2157, August.
    117. Dieudonné Mignamissi & Bernard Nguekeng, 2022. "Trade openness-industrialization nexus revisited in Africa," Economic Change and Restructuring, Springer, vol. 55(4), pages 2547-2575, November.
    118. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2014. "Sources Of Real Exchange Rate Volatility And International Financial Integration: A Dynamic Generalised Method Of Moments Panel Approach," Journal of International Development, John Wiley & Sons, Ltd., vol. 26(6), pages 810-820, August.

  30. Hau, Harald, 1999. "Information and Geography: Evidence from the German Stock Market," CEPR Discussion Papers 2297, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jean-Pierre DANTHINE & Francesco GIAVAZZI & Ernst-Ludwig VON THADDEN, 2000. "European Financial Markets After EMU: A First Assessment," Cahiers de Recherches Economiques du Département d'économie 00.03, Université de Lausanne, Faculté des HEC, Département d’économie, revised May 2000.
    2. Matthieu Bussiere & Georgios Chortareas & Rebecca L Driver, 2003. "Current accounts, net foreign assets and the implications of cyclical factors," Bank of England working papers 173, Bank of England.
    3. Grammig, Joachim & Schiereck, Dirk & Theissen, Erik, 2001. "Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets," Journal of Financial Markets, Elsevier, vol. 4(4), pages 385-412, October.
    4. Herrmann, Heinz, 2001. "The German financial system and European monetary union," Journal of Asian Economics, Elsevier, vol. 12(1), pages 37-46.
    5. Rosati, Simonetta & Secola, Stefania, 2006. "Explaining cross-border large-value payment flows: Evidence from TARGET and EURO1 data," Journal of Banking & Finance, Elsevier, vol. 30(6), pages 1753-1782, June.
    6. Grammig, Joachim & Wellner, Marc, 2002. "Modeling the interdependence of volatility and inter-transaction duration processes," Journal of Econometrics, Elsevier, vol. 106(2), pages 369-400, February.
    7. Rosati, Simonetta & Secola, Stefania, 2005. "Explaining cross-border large-value payment flows: evidence from TARGET and EURO 1 data," Working Paper Series 443, European Central Bank.

Articles

  1. Nelson Camanho & Harald Hau & Hélène Rey, 2022. "Global Portfolio Rebalancing and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5228-5274.
    See citations under working paper version above.
  2. Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
    See citations under working paper version above.
  3. Harald Hau & Yi Huang & Gewei Wang, 2020. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(6), pages 2639-2671.
    See citations under working paper version above.
  4. Harald Hau & Yi Huang & Hongzhe Shan & Zixia Sheng, 2019. "How FinTech Enters China's Credit Market," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 60-64, May.

    Cited by:

    1. Boot, Arnoud & Hoffmann, Peter & Laeven, Luc & Ratnovski, Lev, 2020. "Financial intermediation and technology: What’s old, what’s new?," Working Paper Series 2438, European Central Bank.
    2. Oskar KOWALEWSKI & Paweł PISANY, 2020. "The Rise of Fintech: A Cross-Country Perspective," Working Papers 2020-ACF-07, IESEG School of Management.
    3. Alraqeb Zeynep & Knaack Peter & Macaire Camille, 2022. "Does FinTech Promote Entrepreneurship? Evidence from China [L’adoption des Fintech favorise-t-elle l’entreprenariat ? Le cas de la Chine]," Working papers 895, Banque de France.

  5. Harald Hau & Sandy Lai, 2017. "The Role of Equity Funds in the Financial Crisis Propagation," Review of Finance, European Finance Association, vol. 21(1), pages 77-108.
    See citations under working paper version above.
  6. Hau, Harald & Lai, Sandy, 2016. "Asset allocation and monetary policy: Evidence from the eurozone," Journal of Financial Economics, Elsevier, vol. 120(2), pages 309-329.
    See citations under working paper version above.
  7. Efing, Matthias & Hau, Harald, 2015. "Structured debt ratings: Evidence on conflicts of interest," Journal of Financial Economics, Elsevier, vol. 116(1), pages 46-60.
    See citations under working paper version above.
  8. Efing, Matthias & Hau, Harald & Kampkötter, Patrick & Steinbrecher, Johannes, 2015. "Incentive pay and bank risk-taking: Evidence from Austrian, German, and Swiss banks," Journal of International Economics, Elsevier, vol. 96(S1), pages 123-140.
    See citations under working paper version above.
  9. Peter G. Dunne & Harald Hau & Michael J. Moore, 2015. "Dealer Intermediation Between Markets," Journal of the European Economic Association, European Economic Association, vol. 13(5), pages 770-804, October.
    See citations under working paper version above.
  10. Hau, Harald, 2014. "The exchange rate effect of multi-currency risk arbitrage," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
    See citations under working paper version above.
  11. Harald Hau, 2013. "Europas Bankenunion oder der Triumph der Hoffnung über die Erfahrung," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 14(3-4), pages 186-197, August.

    Cited by:

    1. Fahrholz Christian & Freytag Andreas, 2014. "Finanzpolitik in Europa zwischen Subsidiarität und Vergemeinschaftung: Eine ordnungsökonomische Analyse / Between subsidiarity and Europeanization: An ordo-liberal perspective on financial policy," ORDO. Jahrbuch für die Ordnung von Wirtschaft und Gesellschaft, De Gruyter, vol. 65(1), pages 99-116, January.

  12. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.

    Cited by:

    1. Nicolas Jannone Bellot, MaLuisa Marti Selva, Leandro Garcia Menendez, 2017. "Herding Behaviour among Credit Rating Agencies," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(1), pages 56-83, March.
    2. Louhichi, Awatef & Boujelbene, Younes, 2017. "Bank capital, lending and financing behaviour of dual banking systems," Journal of Multinational Financial Management, Elsevier, vol. 41(C), pages 61-79.
    3. Matthias Efing & Harald Hau, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," Swiss Finance Institute Research Paper Series 13-21, Swiss Finance Institute.
    4. Merrouche, Ouarda & Karam, Philippe & Turk, Rima & Souissi, Moez, 2014. "The Transmission of Liquidity Shocks: Evidence from Credit Rating Downgrades," CEPR Discussion Papers 10252, C.E.P.R. Discussion Papers.
    5. Giovanni Ferri & Panu Kalmi & Eeva Kerola, 2014. "Organizational Structure and Exposure to Crisis among European Banks: Evidence from Rating Changes," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 35-55, June.
    6. Oana Toader, 2015. "Estimating the impact of higher capital requirements on the cost of equity: an empirical study of European banks," International Economics and Economic Policy, Springer, vol. 12(3), pages 411-436, September.
    7. Jones, Laurence & Alsakka, Rasha & ap Gwilym, Owain & Mantovan, Noemi, 2022. "The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation," European Economic Review, Elsevier, vol. 150(C).
    8. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017. "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, vol. 49(2), pages 194-210.
    9. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2015. "Sovereigns and banks in the euro area: A tale of two crises," Working Papers 15-01, Asociación Española de Economía y Finanzas Internacionales.
    10. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
    11. Parrado-Martínez, Purificación & Gómez-Fernández-Aguado, Pilar & Partal-Ureña, Antonio, 2019. "Factors influencing the European bank’s probability of default: An application of SYMBOL methodology," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 223-240.
    12. Toader, Oana, 2015. "Quantifying and explaining implicit public guarantees for European banks," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 136-147.
    13. CUREA-PITORAC Ruxandra Ioana, 2020. "An Inquiry On Top Banks By Tier 1 Ranking From Central And Eastern Europe," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 64-73, December.
    14. Volkova, Olga (Волкова, Ольга) & Lvova, Irina (Львова, Ирина), 2016. "The bank's rating, the rating agencies, Basel II of, financial indicator, the econometric model [Влияние Финансовых Показателей На Международные Рейтинги Российских Банков]," Ekonomicheskaya Politika / Economic Policy, Russian Presidential Academy of National Economy and Public Administration, vol. 1, pages 177-195, February.
    15. Weder di Mauro, Beatrice & Bartels, Bernhard, 2013. "A Rating Agency for Europe ? A good idea?," CEPR Discussion Papers 9512, C.E.P.R. Discussion Papers.
    16. Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
    17. Jeon, Doh-Shin & Lovo, Stefano, 2013. "Credit Rating Industry: a Helicopter Tour of Stylized Facts and Recent Theories," TSE Working Papers 13-376, Toulouse School of Economics (TSE).
    18. Michael R. King & Steven Ongena & Nikola Tarashev, 2020. "Bank Standalone Credit Ratings," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 101-144, September.
    19. Pilar Gómez-Fernández-Aguado & Purificación Parrado-Martínez & Antonio Partal-Ureña, 2018. "Risk Profile Indicators and Spanish Banks’ Probability of Default from a Regulatory Approach," Sustainability, MDPI, vol. 10(4), pages 1-16, April.
    20. Dimitris Christelis & Sébastien Pérez-Duarte, 2013. "The euro system household finance and consumption survey: an important resource for policy-makers and researchers," Research Bulletin, European Central Bank, vol. 19, pages 13-17.
    21. Marcin Borsuk & Błażej Lepczyński, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
    22. Borsuk, Marcin & Lepczyński, Błażej, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(1), March.
    23. Jowita Grzelak, 2019. "Determinants of Central Eastern European Banks’ Adequacy Risk (Determinanty ryzyka adekwatnosci kapitalowej banków Europy Srodkowo-Wschodniej)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(30), pages 20-30.
    24. Košak, Marko & Li, Shaofang & Lončarski, Igor & Marinč, Matej, 2015. "Quality of bank capital and bank lending behavior during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 168-183.
    25. Poghosyan, Tigran & Werger, Charlotte & de Haan, Jakob, 2016. "Size and support ratings of US banks," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 236-247.
    26. Vasilios Plakandaras & Periklis Gogas & Theophilos Papadimitriou & Efterpi Doumpa & Maria Stefanidou, 2020. "Forecasting Credit Ratings of EU Banks," IJFS, MDPI, vol. 8(3), pages 1-15, August.
    27. Robert N McCauley, 2018. "The 2008 crisis: transpacific or transatlantic?," BIS Quarterly Review, Bank for International Settlements, December.
    28. Dorota Krol, 2019. "Analysis of Factors Determining the Credit Rating of Banks from Western European Countries (Analiza czynników determinujacych rating kredytowy bankow z krajow Europy Zachodniej)," Research Reports, University of Warsaw, Faculty of Management, vol. 1(30), pages 43-55.
    29. Mr. Philippe D Karam & Ouarda Merrouche & Moez Souissi & Ms. Rima A Turk, 2014. "The Transmission of Liquidity Shocks: The Role of Internal Capital Markets and Bank Funding Strategies," IMF Working Papers 2014/207, International Monetary Fund.
    30. Gabriela Kuvikova, 2015. "Credit Ratings and Their Information Value: Evidence from the Recent Financial Crisis," CERGE-EI Working Papers wp544, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    31. Ardit Gjeçi & Matej Marinč & Vasja Rant, 2023. "Non-performing loans and bank lending behaviour," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-26, March.
    32. Camba-Méndez, Gonzalo & Rodriguez-Palenzuela, Diego & Carbó-Valverde, Santiago, 2014. "Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach," Working Paper Series 1741, European Central Bank.
    33. Oussama Ben Hmiden & Tanguy Meigné, 2018. "The impact of bank rating changes on lending in major European banks," Economics Bulletin, AccessEcon, vol. 38(1), pages 638-649.
    34. Juan Ayuso & Roberto Blanco, 2013. "The 2007- Financial Crisis - a EURO-pean Perspective," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 12, pages 415-444, SUERF - The European Money and Finance Forum.
    35. Meriläinen, Jari-Mikko & Junttila, Juha, 2020. "The relationship between credit ratings and asset liquidity: Evidence from Western European banks," Journal of International Money and Finance, Elsevier, vol. 108(C).
    36. Philipp Hartmann & Kirstin Hubrich & Manfred Kremer, 2013. "Introducing Systemic Financial instability into macroeconomics: how to meet the challenge?," Research Bulletin, European Central Bank, vol. 19, pages 2-9.
    37. Patrycja Chodnicka Jaworska, "undated". "Prediction Of Banking Sector Condition," Review of Socio - Economic Perspectives 201703, Reviewsep.
    38. Jiri Slacalek, 2013. "Wealth heterogeneity and the response of consumption to shocks," Research Bulletin, European Central Bank, vol. 19, pages 10-12.
    39. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.

