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Citations for "Exchange Rates, Equity Prices and Capital Flows"

by Hau, Harald & Rey, Hélène

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  1. Jaewoo Lee & H. Takizawa & David Hauner, 2011. "In Which Exchange Rate Models Do Forecasters Trust?," IMF Working Papers 11/116, International Monetary Fund.
  2. 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, 09.
  3. Albuquerque, Rui & Bauer, Gregory & Schneider, Martin, 2005. "International Equity Flows and Returns: A Quantitative Equilibrium Approach," CEPR Discussion Papers 5159, C.E.P.R. Discussion Papers.
  4. Emmanuel Farhi, 2008. "Rare Disasters and Exchange Rates," 2008 Meeting Papers 47, Society for Economic Dynamics.
  5. Lane, Philip R. & Shambaugh, Jay C., 2008. "Financial exchange rates and international currency exposures," Discussion Paper Series 1: Economic Studies 2008,22, Deutsche Bundesbank, Research Centre.
  6. Fratzscher, Marcel & Saborowski, Christian & Straub, Roland, 2009. "Monetary Policy Shocks and Portfolio Choice," Working Paper Series 1122, European Central Bank.
  7. 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.
  8. Pierre-Olivier Gourinchas & Hélène Rey, 2005. "International Financial Adjustment," International Finance 0505004, EconWPA.
  9. Fratzscher, Marcel, 2007. "US shocks and global exchange rate configurations," Working Paper Series 0835, European Central Bank.
  10. 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, Economics faculty of Tehran university, vol. 16(3), pages 67-91, fall.
  11. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  12. Fratzscher, Marcel, 2012. "Capital flows, push versus pull factors and the global financial crisis," Journal of International Economics, Elsevier, vol. 88(2), pages 341-356.
  13. Marcel Fratzscher, 2011. "Capital Controls and Foreign Exchange Policy," Working Papers Central Bank of Chile 652, Central Bank of Chile.
  14. Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-38, May.
  15. 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, vol. 36(2), pages 169-197, November.
  16. 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.
  17. Papaioannou, Elias & Portes, Richard & Siourounis, Gregorios, 2006. "Optimal currency shares in international reserves: The impact of the euro and the prospects for the dollar," Journal of the Japanese and International Economies, Elsevier, vol. 20(4), pages 508-547, December.
  18. Claudio Raddatz ; & Sergio L. Schmukler, 2012. "On the International Transmission of Shocks: Micro – Evidence From Mutual Fund Portfolios," Working Papers Central Bank of Chile 668, Central Bank of Chile.
  19. 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.
  20. Marcel Fratzscher & Roland Straub, 2009. "Asset Prices and Current Account Fluctuations in G-7 Economies," IMF Staff Papers, Palgrave Macmillan, vol. 56(3), pages 633-654, August.
  21. Arash, Aloosh, 2011. "Variance Risk Premium Differentials and Foreign Exchange Returns," MPRA Paper 40829, University Library of Munich, Germany, revised 18 Aug 2012.
  22. Cappiello, Lorenzo & De Santis, Roberto A., 2007. "The uncovered return parity condition," Working Paper Series 0812, European Central Bank.
  23. 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.
  24. Hau, Harald & Rey, Hélène, 2008. "Global Portfolio Rebalancing Under the Microscope," CEPR Discussion Papers 6901, C.E.P.R. Discussion Papers.
  25. Jens, EISENSCHMIDT & Klaus, WAELDE, 2003. "International Trade, Hedging and the Demand for Forward Contracts," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  26. Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Economic Research Department, Bank of Thailand.
  27. Martin D. D. Evans & Richard K. Lyons, 2006. "Understanding order flow," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 3-23.
  28. Evans, Martin D.D. & Hnatkovska, Viktoria V., 2014. "International capital flows, returns and world financial integration," Journal of International Economics, Elsevier, vol. 92(1), pages 14-33.
  29. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
  30. 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.
  31. 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.
