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Exchange Rate Variability And Asset Trade

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Torsten Persson
Lars E.O. Svensson

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Abstract

In discussions about different international monetary arrangements it is often maintained that exchange rate variability has a negative influence on international trade and foreign investment. This paper addresses one specific aspect of this general issue, namely the effect of exchange rate variability on capital flows and international portfolio diversification. More precisely, we examine how different monetary policies -- and among those, policies that aim at stabilizing exchange rates -- determine the risk characteristics of nominal assets, and how these risk characteristics determine international portfolio composition and trade in assets, when international asset markets are incomplete.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2811.

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Date of creation: Feb 1990
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Handle: RePEc:nbr:nberwo:2811

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  1. Martin, Philippe & Rey, Hélène, 1999. "Financial Super-Markets: Size Matters for Asset Trade," CEPR Discussion Papers 2232, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  2. Frankel, Jeffrey A. & Rose, Andrew K., 1997. "Economic Structure and the Decision to Adopt a Common Currency," Seminar Papers 611, Stockholm University, Institute for International Economic Studies. [Downloadable!]
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  3. Ed Westerhout, 1998. "The Attractiveness of the EMU Exchange Rate Stabilization Program," Empirica, Springer, vol. 25(3), pages 309-329, January. [Downloadable!] (restricted)
  4. Stephen Ching & Michael B. Devereux, 2000. "Risk Sharing and the Theory of Optimal Currency Areas: A Re-examination of Mundell 1973," Working Papers 082000, Hong Kong Institute for Monetary Research. [Downloadable!]
  5. P Martin & H Rey, 2000. "Financial Integration and Asset Returns," CEP Discussion Papers dp0451, Centre for Economic Performance, LSE. [Downloadable!]
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  6. Lane, Philip R. & Shambaugh, Jay C, 2008. "The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets," CEPR Discussion Papers 6887, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  7. Lars E.O. Svensson, 1990. "Trade in Nominal Assets: Monetary Policy, and Price Level and Exchange Rate Risk," NBER Working Papers 2417, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  8. Lars E.O. Svensson, 1989. "Trade in Risky Assets," NBER Working Papers 2403, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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