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

  • Sturges, David M.
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    File URL: http://www.sciencedirect.com/science/article/B6W4V-41S4YGD-4/2/742ca011ace62d7b1d84ec58314a68e2
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    Article provided by Elsevier in its journal International Review of Economics & Finance.

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

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    Handle: RePEc:eee:reveco:v:9:y:2000:i:4:p:351-373
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620165

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    1. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March.
    2. Reichenstein, William, 1987. "The Impact of Money on Short-term Interest Rates," Economic Inquiry, Western Economic Association International, vol. 25(1), pages 67-82, January.
    3. Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    4. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," Working Paper 91-17, Federal Reserve Bank of Atlanta.
    5. John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
    6. Vittorio Grilli & Nouriel Roubini, 1995. "Liquidity and Exchange Rates: Puzzling Evidence from the G-7 Countries," Working Papers 95-17, New York University, Leonard N. Stern School of Business, Department of Economics.
    7. Chow, Edward H & Lee, Wayne Y & Solt, Michael E, 1997. "The Exchange-Rate Risk Exposure of Asset Returns," The Journal of Business, University of Chicago Press, vol. 70(1), pages 105-23, January.
    8. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    9. Grier, Kevin B & Perry, Mark J, 1993. " The Effect of Money Shocks on Interest Rates in the Presence of Conditional Heteroskedasticity," Journal of Finance, American Finance Association, vol. 48(4), pages 1445-55, September.
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