| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4584 |
| DP4584 Forecasting (and Explaining) US Business Cycles | |
| John Muellbauer; Luca Nunziata | |
| 发表日期 | 2004-08-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | International finance F37 |
| URL | https://cepr.org/publications/dp4584 |
| 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/533501 |
| 推荐引用方式 GB/T 7714 | John Muellbauer,Luca Nunziata. DP4584 Forecasting (and Explaining) US Business Cycles. 2004. |
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