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Exchange Rate, Equity Prices and Capital Flows
Hau, Harald - 2010
incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important …
Persistent link: https://www.econbiz.de/10012762881
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The Carry Trade : Risks and Drawdowns
Daniel, Kent D. - 2014
of our carry trades are not significantly different from unconditional betas. Hedging with options reduces but does not …
Persistent link: https://www.econbiz.de/10013048049
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Exchange Rate Exposure and Risk Management : The Case of Japanese Exporting Firms
Ito, Takatoshi - 2015
risk management measures—financial and operational hedging, the choice of invoice currency and the price revision strategy … by both financial and operational hedging. Third, yen invoicing reduces foreign exchange exposure. These findings …
Persistent link: https://www.econbiz.de/10013025780
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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive …We examine the impact of renminbi revaluation on firm valuations, considering two surprise announcements of changes in … effect on firms exporting to China but little positive or even a negative impact on those providing inputs for China …
Persistent link: https://www.econbiz.de/10013118251
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The Forward Premium Puzzle in a Two-Country World
Martin, Ian - 2011
I explore the behavior of asset prices and the exchange rate in a two-country world. When the large country has bad news, the relative price of the small country's output declines. As a result, the small country's bonds are risky, and uncovered interest parity fails, with positive excess returns...
Persistent link: https://www.econbiz.de/10013118842
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Global Portfolio Rebalancing and Exchange Rates
Camanho, Nelson - 2018
We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...
Persistent link: https://www.econbiz.de/10012927034
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The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk : A Reply
Lustig, Hanno N. - 2010
The U.S. consumption growth beta of an investment strategy that goes long in high interest rate currencies and short in low interest rate currencies is large and significant. The price of consumption risk is significantly different from zero, even after accounting for the sampling uncertainty...
Persistent link: https://www.econbiz.de/10012759517
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Forward and Spot Exchange Rates in a Multi-Currency World
Hassan, Tarek A. - 2014
Separate literatures study violations of uncovered interest parity (UIP) using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...
Persistent link: https://www.econbiz.de/10013050308
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Exchange Rates, Interest Rates, and the Risk Premium
Engel, Charles M. - 2015
The well-known uncovered interest parity puzzle arises from the empirical regularity that, among developed country pairs, the high interest rate country tends to have high expected returns on its short term assets. At the same time, another strand of the literature has documented that high real...
Persistent link: https://www.econbiz.de/10013025786
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Risk and Exchange Rates
Obstfeld, Maurice; Rogoff, Kenneth - 2021
This paper develops an explicitly stochastic new open economy macroeconomics' model, which can potentially be used to explore the qualitative and quantitative welfare differences between alternative exchange rate regimes. A crucial feature is that we do not simplify by assuming certainty...
Persistent link: https://www.econbiz.de/10013232899