Exchange Rate, Equity Prices and Capital Flows

By Harald Hau, Hélène Rey. 2006

485 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e5d4ff988a0b5ac2e159253dc49991ed72f35287

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Citations in the corpus

Asset Prices and Exchange Rates (2007, unknown): “ting, absent international trade in goods, Hau and Rey (2002) study the relationship between stock market returns and the exchange rate. Brandt, Cochrane, and Santa-Clara (2001) also examine this relationship so as to argue that exchange rates fluctuate less than the implied marginal rates of substi”
Home Bias at the Fund Level (2008, background): “Ideally, theories of home bias should Note: Authors’ calculations based on TFS data. also be compatible with the empirical evidence linking equity prices, exchange rates, and equity flows (Hau and Rey 2006).”
Financial Exchange Rates and International Currency Exposures (2010, background): “…returns.5 While there is some evidence that exchange rate and equity returns negatively covary at high frequencies for industrial countries (Hau and Rey 2006), there is no evidence of this correlation in annual data such that a depreciation of the foreign currency reduces the home…”
Exchange Rate Disconnect in General Equilibrium (2017, background): “The model embeds in general equilibrium the noise trader and limits-to-arbitrage model of De Long, Shleifer, Summers, and Waldmann (1990) and its adaptation to the exchange rate market by Jeanne and Rose (2002). This extension achieves the following goals.”
Liquidity provision in the overnight foreign exchange market (2005, background): “Several authors, e.g., Hau and Rey (2002) and several papers by Carlson and Osler, utilize the idea of a liquidity provider comparable to the one identified here.”
Applying regret theory to investment choices: Currency hedging decisions (2008, background): “Hau and Rey (2006) and Campbell, Serfaty-de Medeiros, and Viceiira (2007) report that the correlation between asset and currency returns differ by country and could justify different levels of hedging for investors of different nationalities.”
On the International Transmission of Shocks : Micro-Evidence from Mutual Fund Portfolios (2012, background): “(2004) and Hau and Rey (2008). Kaminsky et al.”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “…the direction of the dependence between the stock and foreign exchange markets, plausible arguments can be made for either a negative or positive correlation, owing to either the return chasing effect or the portfolio rebalancing and exchange rate exposure effects, respectively (Hau and Rey, 2006).”
Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010, background): “Hau and Rey (2006) provide a variety of other motivations for such a passive limit order schedule, for example associated with exports and imports.”
The Scapegoat Theory of Exchange Rates: The First Tests (2014, unknown): “18This sign is consistent with the general equilibrium model of Hau and Rey (2006), and hence likely due to FX hedging demand when investors’ portfolios become more exposed to FX risk.”