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Exchange Rate, Equity Prices and Capital Flows

Hau, Harald - 2010

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as...

Persistent link: https://www.econbiz.de/10012762881

Exchange Rate Exposure and Risk Management : The Case of Japanese Exporting Firms

Ito, Takatoshi - 2015

This paper investigates the relationship between the Japanese firms' exposure to the exchange rate risk and risk management, such as choice of invoicing currency, and financial and operational hedge. The firm's exposure to the exchange rate risk is estimated by co-movements of the stock prices...

Persistent link: https://www.econbiz.de/10013025780

The Carry Trade : Risks and Drawdowns

Daniel, Kent - 2014

We examine carry trade returns formed from the G10 currencies. Performance attributes depend on the base currency. Dynamically spread-weighting and risk-rebalancing positions improves performance. Equity, bond, FX, volatility, and downside equity risks cannot explain profitability....

Persistent link: https://www.econbiz.de/10013048049

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

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?

Hau, Harald; Rey, Hélène - 2021

We explore whether the pattern of international equity returns, equity portfolio flows, and exchange rate returns are consistent with the hypothesis that (unhedged) global investors rebalance their portfolio in order to limit their exchange rate exposure when there are (1) relative equity return...

Persistent link: https://www.econbiz.de/10013247017

Investment in Manufacturing, Exchange-Rates and External Exposure

Campa, José Manuel; Goldberg, Linda S. - 2021

This paper studies the linkage between exchange rates and investment. emphasizing the role of producer exposure through export sales and through imported inputs into production. For two-digit United States manufacturing sectors we present time series of export shares and imported input shares....

Persistent link: https://www.econbiz.de/10013222973

Exchange Rate Risk and the Macroeconomics of Exchange Rate Determination

Dornbusch, Rudiger - 2021

This paper discusses the link between portfolio diversification models of exchange risk and the macroeconomics of exchange rate determination. A first part sets out the mean-variance model of portfolio choice for the case of two nominal assets with random real returns. From there the model is...

Persistent link: https://www.econbiz.de/10013229075

A Re-Examination of Exchange Rate Exposure

Dominguez, Kathryn M.; Tesar, Linda L. - 2021

Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has become increasingly with integrated capital markets. Indeed, the existing literature examining the relationship between international stock prices and exchange rates finds...

Persistent link: https://www.econbiz.de/10013239346

Sovereign Credit and Exchange Rate Risks : Evidence from Asia-Pacific Local Currency Bonds

Chernov, Mikhail; Creal, Drew; Hördahl, Peter - 2022

We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that...

Persistent link: https://www.econbiz.de/10013492630

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