  13. Hau, Harald & Lai, Sandy, 2013. "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, vol. 108(2), pages 392-408.
    See citations under working paper version above.
  14. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.
    See citations under working paper version above.
  15. Harald Hau, 2011. "Global versus Local Asset Pricing: A New Test of Market Integration," The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3891-3940.

    Cited by:

    1. Tomas Williams & Lorenzo Pandolfi, 2017. "Capital Flows and Sovereign Debt Markets: Evidence from Index Rebalancings," Working Papers 2017-11, The George Washington University, Institute for International Economic Policy.
    2. Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo.
    3. Pedraza, Alvaro & Pulga, Fredy & Vasquez, Jose, 2020. "Costly index investing in foreign markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    4. Acharya,Sushant & Pedraza Morales,Alvaro Enrique, 2015. "Asset price effects of peer benchmarking : evidence from a natural experiment," Policy Research Working Paper Series 7239, The World Bank.
    5. Vayanos, Dimitri & Vila, Jean-Luc, 2021. "A preferred-habitat model of the term structure of interest rates," LSE Research Online Documents on Economics 106509, London School of Economics and Political Science, LSE Library.
    6. Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
    7. Shailesh Rana & William H. Bommer & G. Michael Phillips, 2020. "Predicting Returns for Growth and Value Stocks: A Forecast Assessment Approach Using Global Asset Pricing Models," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 88-106.
    8. Claudio Raddatz & Sergio L. Schmukler & Tomas Williams, 2015. "International Asset Allocations and Capital Flows: The Benchmark Effect," Working Papers 042015, Hong Kong Institute for Monetary Research.
    9. Eduardo Walker, 2016. "Cost of Capital in Emerging Markets: Bridging Gaps between Theory and Practice," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 53(1), pages 111-147, December.
    10. Jacobs, Heiko & Müller, Sebastian, 2020. "Anomalies across the globe: Once public, no longer existent?," Journal of Financial Economics, Elsevier, vol. 135(1), pages 213-230.
    11. Fernando Broner & Alberto Martin & Lorenzo Pandolfi & Tomas Williams, 2020. "Winners and Losers from Sovereign Debt Inflows," CSEF Working Papers 562, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    12. Juan J. Cortina & Maria Soledad Martinez Peria & Sergio L. Schmukler & Jasmine Xiao, 2023. "The Internationalization of China's Equity Markets," Mo.Fi.R. Working Papers 182, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
    13. Semen Son-Turan & Erdem Kilic, 2018. "X-Capm Revisited: The Institutional Extrapolative Capital Asset Pricing Model (I-X-Capm)," Eurasian Journal of Business and Management, Eurasian Publications, vol. 6(3), pages 1-9.
    14. Chongyu Wang & Jeffrey P. Cohen & John L. Glascock, 2019. "Geographic Proximity and Competition for Scarce Capital: Evidence from U.S. REITs," International Real Estate Review, Global Social Science Institute, vol. 22(4), pages 535-570.
    15. Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.
    16. He, Zhongzhi & Xue, Wenjun, 2022. "Idiosyncratic volatility puzzle exists at the country level," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).

  16. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.

    Cited by:

    1. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," International Finance Discussion Papers 1103, Board of Governors of the Federal Reserve System (U.S.).
    2. Dr. Romain Baeriswyl & Alex Oktay & Dr. Marc-Antoine Ramelet, 2023. "Exchange rate shocks and equity prices: the role of currency denomination," Working Papers 2023-05, Swiss National Bank.
    3. Liang Ding & Qianyi Yang, 2018. "Asymmetric impact of monetary surprises on exchange rate," Applied Economics, Taylor & Francis Journals, vol. 50(7), pages 789-803, February.
    4. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
    5. Afees A. Salisu & Umar B. Ndako, 2017. "Modelling stock price-exchange rate nexus in OECD countries - A new perspective," Working Papers 038, Centre for Econometric and Allied Research, University of Ibadan.
    6. Grammatikos, Theoharry & Vermeulen, Robert, 2012. "Transmission of the financial and sovereign debt crises to the EMU: Stock prices, CDS spreads and exchange rates," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 517-533.
    7. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets : The Case of Brazil in 2002," The Warwick Economics Research Paper Series (TWERPS) 926, University of Warwick, Department of Economics.
    8. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    9. Wu, Manhwa & Huang, Paoyu & Ni, Yensen, 2017. "Capital liberalization and various financial markets: Evidence from Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 265-274.
    10. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank.
    11. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "The behavior of exchange rate and stock returns in high and low interest rate environments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 138-149.
    12. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    13. Cenedese, Gino & Payne, Richard & Sarno, Lucio & Valente, Giorgio, 2015. "What do stock markets tell us about exchange rates?," Bank of England working papers 537, Bank of England.
    14. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    15. Girardin, Eric & Salimi Namin, Fatemeh, 2019. "The January effect in the foreign exchange market: Evidence for seasonal equity carry trades," Economic Modelling, Elsevier, vol. 81(C), pages 422-439.
    16. Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand," IMF Working Papers 2012/214, International Monetary Fund.
    17. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
    18. Seddha-udom, Thanaporn, 2014. "Daily Exchange Rate Determination: Short-Term Speculation And Longerterm Expectation," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 10(1-2), January.
    19. Chen, Xiaoshan & MacDonald, Ronald, 2014. "Measuring the Euro-Dollar Permanent Equilibrium Exchange Rate using the Unobserved Components Model," Stirling Economics Discussion Papers 2014-12, University of Stirling, Division of Economics.
    20. Kang-Soek Lee, 2017. "Safe-haven currency: An empirical identification," Review of International Economics, Wiley Blackwell, vol. 25(4), pages 924-947, September.
    21. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    22. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
    23. Hong-Ghi Min & Judith A. McDonald & Sang-Ook Shin, 2016. "What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 17(2), pages 365-402, November.
    24. Ding, Liang, 2021. "Conditional correlation between exchange rates and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 452-463.
    25. Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2019. "Using extracted forward rate term structure information to forecast foreign exchange rates," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 1-14.
    26. Torsten Ehlers & Elod Takáts, 2013. "Capital flow dynamics and FX intervention," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 25-38, Bank for International Settlements.
    27. Chen, Xiaoshan & MacDonald, Ronald, 2015. "Measuring the dollar–euro permanent equilibrium exchange rate using the unobserved components model," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 20-35.

  17. Harald Hau & Massimo Massa & Joel Peress, 2010. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1681-1717, April.
    See citations under working paper version above.
  18. Harald Hau & Marcel Thum, 2009. "Subprime crisis and board (in-) competence: private versus public banks in Germany [‘Corporate governance and board of directors: Performance effects of changes in board composition’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 24(60), pages 701-752.

    Cited by:

