| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15617 |
| DP15617 Global Portfolio Rebalancing and Exchange Rates | |
| Nelson Camanho; Harald Hau; Helene Rey | |
| 发表日期 | 2020-12-29 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We examine international equity allocations at the fund level and show how excess foreign returns influence portfolio rebalancing, capital flows and currencies. Our equilibrium model of incomplete FX risk trading where exchange rate risk partially segments international equity markets is consistent with the observed dynamics of equity returns, exchange rates, and fund-level capital flows. We document that rebalancing is more intense under higher FX volatility and find heterogeneous rebalancing behavior across different fund characteristics. A granular instrumental variable (GIV) approach identi es a currency supply elasticity suggesting that an equity outflow shock of US$7.1 billion depreciates the dollar by 1 percent. |
| 主题 | Financial Economics ; International Macroeconomics and Finance |
| URL | https://cepr.org/publications/dp15617 |
| 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/544631 |
| 推荐引用方式 GB/T 7714 | Nelson Camanho,Harald Hau,Helene Rey. DP15617 Global Portfolio Rebalancing and Exchange Rates. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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