| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24320 |
| 来源ID | Working Paper 24320 |
| Global Portfolio Rebalancing and Exchange Rates | |
| Nelson Camanho; Harald Hau; Hélène Rey | |
| 发表日期 | 2018-02-19 |
| 出版年 | 2018 |
| 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 identifies a positive currency supply elasticity. |
| 主题 | International Economics ; International Finance ; Globalization and International Relations ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w24320 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581993 |
| 推荐引用方式 GB/T 7714 | Nelson Camanho,Harald Hau,Hélène Rey. Global Portfolio Rebalancing and Exchange Rates. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24320.pdf（2315KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