    1. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2018. "Bank governance and performance: a survey of the literature," Journal of Banking Regulation, Palgrave Macmillan, vol. 19(3), pages 236-256, July.
    2. Rubén Chavarín, 2020. "Risk governance, banks affiliated to business groups, and foreign ownership," Risk Management, Palgrave Macmillan, vol. 22(1), pages 1-37, March.
    3. Schnabel, Isabel & Körner, Tobias, 2012. "Abolishing Public Guarantees in the Absence of Market Discipline," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65401, Verein für Socialpolitik / German Economic Association.
    4. Eichacker, Nina, 2020. "German Public Banks, Financial Competition, and Crisis: Institutional Change in German Banking and Financial Vulnerability Before the Global Financial Crisis," SocArXiv jkp5u, Center for Open Science.
    5. Giovanni Ferri & Panu Kalmi & Eeva Kerola, 2014. "Organizational Structure and Exposure to Crisis among European Banks: Evidence from Rating Changes," Journal of Entrepreneurial and Organizational Diversity, European Research Institute on Cooperative and Social Enterprises, vol. 3(1), pages 35-55, June.
    6. Odile Paulus & Christophe Lejeune, 2013. "What do board members in art organizations do? A grounded theory approach," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 17(4), pages 963-988, November.
    7. Linus Siming, 2018. "Government Involvement in the Corporate Governance of Banks," Post-Print hal-01861817, HAL.
    8. Martín-Oliver, Alfredo & Ruano, Sonia & Salas-Fumás, Vicente, 2017. "The fall of Spanish cajas: Lessons of ownership and governance for banks," Journal of Financial Stability, Elsevier, vol. 33(C), pages 244-260.
    9. Zhou, Yifan & Kara, Alper & Molyneux, Philip, 2019. "Chair-CEO generation gap and bank risk-taking," The British Accounting Review, Elsevier, vol. 51(4), pages 352-372.
    10. Gropp, Reint E. & Guettler, Andre & Saadi, Vahid, 2015. "Public Bank Guarantees and Allocative Efficiency," IWH Discussion Papers 7/2015, Halle Institute for Economic Research (IWH).
    11. Robert S. Chirinko, 2022. "Is a State Bank a Useful Economic Development Tool in the United States?," CESifo Working Paper Series 10098, CESifo.
    12. Aebi, Vincent & Sabato, Gabriele & Schmid, Markus, 2012. "Risk management, corporate governance, and bank performance in the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3213-3226.
    13. Behr, Patrick & Norden, Lars & Noth, Felix, 2013. "Financial constraints of private firms and bank lending behavior," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3472-3485.
    14. Mavrakana, Christina & Psillaki, Maria, 2019. "Do board structure and compensation matter for bank stability and bank performance? Evidence from European banks," MPRA Paper 95776, University Library of Munich, Germany.
    15. Koetter, Michael & Müller, Carola & Noth, Felix & Fritz, Benedikt, 2018. "May the force be with you: Exit barriers, governance shocks, and profitability sclerosis in banking," Discussion Papers 49/2018, Deutsche Bundesbank.
    16. Allen N. Berger & Thomas Kick & Klaus Schaeck, 2012. "Executive Board Composition and Bank Risk Taking," Working Papers 12004, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
    17. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.
    18. Hani El-Chaarani, 2017. "The Mutual Impacts of Corporate Governance Dimensions and Legal Protection Systems on the Performance of European Banks: A Post-Crisis Study," European Research Studies Journal, European Research Studies Journal, vol. 0(2A), pages 538-567.
    19. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
    20. Xavier Vives, 2010. "Competition and Stability in Banking," Working Papers Central Bank of Chile 576, Central Bank of Chile.
    21. Michel Magnan & Garen Markarian, 2011. "Accounting, Governance and the Crisis: Is Risk the Missing Link?," European Accounting Review, Taylor & Francis Journals, vol. 20(2), pages 215-231.
    22. Catarina Fernandes & Jorge Farinha & Francisco Vitorino Martins & Cesario Mateus, 2017. "Supervisory boards, financial crisis and bank performance: do board characteristics matter?," Journal of Banking Regulation, Palgrave Macmillan, vol. 18(4), pages 310-337, November.
    23. Shkendije Himaj, 2014. "Corporate Governance in Banks and its Impact on Risk and Performance: Review of Literature on the Selected Governance Mechanisms," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 3(3), pages 53-85.
    24. Falk Bräuning & Falko Fecht, 2017. "Relationship Lending in the Interbank Market and the Price of Liquidity," Review of Finance, European Finance Association, vol. 21(1), pages 33-75.
    25. Hassan Bougrine & Mario Seccareccia, 2013. "Rethinking banking institutions in contemporary economies: are there alternatives to the status quo?," Chapters, in: Louis-Philippe Rochon & Mario Seccareccia (ed.), Monetary Economies of Production, chapter 10, pages 134-159, Edward Elgar Publishing.
    26. Kotz Hans-Helmut & Schmidt Reinhard H., 2016. "Corporate Governance of Banks – A German Alternative to the Standard Model," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 28(6), pages 427-444, December.
    27. Daniel Ferreira & Tom Kirchmaier & Daniel Metzger, 2011. "Boards of Banks," FMG Discussion Papers dp664, Financial Markets Group.
    28. Adam Pilny & Felix Rösel, 2020. "Are Doctors Better Health Ministers?," ifo Working Paper Series 328, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    29. Jochimsen, Beate & Thomasius, Sebastian, 2014. "The perfect finance minister: Whom to appoint as finance minister to balance the budget," European Journal of Political Economy, Elsevier, vol. 34(C), pages 390-408.
    30. Körner, Tobias & Müller, Oliver & Paul, Stephan & Schmidt, Christoph M., 2014. "Glas halb voll oder halb leer? Eine Analyse der Qualifikation von Kontrollorganmitgliedern deutscher Banken," RWI Materialien 78, RWI - Leibniz-Institut für Wirtschaftsforschung.
    31. Mollah, Sabur & Liljeblom, Eva & Mobarek, Asma, 2021. "Heterogeneity in independent non-executive directors' attributes and risk-taking in large banks," Journal of Corporate Finance, Elsevier, vol. 70(C).
    32. Haucap, Justus & Coenen, Michael, 2010. "Industriepolitische Konsequenzen der Wirtschaftskrise," DICE Ordnungspolitische Perspektiven 03, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    33. Michael Funke & Marc Gronwald, 2009. "A Convex Hull Approach to Counterfactual Analysis of Trade Openness and Growth," Quantitative Macroeconomics Working Papers 20906, Hamburg University, Department of Economics.
    34. Safa Jallali & Faten Zoghlami, 2022. "Does risk governance mediate the impact of governance and risk management on banks’ performance? Evidence from a selected sample of Islamic banks," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 30(4), pages 439-464, February.
    35. Luis Garicano & Luis Rayo, 2016. "Why Organizations Fail: Models and Cases," Journal of Economic Literature, American Economic Association, vol. 54(1), pages 137-192, March.
    36. Kathrin Johansen & Saskia Laser & Doris Neuberger & Ettore Andreani, 2017. "Inside or outside control of banks? Evidence from the composition of supervisory boards," European Journal of Law and Economics, Springer, vol. 43(1), pages 31-58, February.
    37. Berger, Allen N. & Kick, Thomas & Koetter, Michael & Schaeck, Klaus, 2013. "Does it pay to have friends? Social ties and executive appointments in banking," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2087-2105.
    38. Gilani, Usman & Keasey, Kevin & Vallascas, Francesco, 2021. "Board financial expertise and the capital decisions of US banks," Journal of Corporate Finance, Elsevier, vol. 71(C).
    39. Chaojie Jin & Emmanuel Mamatzakis, 2018. "Board competence and bank performance in China," Economics Bulletin, AccessEcon, vol. 38(2), pages 681-688.
    40. Ibáñez-Hernández, Francisco J. & Peña-Cerezo, Miguel A. & Araujo-de-la-Mata, Andrés, 2019. "Corporate governance and procyclicality in a banking crisis: Empirical evidence and implications," Finance Research Letters, Elsevier, vol. 30(C), pages 271-275.
    41. Ernst Maug & Bernd Albrecht, 2011. "Struktur und Höhe der Vorstandsvergütung: Fakten und Mythen," Schmalenbach Journal of Business Research, Springer, vol. 63(8), pages 858-881, December.
    42. Thomas Kick & Michael Koetter & Tigran Poghosyan, 2016. "Bank Recapitalization, Regulatory Intervention, and Repayment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1467-1494, October.
    43. Michael Faulkender & Dalida Kadyrzhanova & N. Prabhala & Lemma Senbet, 2010. "Executive Compensation: An Overview of Research on Corporate Practices and Proposed Reforms," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(1), pages 107-118, January.
    44. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2015. "The Dose Makes the Poison – an Analysis of the Influence of Bonus Payments on Profitability and Risk-Taking by Banks," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(03), pages 23-31, February.
    45. Battistin, Erich & Graziano, Clara & Parigi, Bruno M., 2012. "Connections and performance in bankers’ turnover," European Economic Review, Elsevier, vol. 56(3), pages 470-487.
    46. Kaodui Li & Yusheng Kong & Sampson Agyapong Atuahene & Geoffrey Bentum-Micah & Michael Kwakye Agyapong, 2020. "Corporate Governance and Banking Stability: The Case of Universal Banks in Ghana," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(Special 1), pages 325-352.
    47. Ebrahim Mohammed Al-Matari & Mahfoudh Hussein Mgammal & Mushari Hamdan Alosaimi & Talal Fawzi Alruwaili & Sultan Al-Bogami, 2022. "Fintech, Board of Directors and Corporate Performance in Saudi Arabia Financial Sector: Empirical Study," Sustainability, MDPI, vol. 14(17), pages 1-23, August.

  19. Harald Hau & Marcel Thum, 2008. "How (in-)competent are the supervisory boards of German banks?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(19), pages 27-29, October.

    Cited by:

    1. Böhm, Christoph & Froneberg, Dennis & Schiereck, Dirk, 2012. "Zum offensichtlich erkennbaren bankwirtschaftlichen Sachverstand in den Kontrollorganen deutscher Genossenschaftsbanken und Sparkassen," ZögU - Zeitschrift für öffentliche und gemeinwirtschaftliche Unternehmen, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 35(2), pages 138-186.
    2. Andreani, Ettore & Dummann, Kathrin & Neuberger, Doris, 2009. "Composition of supervisory boards in Germany: Inside or outside control of banks?," Thuenen-Series of Applied Economic Theory 103, University of Rostock, Institute of Economics.

  20. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
    See citations under working paper version above.
  21. Harald Hau & Hélène Rey, 2006. "Exchange Rates, Equity Prices, and Capital Flows," The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
    See citations under working paper version above.
  22. Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
    See citations under working paper version above.
  23. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    See citations under working paper version above.
  24. Hau, Harald, 2002. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-630, August.
    See citations under working paper version above.
  25. Hau, Harald & Killeen, William & Moore, Michael, 2002. "The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.

    Cited by:

    1. Portes, Richard & Papaioannou, Elias & Siourounis, Gregorios, 2006. "Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar," CEPR Discussion Papers 5734, C.E.P.R. Discussion Papers.
    2. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    3. Michael Melvin & Manuel Gomez, 2004. "Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities," Econometric Society 2004 North American Winter Meetings 72, Econometric Society.
    4. Kaul, Aditya & Sapp, Stephen, 2006. "Y2K fears and safe haven trading of the U.S. dollar," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 760-779, August.
    5. Gomez, Manuel & Melvin, Michael & Nardari, Federico, 2007. "Explaining the early years of the euro exchange rate: An episode of learning about a new central bank," European Economic Review, Elsevier, vol. 51(3), pages 505-520, April.
    6. Linda S. Goldberg & Cedric Tille, 2005. "Vehicle Currency Use in International Trade," NBER Working Papers 11127, National Bureau of Economic Research, Inc.
    7. Frank Westermann, 2023. "On the Geographical Dispersion of Euro Currency Trading: An Analysis of the First 20 Years and a Comparison to the RMB," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 65(2), pages 263-287, June.
    8. Koutmos, Gregory & Martin, Anna D., 2011. "Currency bid-ask spread dynamics and the Asian crisis: Evidence across currency regimes," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 62-73, February.
    9. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    10. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    11. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    12. Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
    13. Kaul, Aditya & Sapp, Stephen, 2009. "Trading activity, dealer concentration and foreign exchange market quality," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2122-2131, November.
    14. Elias Papaioannou & Richard Portes, 2008. "The international role of the euro: a status report," European Economy - Economic Papers 2008 - 2015 317, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.

  26. Harald Hau & William Killeen & Michael Moore, 2002. "How has the euro changed the foreign exchange market? [‘The distribution of realized exchange rate volatility’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(34), pages 149-192.

    Cited by:

    1. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    2. Linda S. Goldberg & Cédric Tille, 2006. "The internationalization of the dollar and trade balance adjustment," Staff Reports 255, Federal Reserve Bank of New York.
    3. Smimou, K. & Khallouli, W., 2015. "Does the Euro affect the dynamic relation between stock market liquidity and the business cycle?," Emerging Markets Review, Elsevier, vol. 25(C), pages 125-153.
    4. Lyons, Richard K. & Moore, Michael J., 2009. "An information approach to international currencies," Journal of International Economics, Elsevier, vol. 79(2), pages 211-221, November.
    5. Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
    6. Frank McGroarty & Owain ap Gwilym & Stephen Thomas, 2007. "The Components of Electronic Inter‐Dealer Spot FX Bid‐Ask Spreads," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(9‐10), pages 1635-1650, November.
    7. Carol Osler, 2012. "Market Microstructure and the Profitability of Currency Trading," Working Papers 48, Brandeis University, Department of Economics and International Business School.
    8. Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
    9. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
    10. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
    11. Jorge Pérez-Rodríguez, 2006. "The Euro and Other Major Currencies Floating Against the U.S. Dollar," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 34(4), pages 367-384, December.
    12. Valentyna Ozimkovska, 2018. "Real financial market exchange rate volatility and portfolio flows," International Economics and Economic Policy, Springer, vol. 15(2), pages 281-303, April.
    13. David W. Berger & Alain P. Chaboud & Sergey V. Chernenko & Edward Howorka & Jonathan H. Wright, 2006. "Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data," International Finance Discussion Papers 830, Board of Governors of the Federal Reserve System (U.S.).
    14. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    15. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2009. "Asymmetric information in the interbank foreign exchange market," Working Paper 2008/25, Norges Bank.
    16. Dunne, Peter & Hau, Harald & Moore, Michael, 2010. "International order flows: Explaining equity and exchange rate returns," Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
    17. Vitale, Paolo, 2004. "A Guided Tour of the Market Microstructure Approach to Exchange Rate Determination," CEPR Discussion Papers 4530, C.E.P.R. Discussion Papers.
    18. Linda S. Goldberg & Cédric Tille, 2006. "The International Role of the Dollar and Trade Balance Adjustment," NBER Working Papers 12495, National Bureau of Economic Research, Inc.
    19. Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
    20. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    21. Geir H. Bjønnes & Carol L. Osler & Dagfinn Rime, 2021. "Price discovery in two‐tier markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3109-3133, April.
    22. Henao-Londono, Juan C. & Guhr, Thomas, 2022. "Foreign exchange markets: Price response and spread impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
    23. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
    24. Carol Osler & Xuhang Wang, 2012. "The Microstructure of Currency Markets," Working Papers 49, Brandeis University, Department of Economics and International Business School.
    25. Juan Camilo Henao Londono & Thomas Guhr, 2021. "Foreign exchange markets: price response and spread impact," Papers 2104.09309, arXiv.org, revised Jul 2021.
    26. Van Dijk, Dick & Munandar, Haris & Hafner, Christian, 2011. "The Euro-introduction and non-Euro currencies," LIDAM Reprints ISBA 2011052, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    27. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "A New Micro Model of Exchange Rate Dynamics (March 2004)," Working Papers gueconwpa~05-05-04, Georgetown University, Department of Economics.
    28. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1491-1505.
    29. McGroarty, Frank & ap Gwilym, Owain & Thomas, Stephen, 2006. "Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU," Global Finance Journal, Elsevier, vol. 17(1), pages 23-49, September.

