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

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Can Oil Prices Forecast Exchange Rates (2011, unknown): “Hau and Rey (2004), for example, argue that the empirical patterns of international equity returns, equity portfolio ows, and exchange rates are consistent with the hypothesis that (un-hedged) global investors rebalance their portfolio in order to limit their exchange rate exposure when there 2The ”
Optimal Currency Shares in International Reserves: The Impact of the Euro and the Prospects for the Dollar (2006, unknown): “13See Hau and Rey (2004, 2006) and Siourounis (2004) for empirical models linking exchange rates with equity returns and capital flows that beat a random walk for some currency pairs and some horizons.”
International Currencies and Capital Allocation (2020, unknown): “Furthermore, while equity home-country bias has seen a marked decline over the recent years, bond home bias has declined much less, as shown in Coeurdacier and Rey (2013). Homecountry bias is to date the singularly effective force for empirically characterizing global portfolios and is essential for”
The Future of Central Banking (2005, background): “The question of how to deal with such possible conflicts between these two main objectives formed a major part of much early writing on central banking, notably Henry Thornton’s (1802) Enquiry into the Paper Credit of Great Britain and Bagehot’s Lombard Street (1873).”