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Exchange Rates, Equity Prices and Capital Flows

Review of Financial Studies, (2003)

Cited by: 530|Views6
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Abstract

We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as volatile as equity prices when the forex liquidity ...More

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