| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6455 |
| DP6455 Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility | |
| Bernard Dumas; Alexander Kurshev | |
| 发表日期 | 2007-09-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange rate indices are insufficient to understand the financial impact of currency movements. Further, we demonstrate that many developing countries hold short foreign-currency positions, leaving them open to negative valuation effects when the domestic currency depreciates. However, we also show that many of these countries have substantially reduced their foreign currency exposure over the last decade. Last, we show that our currency measure has high explanatory power for the valuation term in net foreign asset dynamics: exchange rate valuation shocks are sizable, not quickly reversed and may entail substantial wealth shocks. |
| 主题 | International Macroeconomics |
| 关键词 | Capital flows External assets and liabilities Financial integration |
| URL | https://cepr.org/publications/dp6455 |
| 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/535316 |
| 推荐引用方式 GB/T 7714 | Bernard Dumas,Alexander Kurshev. DP6455 Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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