  27. Hau, Harald, 2001. "Geographic patterns of trading profitability in Xetra," European Economic Review, Elsevier, vol. 45(4-6), pages 757-769, May.

    Cited by:

    1. Numan Ülkü & Enzo Weber, 2014. "Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns," Review of Finance, European Finance Association, vol. 18(4), pages 1541-1581.
    2. Demet Yilmazkuday & Hakan Yilmazkuday, 2014. "The role of direct flights in trade costs," Globalization Institute Working Papers 179, Federal Reserve Bank of Dallas.
    3. Stolowy, Hervé & Jeanjean, Thomas & Erkens, Michael, 2011. "The economic consequences of increasing the international visibility of financial reports," HEC Research Papers Series 957, HEC Paris.
    4. Batten, Jonathan A. & Vo, Xuan Vinh, 2015. "Foreign ownership in emerging stock markets," Journal of Multinational Financial Management, Elsevier, vol. 32, pages 15-24.
    5. Dominika Langenmayr & Franz Reiter, 2022. "Trading offshore: evidence on banks’ tax avoidance," Scandinavian Journal of Economics, Wiley Blackwell, vol. 124(3), pages 797-837, July.
    6. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
    7. Tomas Dvorak, 2001. "Do Domestic Investors Have an Information Advantage? Evidence from Indonesia," Department of Economics Working Papers 2001-04, Department of Economics, Williams College.
    8. Banalieva, Elitsa R. & Robertson, Christopher J., 2010. "Performance, diversity, and multiplicity of foreign cross-listing portfolios," International Business Review, Elsevier, vol. 19(6), pages 531-547, December.
    9. Nicole B. Simpson & Marc Tomljanovich & George S. Georgiev, 2005. "Macroeconomic Fundamentals and Net Portfolio Investment Between Developed Regions," International Finance, Wiley Blackwell, vol. 8(2), pages 303-327, August.
    10. Xuan Vinh Vo, 2016. "Foreign ownership and stock market liquidity - evidence from Vietnam," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 6(1), pages 1-11.
    11. Jeon, Jin Q. & Lee, Cheolwoo & Moffett, Clay M., 2011. "Effects of foreign ownership on payout policy: Evidence from the Korean market," Journal of Financial Markets, Elsevier, vol. 14(2), pages 344-375, May.
    12. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Staff Working Papers 07-52, Bank of Canada.
    13. Tim A. Herberger & Matthias Horn & Andreas Oehler, 2020. "Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(2), pages 179-197, June.
    14. Hussain, Syed Mujahid & Ahmad, Nisar & Ahmed, Sheraz, 2023. "Applications of high-frequency data in finance: A bibliometric literature review," International Review of Financial Analysis, Elsevier, vol. 89(C).
    15. Ben Le, 2020. "New evidence for the determinants of foreign investment in an Asian market," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 10(2), pages 151-167.
    16. Vo, Xuan Vinh, 2010. "Foreign ownership in Vietnam stock markets - an empirical analysis," MPRA Paper 29863, University Library of Munich, Germany, revised 10 Jan 2011.
    17. Jeon, Jin Q. & Ryoo, Juyoun, 2013. "How do foreign investors affect corporate policy?: Evidence from Korea," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 52-65.
    18. Thomas Jeanjean & Hervé Stolowy & Michael Erkens, 2012. "Economic consequences of adopting English for annual reports," Post-Print hal-00690931, HAL.

  28. Harald Hau, 2001. "Location Matters: An Examination of Trading Profits," Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.

    Cited by:

