Similar Search Results

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

Puzzling Exchange Rate Dynamics and Delayed Portfolio Adjustment

Bacchetta, Philippe - 2019

The objective of this paper is to show that the proposal by Froot and Thaler (1990) of delayed portfolio adjustment can account for a broad set of puzzles about the relationship between interest rates and exchange rates. The puzzles include: i) the delayed overshooting puzzle; ii) the forward...

Persistent link: https://www.econbiz.de/10012862857

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

Exchange Rates, Interest Rates, and the Risk Premium

Engel, Charles - 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

Risk, Uncertainty and Exchange Rates

Hodrick, Robert J. - 2010

This paper explores a new direction for empirical models of exchange rate determination. The motivation arises from two well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk premiums in the forward market. Rational maximizing...

Persistent link: https://www.econbiz.de/10012760244

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