Came across this fascinating paper by Nelson Camanho, Harald Hau and Hélène Rey (2022) called “Global Portfolio Rebalancing and Exchange Rates.” They propose a very interesting channel from relative equity returns to exchange rates. The idea is that global portfolio managers maintain slow-moving target allocations to different countries’ equity markets.…
Keep reading with a 7-day free trial
Subscribe to Policy Tensor to keep reading this post and get 7 days of free access to the full post archives.