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Real financial market exchange rates and capital flows

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  • Gelman, Maria
  • Jochem, Axel
  • Reitz, Stefan
  • Taylor, Mark P.

Abstract

Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which may be interpreted as a real effective financial exchange rate. The integrated stock-flow approach reveals that a country's real effective financial exchange rate is cointegrated with international investors' net foreign holdings of its assets. The associated error correction equations have useful interpretations against the backdrop of uncovered return parity and investor portfolio rebalancing behavior.

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  • Gelman, Maria & Jochem, Axel & Reitz, Stefan & Taylor, Mark P., 2015. "Real financial market exchange rates and capital flows," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 50-69.
    • Handle: RePEc:eee:jimfin:v:54:y:2015:i:c:p:50-69
    DOI: 10.1016/j.jimonfin.2015.02.004
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    More about this item

    Keywords

    Real effective exchange rate; Capital flows; Financial markets;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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