Asset Prices and Exchange Rates

Citations

Cited by:

1. Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
2. 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).
3. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
   • Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
   • Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
4. Anna Pavlova & Roberto Rigobon, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 75(4), pages 1215-1256.
   • Rigobon, Roberto & Pavlova, Anna, 2008. "The Role of Portfolio Constraints in the International Propagation of Shocks," CEPR Discussion Papers 6647, C.E.P.R. Discussion Papers.
5. Ghironi, Fabio & Lee, Jaewoo & Rebucci, Alessandro, 2015. "The valuation channel of external adjustment," Journal of International Money and Finance, Elsevier, vol. 57(C), pages 86-114.
   • Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2006. "The Valuation Channel of External Adjustment," 2006 Meeting Papers 195, Society for Economic Dynamics.
   • Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2007. "The Valuation Channel of External Adjustment," NBER Working Papers 12937, National Bureau of Economic Research, Inc.
   • Mr. Jaewoo Lee & Mr. Fabio Ghironi & Mr. Alessandro Rebucci, 2009. "The Valuation Channel of External Adjustment," IMF Working Papers 2009/275, International Monetary Fund.
   • Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2009. "The valuation channel of external adjustment," Working Papers 09-18, Federal Reserve Bank of Boston.
   • Ghironi, Fabio & Rebucci, Alessandro & Lee, Jaewoo, 2015. "The Valuation Channel of External Adjustment," CEPR Discussion Papers 10564, C.E.P.R. Discussion Papers.
   • Fabio Ghironi & Jaewoo Lee & Alessandro Rebucci, 2009. "The Valuation Channel of External Adjustment," Boston College Working Papers in Economics 722, Boston College Department of Economics.
6. Philip R. Lane & Jay C. Shambaugh, 2010. "Financial Exchange Rates and International Currency Exposures," American Economic Review, American Economic Association, vol. 100(1), pages 518-540, March.
   • Philip R Lane & Jay C Shambaugh, 2007. "Financial exchange rates and international currency exposures," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 90-127, Bank for International Settlements.
   • Philip Lane & Jay C. Shambaugh, 2007. "Financial Exchange Rates and International Currency Exposures," NBER Working Papers 13433, National Bureau of Economic Research, Inc.
   • 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.
   • Lane, Philip R. & Shambaugh, Jay C., 2008. "Financial exchange rates and international currency exposures," Discussion Paper Series 1: Economic Studies 2008,22, Deutsche Bundesbank.
   • Lane, Philip & Shambaugh, Jay, 2007. "Financial Exchange Rates and International Currency Exposures," CEPR Discussion Papers 6473, C.E.P.R. Discussion Papers.
7. Malamud, Semyon & Schrimpf, Paul, 2018. "An Intermediation-Based Model of Exchange Rates," CEPR Discussion Papers 13182, C.E.P.R. Discussion Papers.
   • Semyon Malamud & Andreas Schrimpf & Yuan Zhang, 2024. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 24-01, Swiss Finance Institute.
   • Semyon Malamud & Andreas Schrimpf, 2018. "An intermediation-based model of exchange rates," BIS Working Papers 743, Bank for International Settlements.
   • Semyon Malamud & Andreas Schrimpf, 2018. "An Intermediation-Based Model of Exchange Rates," Swiss Finance Institute Research Paper Series 18-14, Swiss Finance Institute, revised Jun 2018.
8. Flavin, Thomas J. & Panopoulou, Ekaterini & Unalmis, Deren, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Emerging Markets Review, Elsevier, vol. 9(4), pages 280-301, December.
   • Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the stability of domestic financial market linkages in the presence of time-varying volatility," Economics Department Working Paper Series n1981108.pdf, Department of Economics, National University of Ireland - Maynooth.
   • Thomas J. Flavin & Ekaterini Panopoulou & Deren Unalmis, 2008. "On the Stability of Domestic Financial Market Linkages in the Presence of time-varying Volatility," Working Papers 0810, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
9. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
   • Croce, Mariano & Colacito, Ric & Liu, Yang & Shaliastovich, Ivan, 2018. "Volatility Risk Pass-Through," CEPR Discussion Papers 13325, C.E.P.R. Discussion Papers.
   • Riccardo Colacito & Mariano Max Croce & Yang Liu & Ivan Shaliastovich, 2018. "Volatility Risk Pass-through," NBER Working Papers 25276, National Bureau of Economic Research, Inc.
10. 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.
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12. 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.
    • Cédric Tille, 2005. "Financial integration and the wealth effect of exchange rate fluctuations," Staff Reports 226, Federal Reserve Bank of New York.
    • Cedric Tille, 2005. "Financial Integration and the Wealth Effect of Exchange Rate Fluctuations," 2005 Meeting Papers 282, Society for Economic Dynamics.
13. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2019. "Pricing sin stocks: Ethical preference vs. risk aversion," European Economic Review, Elsevier, vol. 118(C), pages 69-100.
    • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2017. "Pricing sin stocks: Ethical preference vs. risk aversion," IWH Discussion Papers 20/2017, Halle Institute for Economic Research (IWH).
    • Giuliano Curatola & Stefano Colonnello & Alessandro Gioffré, 2018. "Pricing Sin Stocks: Ethical Preference vs. Risk Aversion," Working Papers - Economics wp2018_05.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    • Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2018. "Pricing sin stocks: Ethical preference vs. risk aversion," SAFE Working Paper Series 216, Leibniz Institute for Financial Research SAFE.
14. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2009. "When bonds matter: home bias in goods and assets," SciencePo Working papers Main hal-03602482, HAL.
15. Coeurdacier, Nicolas & Kollmann, Robert & Martin, Philippe, 2010. "International portfolios, capital accumulation and foreign assets dynamics," Journal of International Economics, Elsevier, vol. 80(1), pages 100-112, January.
    • Kollmann, Robert & Martin, Philippe & Coeurdacier, Nicolas, 2008. "International Portfolios, Capital Accumulation and Foreign Assets Dynamics," CEPR Discussion Papers 6902, C.E.P.R. Discussion Papers.
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    • 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.
    • Nicolas Coeurdacier & Robert Kollmann & Philippe Martin, 2009. "International portfolios, capital accumulation and foreign assets dynamics," Globalization Institute Working Papers 27, Federal Reserve Bank of Dallas.
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16. Markus K. Brunnermeier & Yuliy Sannikov, 2015. "International Credit Flows and Pecuniary Externalities," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 297-338, January.
    • Markus K. Brunnermeier & Yuliy Sannikov, 2013. "International Credit Flows and Pecuniary Externalities," NBER Chapters, in: Lessons from the Financial Crisis for Monetary Policy, National Bureau of Economic Research, Inc.
    • Markus K. Brunnermeier & Yuliy Sannikov, 2014. "International Credit Flows and Pecuniary Externalities," NBER Working Papers 20803, National Bureau of Economic Research, Inc.
    • Markus Brunnermeier & Yuliy Sannikov, 2015. "International Credit Flows and Pecuniary Externalities," CESifo Working Paper Series 5170, CESifo.
    • Brunnermeier, Markus & Sannikov, Yuliy, 2015. "International Credit Flows and Pecuniary Externalities," CEPR Discussion Papers 10339, C.E.P.R. Discussion Papers.
17. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
18. Salisu, Afees A. & Ndako, Umar B., 2018. "Modelling stock price–exchange rate nexus in OECD countries: A new perspective," Economic Modelling, Elsevier, vol. 74(C), pages 105-123.
    • 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.
19. Elahi, M.A., 2011. "Essays on financial fragility," Other publications TiSEM 882f55bb-10dc-4e49-95ef-e, Tilburg University, School of Economics and Management.
20. Lane, Philip R. & Shambaugh, Jay C., 2010. "The long or short of it: Determinants of foreign currency exposure in external balance sheets," Journal of International Economics, Elsevier, vol. 80(1), pages 33-44, January.
    • Philip R. Lane and Jay C. Shambaugh, 2008. "The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets," The Institute for International Integration Studies Discussion Paper Series iiisdp253, IIIS.
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21. Zhang, Yanbing & Hua, Xiuping & Zhao, Liang, 2012. "Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010," Economic Modelling, Elsevier, vol. 29(6), pages 2349-2361.
22. 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.
23. Matteo Maggiori, 2017. "Financial Intermediation, International Risk Sharing, and Reserve Currencies," American Economic Review, American Economic Association, vol. 107(10), pages 3038-3071, October.
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24. Gaël Giraud & Céline Rochon, 2010. "Transition to Equilibrium in International Trades," Documents de travail du Centre d'Economie de la Sorbonne 10012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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25. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2008. "Two Trees," The Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 347-385, January.
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26. Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015. "The dynamic relationship between stock, bond and foreign exchange markets," Economic Systems, Elsevier, vol. 39(4), pages 592-607.
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28. Nicolas Coeurdacier, 2009. "Theoretical perspectives on financial globalization: trade costs and equity home bias," Sciences Po publications info:hdl:2441/c8dmi8nm4pd, Sciences Po.
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29. Basak, Suleyman, 2005. "Asset pricing with heterogeneous beliefs," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2849-2881, November.
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31. Buffa, Andrea M. & Hodor, Idan, 2023. "Institutional investors, heterogeneous benchmarks and the comovement of asset prices," Journal of Financial Economics, Elsevier, vol. 147(2), pages 352-381.
32. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
33. David Amdur, 2009. "International Diversification in Debt vs Equity," Working Papers gueconwpa~09-09-01, Georgetown University, Department of Economics.
34. Coeurdacier, Nicolas & Gourinchas, Pierre-Olivier, 2016. "When bonds matter: Home bias in goods and assets," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 119-137.
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36. Ehling, Paul & Heyerdahl-Larsen, Christian, 2015. "Complete and incomplete financial markets in multi-good economies," Journal of Economic Theory, Elsevier, vol. 160(C), pages 438-462.
37. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
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38. Saeed, Shifa Mohamed & Abdeljawad, Islam & Hassan, M. Kabir & Rashid, Mamunur, 2023. "Dependency of Islamic bank rates on conventional rates in a dual banking system: A trade-off between religious and economic fundamentals," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 1003-1021.
39. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 79(C), pages 97-125.
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40. de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
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