    1. Anna Faelten & Miles Gietzmann & Valeriya Vitkova, 2014. "Naked M&A Transactions: How the Lack of Local Expertise in Cross-Border Deals Can Negatively Affect Acquirer Performance – and How Informed Institutional Investors can Mitigate This Effect," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(3-4), pages 469-506, April.
    2. Antonio Mele, 2008. "Information Linkages and Correlated Trading," FMG Discussion Papers dp620, Financial Markets Group.
    3. Hyuk Choe & Bong-Chan Kho & René M. Stulz, 2005. "Do Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 795-829.
    4. Hyoseok (David) Hwang, 2023. "The real effects of local mutual funds: Evidence from corporate innovation," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 272-300, June.
    5. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
    6. Kalev, Petko S. & Nguyen, Anh H. & Oh, Natalie Y., 2008. "Foreign versus local investors: Who knows more? Who makes more?," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2376-2389, November.
    7. Nicolas Debarsy & Jean-Yves Gnabo & Malik Kerkour, 2017. "Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition," Post-Print hal-01251243, HAL.
    8. Stolowy, Hervé & Jeanjean, Thomas & Erkens, Michael, 2011. "The economic consequences of increasing the international visibility of financial reports," HEC Research Papers Series 957, HEC Paris.
    9. Elisa Cavezzali & Jacopo Crepaldi & Ugo Rigoni, 2014. "Proximity to hubs of expertise and financial analyst forecast accuracy," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 157-179, December.
    10. Ryan Flugum & Choonsik Lee & Matthew E. Souther, 2023. "What happens in Vegas stays in Vegas? Firsthand experience and EDGAR search activity in Las Vegas casino hotels," Financial Management, Financial Management Association International, vol. 52(3), pages 409-432, September.
    11. Zhiyi Qiu & Rong Chen & Ye Yang, 2021. "Going Abroad, Friends on Board: Cross-Border Venture Capital and Syndication Strategy in China," SAGE Open, , vol. 11(2), pages 21582440211, April.
    12. Tu, Chia-Jung & Chang, Yuanchen, 2012. "Analyst responses to stock-index adjustments: Evidence from MSCI Taiwan Index additions," Review of Financial Economics, Elsevier, vol. 21(2), pages 82-89.
    13. Chune Young Chung & Yunjae Lee & Doojin Ryu, 2017. "Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 309-322, December.
    14. Tang, Hongfei & Xu, Xiaoqing Eleanor & Yang, Zihui, 2014. "Can international LETFs deliver their promised exposure to foreign markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 30-74.
    15. Chan, Kalok & Covrig, Vicentiu, 2012. "What determines mutual fund trading in foreign stocks?," Journal of International Money and Finance, Elsevier, vol. 31(4), pages 793-817.
    16. Shogo Mlozi & Ossi Pesämaa, 2017. "Developing reciprocal exchanges for tourism investors," Tourism Economics, , vol. 23(6), pages 1184-1205, September.
    17. Jennie Bai & Massimo Massa, 2021. "Is Human-Interaction-based Information Substitutable? Evidence from Lockdown," NBER Working Papers 29513, National Bureau of Economic Research, Inc.
    18. Kim, Jaemin & Yoo, Sean Sehyun, 2009. "Market liberalization and foreign equity portfolio selection in Korea," Journal of Multinational Financial Management, Elsevier, vol. 19(3), pages 206-220, July.
    19. Schneider, Martin & Albuquerque, Rui & ,, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers 5819, C.E.P.R. Discussion Papers.
    20. He, Qing & Korhonen, Iikka & Guo, Junjie & Liu, Fangge, 2016. "The geographic distribution of international currencies and RMB internationalization," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 442-458.
    21. Kim, Wonse & Lee, Junseok & Kang, Kyungwon, 2020. "The effects of the introduction of Bitcoin futures on the volatility of Bitcoin returns," Finance Research Letters, Elsevier, vol. 33(C).
    22. Hans Degryse & Steven Ongena, 2002. "Distance, Lending Relationships, and Competition," CSEF Working Papers 80, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    23. Massa, Massimo & Bai, Jennie, 2021. "Is Hard and Soft Information Substitutable? Evidence from the Lockdowns," CEPR Discussion Papers 15744, C.E.P.R. Discussion Papers.
    24. Menkhoff, Lukas & Schmeling, Maik, 2010. "Whose trades convey information? Evidence from a cross-section of traders," Journal of Financial Markets, Elsevier, vol. 13(1), pages 101-128, February.
    25. Portes, Richard & Rey, Hélène, 1999. "The Determinants of Cross-Border Equity Flows," CEPR Discussion Papers 2225, C.E.P.R. Discussion Papers.
    26. Eichengreen, Barry & Lafarguette, Romain & Mehl, Arnaud & Ferrari Minesso, Massimo, 2023. "Technology and the geography of the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 131(C).
    27. Hellström, Jörgen & Stålnacke, Oscar & Olsson, Rickard, 2022. "Individuals’ financial risk-taking and peer influence," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 1-17.
    28. Andrade, Sandro C. & Kohlscheen, Emanuel, 2010. "Pessimistic Foreign Investors and Turmoil in Emerging Markets : The Case of Brazil in 2002," The Warwick Economics Research Paper Series (TWERPS) 926, University of Warwick, Department of Economics.
    29. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    30. Michael Cooper & Huseyin Gulen, 2006. "Is Time-Series-Based Predictability Evident in Real Time?," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1263-1292, May.
    31. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
    32. Liu, Cai, 2021. "The IRB model, bank regulatory arbitrage, and the Eurozone crisis," Journal of International Money and Finance, Elsevier, vol. 116(C).
    33. Pedraza, Alvaro & Pulga, Fredy & Vasquez, Jose, 2020. "Costly index investing in foreign markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    34. D'Hondt, Catherine & Majois, Christophe & Mazza, Paolo, 2015. "Commonality on Euronext: Do location and account type matter?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 183-198.
    35. Lou, Youcheng & Yang, Yaqing, 2023. "Information linkages in a financial market with imperfect competition," Journal of Economic Dynamics and Control, Elsevier, vol. 150(C).
    36. Rey, Hélène & Coeurdacier, Nicolas, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
    37. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. International Equity Investment and Past and Prospective Returns," NBER Working Papers 16677, National Bureau of Economic Research, Inc.
    38. Bian, Jiangze & Chan, Kalok & Han, Bing & Shi, Donghui, 2023. "Cross-border equity flows and information transmission: Evidence from Chinese stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    39. Laura Veldkamp & Stijn Van Nieuwerburgh, 2005. "Information Immobility and the Home Bias Puzzle," 2005 Meeting Papers 78, Society for Economic Dynamics.
    40. Iliopulos, Eleni & Perego, Erica & Sopraseuth, Thepthida, 2021. "International business cycles: Information matters," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 19-34.
    41. Martijn Boermans & Ian Cooper & Piet Sercu & Rosanne Vanpée, 2022. "Foreign bias in equity portfolios: Informational advantage or familiarity bias?," Working Papers 742, DNB.
    42. A. Burietz & L. Ureche-Rangau, 2020. "Better the devil you know: Home and sectoral biases in bank lending," International Economics, CEPII research center, issue 164, pages 69-85.
    43. Benhima, Kenza & Bolliger, Elio, 2022. "Do Local Forecasters Have Better Information?," MPRA Paper 117072, University Library of Munich, Germany, revised Sep 2023.
    44. Saka, Orkun, 2018. "Domestic banks as lightning rods? Home bias and information during Eurozone crisis," LSE Research Online Documents on Economics 118921, London School of Economics and Political Science, LSE Library.
    45. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2007. "The informativeness of domestic and foreign investors' stock trades: Evidence from the perfectly segmented Chinese market," Journal of Financial Markets, Elsevier, vol. 10(4), pages 391-415, November.
    46. Grant, Andrew & Kalev, Petko S. & Subrahmanyam, Avanidhar & Joakim Westerholm, P., 2022. "Retail trading activity and major lifecycle events: The case of divorce," Journal of Banking & Finance, Elsevier, vol. 135(C).
    47. Derouiche, Imen & Jaafar, Kaouther & Zemzem, Ahmed, 2016. "Firm geographic location and voluntary disclosure," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 29-47.
    48. Ma, Xinru & He, Jingbin & Liao, Jingchi, 2021. "Does decision fatigue affect institutional bidding behavior? Evidence from Chinese IPO market," Economic Modelling, Elsevier, vol. 98(C), pages 1-12.
    49. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2008. "Geography or skills: what explains Fed Wachters' forecast accuracy of US monetary policy?," Discussion Papers 2008/11, Free University Berlin, School of Business & Economics.
    50. Evans, Martin D. D. & Lyons, Richard K., 2002. "Informational integration and FX trading," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 807-831, November.
    51. Chi, Yeguang & He, Jingbin & Ma, Xinru & Wu, Fei, 2023. "Institutional investor inattention bias in auctioned IPOs," Journal of Banking & Finance, Elsevier, vol. 150(C).
    52. Hao Gao & Yuanyu Qu & Tao Shen, 2022. "Geographic proximity and price efficiency: Evidence from high‐speed railway connections between firms and financial centers," Financial Management, Financial Management Association International, vol. 51(1), pages 117-141, March.
    53. Kim, Incheol & Miller, Steve & Wan, Hong & Wang, Bin, 2016. "Drivers behind the monitoring effectiveness of global institutional investors: Evidence from earnings management," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 24-46.
    54. Rudiger Ahrend & Cyrille Schwellnus, 2013. "Do investors disproportionately shed assets of distant countries during global financial crises?: The role of increased uncertainty," OECD Journal: Economic Studies, OECD Publishing, vol. 2012(1), pages 1-20.
    55. Clemens Sialm & Zheng Sun & Lu Zheng, 2020. "Home Bias and Local Contagion: Evidence from Funds of Hedge Funds," The Review of Financial Studies, Society for Financial Studies, vol. 33(10), pages 4771-4810.
    56. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
    57. Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2020. "Expectations of reciprocity when competitors share information: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 244-267.
    58. Orkun Saka, 2020. "Domestic Banks As Lightning Rods? Home Bias and Information during the Eurozone Crisis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S1), pages 273-305, October.
    59. Piccotti, Louis R., 2016. "Pricing errors and the geography of trade in the foreign exchange market," Journal of Financial Markets, Elsevier, vol. 28(C), pages 46-69.
    60. Peng, Geng & Liu, Fang & Lu, Wenyi & Liao, Kaicheng & Tang, Changan & Zhu, Lei, 2018. "A spatial-temporal analysis of financial literacy in United States of America," Finance Research Letters, Elsevier, vol. 26(C), pages 56-62.
    61. Brian Hill & Tomasz Michalski, 2018. "Risk versus ambiguity and international security design," Post-Print hal-01966706, HAL.
    62. Li, Shan & Mihaylov, George & Peranginangin, Yessy & Zurbruegg, Ralf, 2021. "Short selling patterns in cross-listed stocks," Global Finance Journal, Elsevier, vol. 48(C).
    63. Ramos, Sofia B. & von Thadden, Ernst-Ludwig, 2008. "Stock exchange competition in a simple model of capital market equilibrium," Journal of Financial Markets, Elsevier, vol. 11(3), pages 284-307, August.
    64. Aviat, Antonin & Coeurdacier, Nicolas, 2007. "The geography of trade in goods and asset holdings," Journal of International Economics, Elsevier, vol. 71(1), pages 22-51, March.
    65. Sabri Boubaker & Imen Derouiche & Meziane Lasfer, 2014. "Geographic Location, Excess Control Rights and Cash Holdings," Post-Print hal-01158100, HAL.
    66. Andrea Bellucci & Alexander Borisov & Germana Giombini & Alberto Zazzaro, 2015. "Collateral and Local Lending: Testing the Lender-Based Theory," IAW Discussion Papers 119, Institut für Angewandte Wirtschaftsforschung (IAW).
    67. Yi‐Wei Chuang & Yu‐Fen Lin & Pei‐Shih Weng, 2019. "Why and how do foreign institutional investors outperform domestic investors in futures trading: Evidence from Taiwan," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 279-301, March.
    68. Agarwal, Sumit & Faircloth, Sheri & Liu, Chunlin & Ghon Rhee, S., 2009. "Why do foreign investors underperform domestic investors in trading activities? Evidence from Indonesia," Journal of Financial Markets, Elsevier, vol. 12(1), pages 32-53, February.
    69. Dominika Langenmayr & Franz Reiter, 2022. "Trading offshore: evidence on banks’ tax avoidance," Scandinavian Journal of Economics, Wiley Blackwell, vol. 124(3), pages 797-837, July.
    70. Bae, Kee-Hong & Stulz, René M. & Tan, Hongping, 2008. "Do local analysts know more? A cross-country study of the performance of local analysts and foreign analysts," Journal of Financial Economics, Elsevier, vol. 88(3), pages 581-606, June.
    71. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
    72. Michaelides, Alexander, 2003. "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 555-594, December.
    73. Menkhoff, Lukas & Osler, Carol L. & Schmeling, Maik, 2010. "Limit-order submission strategies under asymmetric information," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2665-2677, November.
    74. Michael Frenkel & Lukas Menkhoff, 2004. "Are Foreign Institutional Investors Good for Emerging Markets?," The World Economy, Wiley Blackwell, vol. 27(8), pages 1275-1293, August.
    75. Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua, 2018. "The dynamic cross-correlations between foreign news, local news and stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 861-872.
    76. Bhattacharya, Utpal & Groznik, Peter, 2008. "Melting pot or salad bowl: Some evidence from U.S. investments abroad," Journal of Financial Markets, Elsevier, vol. 11(3), pages 228-258, August.
    77. Park, Haehean & Lee, Po-sang & Park, Yun W., 2020. "Information asymmetry and the effect of financial openness on firm growth and wage in emerging markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 901-916.
    78. Garvey, Ryan & Wu, Fei, 2010. "Speed, distance, and electronic trading: New evidence on why location matters," Journal of Financial Markets, Elsevier, vol. 13(4), pages 367-396, November.
    79. Giorgio Fagiolo & Javier Reyes & Stefano Schiavo, 2007. "International Trade and Financial Integration: a Weighted Network Analysis," Documents de Travail de l'OFCE 2007-11, Observatoire Francais des Conjonctures Economiques (OFCE).
    80. Anil Mishra, 2011. "Australia’s equity home bias and real exchange rate volatility," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 223-244, August.
    81. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    82. Acharya, Viral V. & Anshuman, V. Ravi & Kumar, K. Kiran, 2022. "Foreign Fund Flows and Equity Prices during the COVID-19 Pandemic: Evidence from India," ADBI Working Papers 1333, Asian Development Bank Institute.
    83. Jeewon Jang & Jangkoo Kang & Jaeram Lee, 2023. "Who has an edge in trading index derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 325-348, March.
    84. Stotz, Olaf & Wanzenried, Gabrielle & Döhnert, Karsten, 2010. "Open-market purchases of public equity by private equity investors: Size and home-bias effects," Journal of Economics and Business, Elsevier, vol. 62(6), pages 562-576, November.
    85. Samarakoon, Lalith P., 2010. "Asymmetric investor behavior between buyside and sellside: Evidence from investor classes in the Sri Lankan stock market," Journal of Multinational Financial Management, Elsevier, vol. 20(2-3), pages 93-113, July.
    86. Congmin Peng & Po-Wen She & Ming-Kun Lin, 2022. "Financial Literacy and Portfolio Diversity in China," Journal of Family and Economic Issues, Springer, vol. 43(3), pages 452-465, September.
    87. Tang, Vicki Wei, 2011. "Isolating the effect of disclosure on information risk," Journal of Accounting and Economics, Elsevier, vol. 52(1), pages 81-99, June.
    88. Bai, John Jianqiu & Tang, Yuehua & Wan, Chi & Yüksel, H. Zafer, 2022. "Fund manager skill in an era of globalization: Offshore concentration and fund performance," Journal of Financial Economics, Elsevier, vol. 145(2), pages 18-40.
    89. Deng, Lu & Liao, Mingqing & Luo, Rui & Sun, Jianfei & Xu, Chen, 2021. "Does corporate social responsibility reduce share price premium? Evidence from China's A- and H-shares," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    90. Moore, Michael J. & Payne, Richard, 2011. "On the sources of private information in FX markets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1250-1262, May.
    91. Yafeng Qin & Min Bai, 2014. "Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 237-261, June.
    92. Ion Lapteacru, 2019. "Do bank activities and funding strategies of foreign and state‐owned banks have a differential effect on risk‐taking in Central and Eastern Europe?," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 27(2), pages 541-576, February.
    93. Fidora, Michael & Fratzscher, Marcel & Thimann, Christian, 2007. "Home bias in global bond and equity markets: The role of real exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 631-655, June.
    94. Bravo-Ortega, Claudio, 2005. "Does asymmetric information cause the home equity bias?," Policy Research Working Paper Series 3495, The World Bank.
    95. Chan, Kalok & Menkveld, Albert J. & Yang, Zhishu, 2006. "Are Domestic Investors Better Informed than Foreign Investors? : Evidence from the Perfectly Segmented Market in China," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    96. Rosy Locorotondo & Nico Dewaelheyns & Cynthia Hulle, 2015. "Affiliates’ Bank Debt Policy: Does Parent Firm Nationality Matter?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 747-776, June.
