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Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

Persistent link: https://www.econbiz.de/10005123908

Real exchange rate and international reserves in an era of growing financial and trade integration*

Aizenman, Joshua; Riera-Crichton, Daniel - Economics Department, University of California-Santa … - 2007

This paper evaluates the impact of international reserves, terms of trade shocks and capital flows on the real exchange rate (REER). We observe that international reserves cushions the impact of TOT shocks on the REER, and that this effect is important for developing but not for industrial...

Persistent link: https://www.econbiz.de/10010843048

Adjustment patterns to commodity terms of trade shocks: the role of exchange rate and international reserves policies

Aizenman, Joshua; Edwards, Sebastian; Riera-Crichton, Daniel - Economics Department, University of California-Santa … - 2012

lowering its volatility. We also show thatrelatively small increases in the average holdings of reserves by Latin American … volatility. …

Persistent link: https://www.econbiz.de/10010676407

Adjustment patterns to commodity terms of trade shocks: The role of exchange rate and international reserves policies

Aizenman, Joshua; Edwards, Sebastian; Riera-Crichton, Daniel - In: Journal of International Money and Finance 31 (2012) 8, pp. 1990-2016

, effectively lowering its volatility. We also show that relatively small increases in the average holdings of reserves by Latin … substantially REER volatility. …

Persistent link: https://www.econbiz.de/10011048521