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Can portfolio rebalancing explain the dynamics of equity returns, equity flows, and exchange rates?
| Content Provider | Library of Congress - Books/Printed Material |
|---|---|
| Author | Hau, Harald Rey, Hélène |
| Temporal Coverage | 2004 |
| Copyright Year | 2004 |
| Abstract | "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 and (2) exchange rate shocks. We also explore whether (3) equity flow shocks influence the exchange rates and relative equity prices. In the estimation of the VAR system we do not impose any causal ordering upon the primitive shocks, but instead identify the system based on theoretical priors about the contemporaneous conditional correlations between the three variables. International data for the five largest equity markets are consistent with a theory in which equity returns and portfolio rebalancing are an important source of exchange rate dynamics"--National Bureau of Economic Research web site. |
| Language | English |
| Publisher | National Bureau of Economic Research |
| Publisher Place | Cambridge, MA |
| Part of Series | Catalog |
| Requires | HTML5 supported browser |
| Access Restriction | Open |
| Subject Keyword | Foreign Exchange Futures Foreign Exchange Rates Portfolio Management |
| Subject Domain (in LCSH) | Portfolio management |
| Subject Domain (in LCSH) | Foreign exchange rates |
| Subject Domain (in LCSH) | Foreign exchange futures |
| Subject Domain (in LCC) | HB1 |
| Content Type | Text |
| Resource Type | Book |
