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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

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