全球智库信息集成服务系统(G2TT): DP4862 Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP4862
	DP4862 Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change
	Massimo Massa; Harald Hau; Joel PERESS
发表日期	2005-01-23
出版年	2005
语种	英语
摘要	Do exchange rates react to exogenous capital movements? We explore this issue based on the redefinition of the MSCI international equity indices announced on 10 December 2000 and implemented in two steps on 30 November 2001 and 31 May 2002. The index changes implied major changes in the representation of different countries in the MSCI world index. Our event study shows a strong announcement effect in which countries with a decreasing equity representation vis-a-vis the US depreciated against the dollar. Around the two implementation dates, we find further systematic, but opposite, exchange rate effects, which can be interpreted as a result of excessive speculation on the first implementation date and insufficient speculation on the second date.
主题	International Macroeconomics
关键词	Event study Exchange rates Global equity index funds Limits of arbitrage
URL	https://cepr.org/publications/dp4862
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/533769
推荐引用方式 GB/T 7714	Massimo Massa,Harald Hau,Joel PERESS. DP4862 Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change. 2005.