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Published Papers

Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?
Hau H., Rey H.
Date Published: 2004
Hau, Harald, and Hélène Rey. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?." The American Economic Review 94.2 (2004): 126-133.

Abstract:
We study the links between equity and exchange rate markets using a VAR with sign restrictions.
Citation:
Hau, Harald, and Hélène Rey. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?." The American Economic Review 94.2 (2004): 126-133.
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Longer version:  NBER WP 10476

Copyright © 2004 by the American Economic Association. Permission to make digital or hard copies of part or all of American Economic Association publications for personal or classroom use is granted without fee provided that copies are not distributed for profit or direct commercial advantage and that copies show this notice on the first page or initial screen of a display along with the full citation, including the name of the author. Copyrights for components of this work owned by others than AEA must be honored. Abstracting with credit is permitted.


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