    97. Min Bai & Feng Bai & Yafeng Qin, 2022. "Emerging economies openness and efficiency," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(3), pages 659-672, April.
    98. Kalok Chan & Albert J. Menkveld & Zhishu Yang, 2008. "Information Asymmetry and Asset Prices: Evidence from the China Foreign Share Discount," Journal of Finance, American Finance Association, vol. 63(1), pages 159-196, February.
    99. Zhangkai Huang & Jinyu Liu & Guangrong Ma, 2019. "Distance, transportation and the underpricing of IPOs," Review of Quantitative Finance and Accounting, Springer, vol. 52(4), pages 991-1009, May.
    100. O'Brien, Patricia C. & Tan, Hongping, 2015. "Geographic proximity and analyst coverage decisions: Evidence from IPOs," Journal of Accounting and Economics, Elsevier, vol. 59(1), pages 41-59.
    101. Ülkü, Numan & Karpova, Yekaterina, 2014. "Do international equity investors rebalance to manage currency exposure? A study of Greece foreign investor flows data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 150-169.
    102. Teng Wang, 2017. "To Build or to Buy? The Role of Local Information in Credit Market Development," Finance and Economics Discussion Series 2017-013, Board of Governors of the Federal Reserve System (U.S.).
    103. Karolyi, G. Andrew & Ng, David T. & Prasad, Eswar S., 2020. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(4), pages 1369-1414, June.
    104. Del Giudice, Alfonso & Paltrinieri, Andrea, 2017. "The impact of the Arab Spring and the Ebola outbreak on African equity mutual fund investor decisions," Research in International Business and Finance, Elsevier, vol. 41(C), pages 600-612.
    105. Ding, Xiaoya & Guedhami, Omrane & Ni, Yang & Pittman, Jeffrey A., 2020. "Local and foreign institutional investors, information asymmetries, and state ownership," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
    106. Rogér Otten & Dennis Bams, 2007. "The Performance of Local versus Foreign Mutual Fund Managers," European Financial Management, European Financial Management Association, vol. 13(4), pages 702-720, September.
    107. Kedia, Simi & Zhou, Xing, 2011. "Local market makers, liquidity and market quality," Journal of Financial Markets, Elsevier, vol. 14(4), pages 540-567, November.
    108. Tom Berglund & P. Joakim Westerholm, 2010. "Foreign Investors' Reaction to Lower Profitability – The Role of Information Asymmetry," International Review of Finance, International Review of Finance Ltd., vol. 10(4), pages 455-483, December.
    109. Webb, Robert I. & Ryu, Doojin & Ryu, Doowon & Han, Joongho, 2016. "The price impact of futures trades and their intraday seasonality," Emerging Markets Review, Elsevier, vol. 26(C), pages 80-98.
    110. Orkun Saka, 2019. "Domestic Banks as Lightning Rods? Home Bias and Information during the Eurozone Crisis," CESifo Working Paper Series 7939, CESifo.
    111. Lin, Anchor Y., 2009. "Law, culture and investment performance: A cross-country analysis," Global Finance Journal, Elsevier, vol. 19(3), pages 323-341.
    112. Ganglmair, Bernhard & Holcomb, Alex & Myung, Noah, 2016. "Cutthroats or comrades: Information sharing among competing fund managers," MPRA Paper 71506, University Library of Munich, Germany.
    113. Nicholas Seybert & Robert Bloomfield, 2009. "Contagion of Wishful Thinking in Markets," Management Science, INFORMS, vol. 55(5), pages 738-751, May.
    114. Anand, Amber & Gatchev, Vladimir A. & Madureira, Leonardo & Pirinsky, Christo A. & Underwood, Shane, 2011. "Geographic proximity and price discovery: Evidence from NASDAQ," Journal of Financial Markets, Elsevier, vol. 14(2), pages 193-226, May.
    115. George D. Cashman & David M. Harrison & Michael J. Seiler & Hainan Sheng, 2019. "The Impact of Geographic and Cultural Dispersion on Information Opacity," The Journal of Real Estate Finance and Economics, Springer, vol. 59(2), pages 166-208, August.
    116. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders' arrival in foreign exchange markets: Does geography matter?," Post-Print hal-01563055, HAL.
    117. Jung, Seungho & Lee, Jongmin & Lee, Seohyun, 2021. "The impact of geopolitical risk on stock returns: Evidence from inter-Korea geopolitics," MPRA Paper 108006, University Library of Munich, Germany.
    118. Gonçalves, Walter & Eid, William, 2017. "Sophistication and price impact of foreign investors in the Brazilian stock market," Emerging Markets Review, Elsevier, vol. 33(C), pages 102-139.
    119. Mehl, Arnaud & Eichengreen, Barry & Lafarguette, Romain, 2016. "Cables, Sharks and Servers: Technology and the Geography of the Foreign Exchange Market," Working Paper Series 1889, European Central Bank.
    120. Ferreira, Miguel A. & Matos, Pedro & Pereira, João Pedro & Pires, Pedro, 2017. "Do locals know better? A comparison of the performance of local and foreign institutional investors," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 151-164.
    121. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    122. Bohl, Martin T. & Schuppli, Michael & Siklos, Pierre L., 2010. "Stock return seasonalities and investor structure: Evidence from China's B-share markets," China Economic Review, Elsevier, vol. 21(1), pages 190-201, March.
    123. Liew, Ping-Xin & Lim, Kian-Ping & Goh, Kim-Leng, 2018. "Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 161-181.
    124. Shive, Sophie, 2012. "Local investors, price discovery, and market efficiency," Journal of Financial Economics, Elsevier, vol. 104(1), pages 145-161.
    125. Aabo, Tom & Lee, Suin & Pantzalis, Christos & Park, Jung Chul, 2020. "Know thy neighbor: Political uncertainty and the informational advantage of local institutional investors," Journal of Banking & Finance, Elsevier, vol. 113(C).
    126. Eduard Gaar & David Scherer & Dirk Schiereck, 2022. "The home bias and the local bias: A survey," Management Review Quarterly, Springer, vol. 72(1), pages 21-57, February.
    127. García, Diego & Norli, Øyvind, 2012. "Geographic dispersion and stock returns," Journal of Financial Economics, Elsevier, vol. 106(3), pages 547-565.
    128. Menkveld, Albert J., 2013. "High frequency trading and the new market makers," Journal of Financial Markets, Elsevier, vol. 16(4), pages 712-740.
    129. Jérémy Ducros & Angelo Riva, 2018. "The Lyon Stock Exchange: The Survival of the Fittest (1866-1914)," Working Papers halshs-01800720, HAL.
    130. Sunghoon Joo & Dong H. Kim & Jung Chul Park, 2020. "Does local political support influence financial markets? A study on the impact of job approval ratings of political representatives on local stock returns," The Financial Review, Eastern Finance Association, vol. 55(2), pages 247-276, May.
    131. Schultz, Paul, 2003. "Who makes markets," Journal of Financial Markets, Elsevier, vol. 6(1), pages 49-72, January.
    132. Azzi, Sarah & Suchard, Jo-Ann, 2019. "Crouching tigers, hidden dragons: Private equity fund selection in China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 236-253.
    133. Dahlquist, Magnus & Robertsson, Goran, 2004. "A note on foreigners' trading and price effects across firms," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 615-632, March.
    134. Paudyal, Krishna & Thapa, Chandra & Koirala, Santosh & Aldhawyan, Sulaiman, 2021. "Economic policy uncertainty and cross-border mergers and acquisitions," Journal of Financial Stability, Elsevier, vol. 56(C).
    135. Omay, Tolga & Iren, Perihan, 2019. "Behavior of foreign investors in the Malaysian stock market in times of crisis: A nonlinear approach," Journal of Asian Economics, Elsevier, vol. 60(C), pages 85-100.
    136. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2011. "Geography, skills or both: What explains Fed watchers' forecast accuracy of US monetary policy?," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 420-437, September.
    137. Teng Wang, 2019. "To Build or to Buy? The Role of Local Information in Credit Market Development," Management Science, INFORMS, vol. 65(12), pages 5838-5860, December.
    138. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    139. Michael King & Carol Osler & Dagfinn Rime, 2012. "The Market Microstructure Approach to Foreign Exchange: Looking Back and Looking Forward," Working Papers 54, Brandeis University, Department of Economics and International Business School.
    140. Le, Anh & Yin, Xiangkang & Zhao, Jing, 2019. "Informed trading around earnings announcements in Australia," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    141. Menkhoff, Lukas & Schmeling, Maik, 2006. "Local Information in Foreign Exchange Markets," Hannover Economic Papers (HEP) dp-331, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    142. Laurent Germain & Brian Kluger & Crina Pungulescu & David Stolin & Daniel Weaver, 2010. "Intra†Dealer Integration," European Financial Management, European Financial Management Association, vol. 16(4), pages 507-527, September.
    143. Nicolas Coeurdacier & Hélène Rey, 2010. "Home bias in open economy financial macroeconomics," SciencePo Working papers Main hal-01069440, HAL.
    144. Neupane, Suman & Neupane, Biwesh & Paudyal, Krishna & Thapa, Chandra, 2016. "Domestic and foreign institutional investors' investment in IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 197-210.
    145. Chia‐Jung Tu & Yuanchen Chang, 2012. "Analyst responses to stock‐index adjustments: Evidence from MSCI Taiwan Index additions," Review of Financial Economics, John Wiley & Sons, vol. 21(2), pages 82-89, April.
    146. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.
    147. George D. Cashman & David M. Harrison & Hainan Sheng, 2022. "Short selling and options trading: A tale of two markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 313-338, June.
    148. Zhang, Jinhua & Wang, Guipu & Yan, Cheng, 2020. "Can foreign equity funds outperform their benchmarks? New evidence from fund-holding data for China," Economic Modelling, Elsevier, vol. 90(C), pages 11-20.
    149. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "U.S. international equity investment and past prospective returns," International Finance Discussion Papers 1016, Board of Governors of the Federal Reserve System (U.S.).
    150. Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2001. "Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?," NBER Working Papers 8073, National Bureau of Economic Research, Inc.
    151. Saiying Deng & David Rakowski, 2016. "Geography and Local (Dis)advantage: Evidence from Muni Bond Funds," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-24, September.
    152. Terrence Hendershott & Ryan Riordan, 2009. "Algorithmic Trading and Information," Working Papers 09-08, NET Institute, revised Aug 2009.
    153. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
    154. Yang, Heejin & Ahn, Hee-Joon & Kim, Maria H. & Ryu, Doojin, 2017. "Information asymmetry and investor trading behavior around bond rating change announcements," Emerging Markets Review, Elsevier, vol. 32(C), pages 38-51.
    155. Lien, Donald & Hung, Pi-Hsia & Chen, Hung-Ju, 2021. "Who knows more and makes more? A perspective of order submission decisions across investor types," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 381-398.
    156. Ashish Kumar Garg & Subrata Kumar Mitra & Dilip Kumar, 2016. "Do foreign institutional investors herd in emerging markets? A study of individual stocks," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 43(3), pages 281-300, September.
    157. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    158. Kim, Hayoung, 2022. "Heterogeneous effects of information disclosure: Evidence from housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 195(C), pages 359-380.
    159. Margarida Abreu & Victor Mendes, 2010. "Financial literacy and portfolio diversification," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 515-528.
    160. Bae, Kee-Hong & Ozoguz, Arzu & Tan, Hongping & Wirjanto, Tony S., 2012. "Do foreigners facilitate information transmission in emerging markets?," Journal of Financial Economics, Elsevier, vol. 105(1), pages 209-227.
    161. Ozsoylev, Han N. & Walden, Johan, 2011. "Asset pricing in large information networks," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2252-2280.
    162. Gaspar, Jose-Miguel & Massa, Massimo, 2007. "Local ownership as private information: Evidence on the monitoring-liquidity trade-off," Journal of Financial Economics, Elsevier, vol. 83(3), pages 751-792, March.
    163. Diyarbakirlioglu, Erkin, 2011. "Domestic and foreign country bias in international equity portfolios," Journal of Multinational Financial Management, Elsevier, vol. 21(5), pages 301-329.
    164. Cheng, Xu & Kong, Dongmin & Wang, Junbo, 2021. "Political uncertainty and A-H share premium," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    165. Antonin Aviat & Nicolas Coeurdacier, 2007. "The geography of trade in goods and asset holdings," SciencePo Working papers Main hal-01045223, HAL.
    166. Alistair Bruce & David Marginson, 2014. "Power, Not Fear: A Collusion-Based Account of Betting Market Inefficiency," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 21(1), pages 77-97, February.
    167. Platikanova, Petya & Mattei, Marco Maria, 2016. "Firm geographic dispersion and financial analysts’ forecasts," Journal of Banking & Finance, Elsevier, vol. 64(C), pages 71-89.
    168. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2009. "Forecasting ECB monetary policy: Accuracy is a matter of geography," European Economic Review, Elsevier, vol. 53(8), pages 1028-1041, November.
    169. Ridhwan, M.M. & Nijkamp, P. & Rietveld, P., 2008. "Regional development and monetary policy : a review of the role of monetary unions, capital mobility and locational effects," Serie Research Memoranda 0007, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    170. David C. Ling & Andy Naranjo & Benjamin Scheick, 2021. "There is no place like home: Information asymmetries, local asset concentration, and portfolio returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 36-74, March.
    171. Oi-Ping Chong & A.N. Bany-Ariffin & Annuar Md Nassir & Junaina Muhammad, 2019. "An Empirical Study of Herding Behaviour in China’s A-Share and B-Share Markets: Evidence of Bidirectional Herding Activities," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 37-57.
    172. G. Andrew Karolyi & David T. Ng & Eswar S. PrasadAuthor-Workplace-Name: Cornell University, 2016. "The Coming Wave: Where Do Emerging Market Investors Put Their Money?," Working Papers 042016, Hong Kong Institute for Monetary Research.
    173. Thomas Jeanjean & Hervé Stolowy & Michael Erkens, 2012. "Economic consequences of adopting English for annual reports," Post-Print hal-00690931, HAL.
    174. Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2011. "Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors," Discussion Paper Series 1: Economic Studies 2011,23, Deutsche Bundesbank.
    175. Vyacheslav Mikhed & Barry Scholnick, 2014. "Financial benefits, travel costs, and bankruptcy," Working Papers 14-18, Federal Reserve Bank of Philadelphia.
    176. Qiulin Ke & Karen Sieracki, 2018. "Exploring sentiment-driven trading behavior of different types of investors in London office market," ERES eres2018_112, European Real Estate Society (ERES).
    177. Chiao, Chaoshin & Chen, Shin-Hui & Hu, Jia-Ming, 2010. "Informational differences among institutional investors in an increasingly institutionalized market," Japan and the World Economy, Elsevier, vol. 22(2), pages 118-129, March.
    178. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
    179. Pat McAllister & Anupam Nanda, 2016. "Does Real Estate Defy Gravity? An Analysis of Foreign Real Estate Investment Flows," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 924-948, November.
    180. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    181. David C. Ling & Chongyu Wang & Tingyu Zhou, 2021. "The Geography of Real Property Information and Investment: Firm Location, Asset Location and Institutional Ownership," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 287-331, March.
    182. He, Wen & Li, Donghui & Shen, Jianfeng & Zhang, Bohui, 2013. "Large foreign ownership and stock price informativeness around the world," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 211-230.
    183. Chiao, Chaoshin & Lin, Tung-Ying & Lee, Cheng-Few, 2017. "The reactions to on-air stock reports: Prices, volume, and order submission behavior," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 27-46.
    184. Angel Zhong, 2022. "Institutional trading in stock market anomalies in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 893-930, March.
    185. Nerissa C. Brown & Han Stice & Roger M. White, 2015. "Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws," Journal of Accounting Research, Wiley Blackwell, vol. 53(2), pages 275-329, May.
    186. Wu, Thomas, 2012. "Order flow in the South: Anatomy of the Brazilian FX market," The North American Journal of Economics and Finance, Elsevier, vol. 23(3), pages 310-324.
    187. Erkin Diyarbakirlioglu, 2011. "Foreign equity flows and the "Size Bias" : Evidence from an emerging stock market," Post-Print hal-01127657, HAL.
    188. Sini, Snow & Abdul-Rahim, A.S. & Chin, Lee & Said, Rusmawati & Sulaiman, Chindo, 2022. "Natural resources’ impact on capital flow and conflict relationship in Africa: A novel insight from GMM and quantile regression," Resources Policy, Elsevier, vol. 78(C).
    189. Christoffersen, Susan E.K. & Sarkissian, Sergei, 2009. "City size and fund performance," Journal of Financial Economics, Elsevier, vol. 92(2), pages 252-275, May.
    190. Sofia B. Ramos, 2003. "Competition Between Stock Exchanges: A Survey," FAME Research Paper Series rp77, International Center for Financial Asset Management and Engineering.
    191. Bai, Min & Qin, Yafeng & Zhang, Huiping, 2021. "Stock price crashes in emerging markets," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 466-482.

