Portfolio rebalancing is a key driver of the Uncovered Equity Parity (UEP) condition. According to UEP, when foreign equity holdings outperform domestic holdings, domestic investors are exposed to higher exchange rate exposure and hence repatriate some of the foreign equity to decrease their...

This paper analyzes the impact of U.S. monetary policy announcement surprises on 15 foreign equity indexes in Asia, Europe, and Latin America. Using high-frequency data, I find a large and significant response of foreign equity indexes to U.S. monetary policy surprises at short time horizons. On...

Using a new high-frequency data set from Electronic Broking Services (EBS), this paper examines informational linkages in the euro-dollar and dollar-yen exchange rates across five trading regions: Asia Pacific, the Asia-Europe overlap, Europe, the Europe-America overlap, and America. Information...

This paper analyzes the impact of U.S. monetary policy announcement surprises on foreign equity indexes, short- and long-term interest rates, and exchange rates in 49 countries. We use two proxies for monetary policy surprises: the surprise change to the current target federal funds rate (target...