We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...

We study China's external wealth, its net foreign assets position with valuation adjustment, and its excess returns. The net foreign assets of China, which are mainly dominated by foreign reserve assets and foreign direct investment liabilities, have grown rapidly since its entry to the World...

This paper examines from various angles foreign investors' daily transactions in six emerging Asian equity markets and their relationship with local market returns and exchange rate changes over the period 1999-2006. Confirming much of the literature, we find that equity market returns matter...

Iceland is a member of the IMF and of the WTO, a party to the European Economic Area Agreement, and a signatory of the OECD Code of Liberalisation of Capital Movements. Iceland is bound by Art. VIII IMF not to impose restrictions on current payments. Furthermore, under the GATS, Iceland cannot...

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

We examine whether there is a relationship between foreign equity trading and average total volatility, measured as the value-weighted average of stock-return variances in the Istanbul Stock Exchange. We employ foreign equity purchase and sale data to track changes in foreign equity trading,...

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. We run forecasting...

We investigate whether foreign purchases of long-term U.S. Treasury securities significantly affect their expected excess-returns. We run predictive regressions of realized excess returns on measures of net purchases of treasuries by both foreign official and private agents. We find that...

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

This article empirically examines the consequences of political uncertainty on the nominal exchange rate returns and the volatility for over hundred countries around the world. We used the monthly political risk data from the International Country Risk Guide and formed three measures of...