  29. Harald Hau & Marcel Thum, 2000. "Lawyers, Legislation and Social Welfare," European Journal of Law and Economics, Springer, vol. 9(3), pages 231-254, May.

    Cited by:

    1. Grajzl, Peter & Baniak, Andrzej, 2009. "Industry self-regulation, subversion of public institutions, and social control of torts," International Review of Law and Economics, Elsevier, vol. 29(4), pages 360-374, December.

  30. Hau, Harald, 2000. "Exchange rate determination: The role of factor price rigidities and nontradeables," Journal of International Economics, Elsevier, vol. 50(2), pages 421-447, April.

    Cited by:

    1. Yoshiyasu Ono, 2010. "Trade Policy, Exchange Rate Adjustment and Unemployment," Chapters, in: Noel Gaston & Ahmed M. Khalid (ed.), Globalization and Economic Integration, chapter 7, Edward Elgar Publishing.
    2. Masao Ogaki & Jaebeom Kim, 2004. "Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach," Econometric Society 2004 Far Eastern Meetings 515, Econometric Society.
    3. Emanuel Kohlscheen, 2010. "Emerging Floaters: pass-throughs and (some) new commodity currencies," Working Papers Series 224, Central Bank of Brazil, Research Department.
    4. Carlos Borondo, "undated". "International Transmission of Monetary Shocks with Interest Rate Rule," Working Papers on International Economics and Finance 00-04, FEDEA.
    5. Tille, Cédric, 2008. "Financial integration and the wealth effect of exchange rate fluctuations," Journal of International Economics, Elsevier, vol. 75(2), pages 283-294, July.
    6. Lane, P, 1999. "The New Open Economy Macroeconomics: A Survey," Trinity Economics Papers 993, Trinity College Dublin, Department of Economics.
    7. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    8. Paul R. Bergin, 2017. "Putting the “New Open Economy Macroeconomics” to a Test," World Scientific Book Chapters, in: International Macroeconomic Interdependence, chapter 4, pages 79-115, World Scientific Publishing Co. Pte. Ltd..
    9. Michael Paetz, 2007. "Robust Control and Persistence in the New Keynesian Economy," Quantitative Macroeconomics Working Papers 20711, Hamburg University, Department of Economics.
    10. Garcia-Cebro, Juan A. & Varela-Santamaría, Ramón, 2011. "The international transmission of monetary shocks across developed countries: The role of imported raw materials," Journal of International Money and Finance, Elsevier, vol. 30(8), pages 1791-1813.
    11. Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
    12. Novy, Dennis, 2006. "Trade Costs and the Open Macroeconomy," Economic Research Papers 269748, University of Warwick - Department of Economics.
    13. Michael Evers, 2006. "Federal fiscal transfers in monetary unions: A NOEM approach," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 13(4), pages 463-488, August.
    14. Mr. Giovanni Ganelli & Juha Tervala, 2007. "Public Infrastructures, Public Consumption, and Welfare in a New-Open-Economy-Macro Model," IMF Working Papers 2007/067, International Monetary Fund.
    15. Yoshiyasu Ono, 2014. "International Economic Interdependence and Exchange-rate Adjustment under Persistent Stagnation," The Japanese Economic Review, Japanese Economic Association, vol. 65(1), pages 70-92, March.
    16. Mohsin, Mohammed & Park, Kihyun, 2015. "Monetary policy in a two-sector dependent economy," Economic Modelling, Elsevier, vol. 46(C), pages 118-129.
    17. Cédric Tille, 1999. "The role of consumption substitutability in the international transmission of shocks," Staff Reports 67, Federal Reserve Bank of New York.
    18. Berger, Wolfram, 2006. "International interdependence and the welfare effects of monetary policy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 399-416.
    19. Giancarlo Corsetti & Paolo Pesenti, 2001. "Welfare and Macroeconomic Interdependence," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(2), pages 421-445.
    20. Povoledo, Laura, 2018. "Pricing behavior and the role of trade openness in the transmission of monetary shocks," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 231-247.
    21. Chan Wang & Heng-fu Zou, 2013. "On the efficiency of monetary and fiscal policy in open economies," Annals of Economics and Finance, Society for AEF, vol. 14(1), pages 179-206, May.
    22. David Bowman & Brian M. Doyle, 2003. "New Keynesian, open-economy models and their implications for monetary policy," International Finance Discussion Papers 762, Board of Governors of the Federal Reserve System (U.S.).
    23. Michael B. Devereux & Charles Engel, 1999. "The Optimal Choice of Exchange-Rate Regime: Price-Setting Rules and Internationalized Production," NBER Working Papers 6992, National Bureau of Economic Research, Inc.
    24. Michael B. Devereux & James Yetman, 2002. "Price Setting and Exhange Rate Pass-Through," Working Papers 222002, Hong Kong Institute for Monetary Research.
    25. Juan Antonio García-Cebro & Alejandro Quintela-Del-Río & Ramón Varela-Santamaría, 2023. "Welfare and sectoral productivity shifts in a small open economy with imported agricultural inputs: The case of Sub-Saharan Africa," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(3), pages 353-376, September.
    26. Swift, Robyn, 2004. "Exchange rate changes and endogenous terms of trade effects in a small open economy," Journal of Macroeconomics, Elsevier, vol. 26(4), pages 737-745, December.
    27. Liu, Zheng & Pappa, Evi, 2005. "Gains from coordination in a multi-sector open economy : does it pay to be different?," LSE Research Online Documents on Economics 525, London School of Economics and Political Science, LSE Library.
    28. Ondra Kamenik & Michael Kumhof, 2014. "Trade Openness and Exchange Rate Regimes," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(8), pages 1657-1686, December.
    29. Ganelli, Giovanni, 2003. "The New Open Economy Macroeconomics of Government Debt," Royal Economic Society Annual Conference 2003 83, Royal Economic Society.
    30. Wataru Johdo, 2019. "Tariffs, the exchange rate, and location," Economics Bulletin, AccessEcon, vol. 39(2), pages 741-750.
    31. Ganelli, Giovanni, 2010. "The international effects of government spending composition," Economic Modelling, Elsevier, vol. 27(3), pages 631-640, May.
    32. Thomas Lubik, 2003. "Industrial Structure and Monetary Policy in a Small Open Economy," Economics Working Paper Archive 493, The Johns Hopkins University,Department of Economics.
    33. Charles Engel, 2000. "Optimal Exchange Rate Policy:The Influence of Price-Setting and Asset Markets," Discussion Papers in Economics at the University of Washington 0020, Department of Economics at the University of Washington.
    34. Chan Wang & Heng-fu Zou, 2013. "Optimal monetary and tariff policy in open economies," CEMA Working Papers 587, China Economics and Management Academy, Central University of Finance and Economics.
    35. Przemek Kowalski & Wojciech Paczynski & Lukasz Rawdanowicz, 2003. "Exchange Rate Regimes and the Real Sector: a Sectoral Analysis of CEE Countries," CASE Network Studies and Analyses 0248, CASE-Center for Social and Economic Research.
    36. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    37. David D. VanHoose, 2004. "The New Open Economy Macroeconomics: A Critical Appraisal," Open Economies Review, Springer, vol. 15(2), pages 193-215, April.
    38. Kam, Timothy, 2007. "Interest-rate smoothing in a two-sector small open economy," Journal of Macroeconomics, Elsevier, vol. 29(2), pages 283-304, June.
    39. Pierdzioch, Christian, 2004. "Productivity Shocks and Delayed Exchange-Rate Overshooting," Kiel Working Papers 1199, Kiel Institute for the World Economy (IfW Kiel).
    40. Timothy Kam, 2003. "The Value of Interest-rate Smoothing in a Forward-looking Small Open Economy," Economics Discussion / Working Papers 03-12, The University of Western Australia, Department of Economics.
    41. Devereux, Michael B. & Yetman, James, 2010. "Price adjustment and exchange rate pass-through," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 181-200, February.
    42. Giancarlo Corsetti, 2007. "New Open Economy Macroeconomics," RSCAS Working Papers 2007/27, European University Institute.
    43. Mahbub Morshed, A.K.M. & Turnovsky, Stephen J., 2011. "Real exchange rate dynamics: The role of elastic labor supply," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1303-1322.
    44. Ono, Y., 2001. "International Spillover of Economic Fluctuations:A Dynamic Optimization Approach," ISER Discussion Paper 0527, Institute of Social and Economic Research, Osaka University.
    45. Naknoi, Kanda, 2008. "Real exchange rate fluctuations, endogenous tradability and exchange rate regimes," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 645-663, April.
    46. Andrea Nobili & Stefano Neri, 2006. "The transmission of monetary policy shocks from the US to the euro area," Temi di discussione (Economic working papers) 606, Bank of Italy, Economic Research and International Relations Area.
    47. Yoshiyasu Ono, 2006. "Protective Trade Policies 'Reduce' Employment: A Dynamic Optimization Approach," ISER Discussion Paper 0659, Institute of Social and Economic Research, Osaka University.
    48. Garcia-Cebro, Juan A. & Varela-Santamaria, Ramon, 2007. "Raw materials world price changes and exchange rates in a small open economy," Economics Letters, Elsevier, vol. 95(1), pages 132-139, April.
    49. Nilufer Ozdemir, 2013. "Effects of Monetary Policy Coordination on Small Open Economies," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(3), pages 124-136, May.
    50. Mihailov, Alexander, 2003. "Effects of the Exchange-Rate Regime on Trade under Monetary Uncertainty: The Role of Price Setting," Economics Discussion Papers 8865, University of Essex, Department of Economics.
    51. Østrup, Finn, 2005. "Fiscal Policy and Welfare under Different Exchange Rate Regimes," Working Papers 2005-1, Copenhagen Business School, Department of Finance.
    52. Carlos Borondo, 2000. "INTERNATIONAL TRANSMISSION OF MONETARY SHOCKS WITH INTEREST RATE RULE Abstract: This paper explores the implications of monetary policy rules in the general equilibrium two-country framework of Obstfe," Working Papers 00-04, Asociación Española de Economía y Finanzas Internacionales.
    53. Ponomarev, Yuriy (Пономарев, Юрий) & Rey, Aleksey (Рей, Алексей) & Radchenko, Darya (Радченко, Дарья), 2018. "Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners [Исследование Взаимосвя," Working Papers 061823, Russian Presidential Academy of National Economy and Public Administration.
    54. Sofoklis Vogiazas & Constantinos Alexiou & Orafiri C. Ogan, 2019. "Drivers of the real effective exchange rates in high and upper‐middle income countries," Australian Economic Papers, Wiley Blackwell, vol. 58(1), pages 41-53, March.
    55. Wataru Johdo, 2019. "Deregulation in non-tradable goods sector and relocation of firms in tradable goods sector," Economics Bulletin, AccessEcon, vol. 39(4), pages 2507-2516.
    56. Calderon, Cesar & Kubota, Megumi, 2009. "Does higher openness cause more real exchange rate volatility ?," Policy Research Working Paper Series 4896, The World Bank.
    57. Wataru Johdo, 2022. "International worker mobility and the effects of monetary policy shocks," Economics Bulletin, AccessEcon, vol. 42(2), pages 523-535.
    58. Ganelli, Giovanni & Tervala, Juha, 2009. "Public infrastructures, public consumption and welfare in a new open economy macro model," Bank of Finland Research Discussion Papers 8/2009, Bank of Finland.
    59. Laura Povoledo, 2007. "Volatility of the Tradeable and Non-Tradeable Sectors: Theory and evidence," Economic Analysis Research Group Working Papers earg-wp2007-10, Henley Business School, University of Reading.
    60. Lucio Sarno, 2001. "Toward a new paradigm in open economy modeling: where do we stand?," Review, Federal Reserve Bank of St. Louis, vol. 83(May), pages 21-36.
    61. Torben M. Andersen & Niels C. Beier, 2003. "Propagation of Nominal Shocks in Open Economies," Manchester School, University of Manchester, vol. 71(6), pages 567-592, December.
    62. Zhang, Hao & Zhu, Jiaqing, 2022. "Does trade cause fear of appreciation?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 68-80.
    63. Yanchun Zhang, 2009. "The role of monetary shocks and real shocks on the current account, the terms of trade and the real exchange rate dynamics: a SVAR analysis," Applied Economics, Taylor & Francis Journals, vol. 41(16), pages 2047-2063.
    64. Sarajevs, Vadims, 2000. "Money shocks in a small open economy with dollarization, factor price rigidities and nontradeables," BOFIT Discussion Papers 12/2000, Bank of Finland Institute for Emerging Economies (BOFIT).
    65. Alpaslan AKÇORAOĞLU, 2012. "Yeni Açık Ekonomi Makroiktisat Teorisi ve Para Politikasının Uluslararası Boyutları," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 23(85), pages 57-82.
    66. Alexander Mihailov, 2004. "Effects of the exchange-rate regime on trade: the role of price setting," Money Macro and Finance (MMF) Research Group Conference 2003 66, Money Macro and Finance Research Group.
    67. Chan Wang & Heng-fu Zou, 2013. "Optimal monetary policy in open economies: the role of reference currency in vertical production and trade," CEMA Working Papers 586, China Economics and Management Academy, Central University of Finance and Economics.
    68. Christian Pierdzioch, 2007. "Households' Preferences and Exchange Rate Overshooting," International Economic Journal, Taylor & Francis Journals, vol. 21(2), pages 297-316.