  32. Mark, Joy, 2011. "Gold and the US dollar: Hedge or haven?," Finance Research Letters, Elsevier, vol. 8(3), pages 120-131, September.
  33. Marques, Luis B, 2007. "Welfare Implications of Exchange Rate Changes," MPRA Paper 5721, University Library of Munich, Germany.
  34. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 0883, European Central Bank.
  35. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," Center for European, Governance and Economic Development Research Discussion Papers 89, University of Goettingen, Department of Economics.
  36. Kühl, Michael, 2009. "Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates," Center for European, Governance and Economic Development Research Discussion Papers 89, University of Goettingen, Department of Economics.
  37. 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.
  38. 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.
  39. Schüder, Stefan, 2011. "Monetary policy trade-offs in a portfolio model with endogenous asset supply," Center for European, Governance and Economic Development Research Discussion Papers 127, University of Goettingen, Department of Economics.
  40. Lane, Philip R. & Milesi-Ferretti, Gian Maria, 2004. "Financial Globalization and Exchange Rates," CEPR Discussion Papers 4745, C.E.P.R. Discussion Papers.
  41. 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.
  42. Christian Julliard, 2004. "Human capital and international portfolio choice," LSE Research Online Documents on Economics 4813, London School of Economics and Political Science, LSE Library.
  43. 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.
  44. 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, vol. 35(4), pages 456-472, October.
  45. 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.
  46. 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.
  47. Schüder, Stefan, 2012. "Monetary Policy Trade-Offs in a Portfolio Model with Endogenous Asset Supply," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65402, Verein für Socialpolitik / German Economic Association.
  48. 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.
  49. 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.
  50. 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.
  51. 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, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University.
  52. 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.
  53. 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.
  54. Ferreira Filipe, Sara, 2012. "Equity order flow and exchange rate dynamics," Journal of Empirical Finance, Elsevier, vol. 19(3), pages 359-381.
  55. 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.
  56. 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.
  57. Chaban, Maxym, 2009. "Commodity currencies and equity flows," Journal of International Money and Finance, Elsevier, vol. 28(5), pages 836-852, September.
  58. 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.
  59. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2014. "Uncovered Equity Parity and Rebalancing in International Portfolios," NBER Working Papers 19963, National Bureau of Economic Research, Inc.
  60. 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 0706, European Central Bank.
  61. Philip R. Lane & Gian-Maria Milesi-Ferretti, 2007. "Europe and Global Imbalances," IMF Working Papers 07/144, International Monetary Fund.
  62. 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.
  63. 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.
  64. 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.
  65. Akito Matsumoto & Charles Engel, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund.
  66. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
  67. Olli Castrén, 2006. "Do Financial Market Variables Show Indicator Properties Relative to Exchange Rate Returns?," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 142(1), pages 165-180, April.
  68. Harald Hau & Massimo Massa & Joel Peress, 2010. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1681-1717, April.
  69. Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance.
  70. 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.
  71. Sean J. Gossel & Nicholas Biekpe, 2012. "The nominal rand/dollar exchange rate: before and after 1995," Studies in Economics and Finance, Emerald Group Publishing, vol. 29(2), pages 105-117, June.
  72. Gelman, Maria & Jochem, Axel & Reitz, Stefan, 2013. "Real financial market exchange rates and capital flows," Discussion Papers 50/2013, Deutsche Bundesbank, Research Centre.
  73. 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.
  74. Kim, Heeho, 2011. "The risk adjusted uncovered equity parity," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1491-1505.
  75. 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.
  76. Castrén, Olli, 2004. "Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?," Working Paper Series 0379, European Central Bank.
  77. Ding, Liang & Ma, Jun, 2013. "Portfolio reallocation and exchange rate dynamics," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3100-3124.
  78. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS.
  79. Fratzscher, Marcel & Straub, Roland, 2010. "Asset Prices, News Shocks and the Current Account," CEPR Discussion Papers 8080, C.E.P.R. Discussion Papers.
  80. 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.