NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Global Portfolio Rebalancing and Exchange Rates

Nelson Camanho, Harald Hau, Hélène Rey

NBER Working Paper No. 24320
Issued in February 2018
NBER Program(s):Asset Pricing Program, International Finance and Macroeconomics Program

We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under higher exchange rate volatility, and the exchange rate effect of such rebalancing. The observed dynamics of equity returns, exchange rates, and fund-level capital flows are compatible with a model of incomplete FX risk trading in which exchange rate risk partially segments international equity markets.

download in pdf format
   (602 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w24320

Users who downloaded this paper also downloaded* these:
Auclert and Rognlie w24280 Inequality and Aggregate Demand
Mian and Sufi w24322 Finance and Business Cycles: The Credit-Driven Household Demand Channel
Wei w24330 Managing Financial Globalization: Insights from the Recent Literature
Bussiere, Chinn, Ferrara, and Heipertz w24342 The New Fama Puzzle
Galstyan, Lane, Mehigan, and Mercado w22466 The Holders and Issuers of International Portfolio Securities
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us