  31. Harald Hau, 1999. "Comment on ‘Corporate Risk Management for Multinational Corporations: Financial and Operational Hedging Policies’," Review of Finance, European Finance Association, vol. 2(2), pages 247-249.

    Cited by:

    1. Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 3(7), pages 84-102, July.
    2. O'Brien, Thomas J., 2010. "Fundamentals of corporate currency exposure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(3), pages 310-321, July.
    3. Marcello Spanò, 2013. "Theoretical explanations of corporate hedging," International Journal of Business and Social Research, LAR Center Press, vol. 3(7), pages 84-102, July.

  32. Hau, Harald, 1998. "Competitive Entry and Endogenous Risk in the Foreign Exchange Market," The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 757-787.

    Cited by:

    1. John A. Carlson & Carol L. Osler, 1996. "Rational speculators and exchange rate volatility," Staff Reports 13, Federal Reserve Bank of New York.
    2. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    3. Olivier Jeanne & Andrew K. Rose, 2002. "Noise Trading and Exchange Rate Regimes," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(2), pages 537-569.
    4. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
    5. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
    6. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
    7. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    8. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    9. Olivier Damette, 2016. "Mixture distribution hypothesis and the impact of a Tobin tax on exchange rate volatility : a reassessment," Post-Print hal-01601393, HAL.
    10. Christian Bauer & Bernhard Herz, 2004. "Technical trading and the volatility of exchange rates," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 399-415.
    11. Adam, Klaus & Beutel, Johannes & Marcet, Albert & Merkel, Sebastian, 2015. "Can a financial transaction tax prevent stock price booms?," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 90-109.
    12. Roche, M.J. & Moore. M.J., 2002. "Volatile and persistent real exchange rates without the contrivance of sticky prices," Economics Department Working Paper Series n1160402, Department of Economics, National University of Ireland - Maynooth.
    13. Bratis, Theodoros & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "Assessing the impact of an EU financial transactions tax on asset volatility: An event study," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 12-24.
    14. J. Scott Davis & Eric Van Wincoop, 2017. "Globalization and the Increasing Correlation between Capital Inflows and Outflows," Globalization Institute Working Papers 323, Federal Reserve Bank of Dallas.
    15. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
    16. Kang Shi & Juanyi Xu, 2009. "Entry cost, the Tobin tax, and noise trading in the foreign exchange market," Canadian Journal of Economics, Canadian Economics Association, vol. 42(4), pages 1501-1526, November.
    17. Jimmy Melo, 2014. "Expectativas cambiarias, selección adversa y liquidez," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(1), pages 27-62, May.
    18. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
    19. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
    20. Massimo Massa & William Goetzmann, 2001. "Heterogeneity of Trade and Stock Returns. Evidence from Index Fund Investors," Yale School of Management Working Papers ysm176, Yale School of Management, revised 01 Nov 2001.
    21. Moore, Michael J. & Roche, Maurice J., 2010. "Solving exchange rate puzzles with neither sticky prices nor trade costs," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1151-1170, October.
    22. Manzan, Sebastiano & Westerhoff, Frank, 2005. "Representativeness of news and exchange rate dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 677-689, April.
    23. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
    24. Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
    25. Killeen, William P. & Lyons, Richard K. & Moore, Michael J., 2006. "Fixed versus flexible: Lessons from EMS order flow," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 551-579, June.
    26. Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
    27. Otavio De Medeiros, 2005. "Order Flow and Exchange Rate Dynamics in Brazil," Finance 0503019, University Library of Munich, Germany.
    28. Olivier Damette & Beum-Jo Park, 2015. "Tobin Tax and Volatility: A Threshold Quantile Autoregressive Regression Framework," Review of International Economics, Wiley Blackwell, vol. 23(5), pages 996-1022, November.
    29. Peress, Joel, 2010. "The tradeoff between risk sharing and information production in financial markets," Journal of Economic Theory, Elsevier, vol. 145(1), pages 124-155, January.
    30. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
    31. Massimo Massa & William Goetzmann, 2001. "Dispersion of Opinion and Stock Returns: Evidence from Index Fund Investors," Yale School of Management Working Papers ysm227, Yale School of Management, revised 01 May 2003.
    32. Christophe Chamley, 2005. "Complementarities in Information Acquisition with Short-Term Trades," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-156, Boston University - Department of Economics.
    33. Christophe Chamley, 2005. "Complementarities in Information Acquisition with Short-Term Trades," Boston University - Department of Economics - Working Papers Series WP2005-027, Boston University - Department of Economics.
    34. FitzGerald, John & Central Bank Staff, 2012. "The EU Financial Transactions Tax Proposal: A Preliminary Evaluation," Research Series, Economic and Social Research Institute (ESRI), number BKMNEXT217, June.

  33. Hau, Harald, 1998. "Privatization under political interference: Evidence from Eastern Germany," European Economic Review, Elsevier, vol. 42(7), pages 1177-1201, July.

    Cited by:

    1. Goergen, M. & Manjon, M.C. & Renneboog, L.D.R., 2004. "Recent Developments in German Corporate Governance," Discussion Paper 2004-014, Tilburg University, Tilburg Law and Economic Center.
    2. Marc Goergen & Miguel Manjon & Luc Renneboog, 2008. "Is the German system of corporate governance converging towards the Anglo-American model?," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), vol. 12(1), pages 37-71, March.
    3. Lukas Mergele & Moritz Hennicke & Moritz Lubczyk, 2020. "The Big Sell: Privatizing East Germany's Economy," CESifo Working Paper Series 8566, CESifo.

Chapters

  1. Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.