| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3787 |
| DP3787 A New Method for Estimating Public Sector Pay Premia: Evidence from Britain in the 1990's | |
| Richard F Disney; Amanda Gosling | |
| 发表日期 | 2003-02-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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 US global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity supply is not infinitely price elastic; 2) higher returns in the home equity market relative to the foreign equity market are associated with a home currency depreciation; 3) net equity flows into the foreign market are positively correlated with a foreign currency appreciation. The model predictions are strongly supported at daily, monthly and quarterly frequencies for 17 OECD countries vis-à-vis the US Moreover, correlations are strongest after 1990 and for countries with higher market capitalization relative to GDP, suggesting that the observed exchange rate dynamics is indeed related to equity market development. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Capital flows Equity flows Market incompleteness Forex hedging |
| URL | https://cepr.org/publications/dp3787 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532786 |
| 推荐引用方式 GB/T 7714 | Richard F Disney,Amanda Gosling. DP3787 A New Method for Estimating Public Sector Pay Premia: Evidence from Britain in the 1990's. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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