Asset Prices and Exchange Rates
نویسندگان
چکیده
منابع مشابه
Sovereign Default, Exchange Rates, and International Asset Prices
This article develops a framework that combines the economics behind the structural modeling of sovereign credit risk, corporate capital structure, and the equilibrium modeling of international asset pricing. The default decisions of the sovereign and the firm are derived optimally and embedded in a two-country, two-good consumption-based asset-pricing model with a representative risk-averse ag...
متن کاملInternational Prices and Exchange Rates
We survey the recent empirical and theoretical developments in the literature on the relation between prices and exchange rates. After updating some of the major findings in the empirical literature we present a simple framework to interpret this evidence. We review theoretical models that generate insensitivity of prices to exchange rate changes through variable markups, both under flexible pr...
متن کاملAsset Prices in an Exchange Economy
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متن کاملUnderstanding Asset Values : Stock Prices , Exchange Rates , And the “ Peso Problem ” Keith Sill
S ometimes, the present depends on the future: people carry umbrellas when there is a forecast for stormy weather; football teams in the lead play zone defense late in the game, since they expect their opponents to pass; advance-purchase airfares are higher for holiday-travel times, when passenger traffic is expected to be heavy. In each of these cases, and many others we can think of, what peo...
متن کاملExchange Rates, Equity Prices and Capital Flows
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 supply is not infinitely price elastic; 2) higher returns...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2007
ISSN: 0893-9454,1465-7368
DOI: 10.1093/revfin/hhm008