Abstract
This paper applies a mixed effect model to investigate the relationship between international equity returns and forward discount sorted currency returns from three base currencies (i. e., US dollar, euro, and pound sterling). Empirical results using the portfolio approach show that high-interest rate currencies co-move positively while low-interest rate currencies co-move negatively, suggesting that foreign equity excess returns can help to explain investment in currency markets, providing a partial resolution to the uncovered interest parity conundrum. Furthermore, we show that global equity market returns, volatility, and liquidity correlate well with currency returns.
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Artikel in diesem Heft
- The Liberal World Order and the Job-Offshoring Backlash—In Structuralist Perspective
- Prioritizing Foreign Investment In APEC
- The Impact of Financial Development on Energy Demand in Transition Economies
- Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials
- Towards a Confident Europe: Fostering European Foreign Policy as a Premise to Enhanced European Economic Security & Competitiveness
- Equities and Commodities Comovements: Evidence from Emerging Markets
Artikel in diesem Heft
- The Liberal World Order and the Job-Offshoring Backlash—In Structuralist Perspective
- Prioritizing Foreign Investment In APEC
- The Impact of Financial Development on Energy Demand in Transition Economies
- Uncovered Interest Rate Parity, Carry Trade, and Country Equity Return Differentials
- Towards a Confident Europe: Fostering European Foreign Policy as a Premise to Enhanced European Economic Security & Competitiveness
- Equities and Commodities Comovements: Evidence from Emerging Markets