{"title":"当全球股市咆哮时做空美元：汇率决定的股票对冲渠道","authors":"Nadav Ben Zeev, Daniel Nathan","doi":"10.1093/rapstu/raae012","DOIUrl":null,"url":null,"abstract":"This paper investigates the influence of global equity market value shocks on institutional investors’ (IIs’) hedging behavior and the resultant effects on exchange rates. Employing unique granular daily data on Israeli IIs’ foreign exchange (FX) forward flows and prices and a granular instrumental variable estimation approach, we find that foreign equity market value shocks generate significant selling of U.S. dollar forwards by IIs, as a hedge against heightened FX exposure, along with significant exchange rate appreciation. A value-shock-induced one-standard-deviation increase in IIs’ supply of forward flows appreciates IIs’ forward rate by 0.53%. (JEL E44, F3, F31, G15, G23)","PeriodicalId":21144,"journal":{"name":"Review of Asset Pricing Studies","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2024-09-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination\",\"authors\":\"Nadav Ben Zeev, Daniel Nathan\",\"doi\":\"10.1093/rapstu/raae012\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper investigates the influence of global equity market value shocks on institutional investors’ (IIs’) hedging behavior and the resultant effects on exchange rates. Employing unique granular daily data on Israeli IIs’ foreign exchange (FX) forward flows and prices and a granular instrumental variable estimation approach, we find that foreign equity market value shocks generate significant selling of U.S. dollar forwards by IIs, as a hedge against heightened FX exposure, along with significant exchange rate appreciation. A value-shock-induced one-standard-deviation increase in IIs’ supply of forward flows appreciates IIs’ forward rate by 0.53%. (JEL E44, F3, F31, G15, G23)\",\"PeriodicalId\":21144,\"journal\":{\"name\":\"Review of Asset Pricing Studies\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":2.2000,\"publicationDate\":\"2024-09-02\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Review of Asset Pricing Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1093/rapstu/raae012\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Review of Asset Pricing Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1093/rapstu/raae012","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Shorting the Dollar When Global Stock Markets Roar: The Equity Hedging Channel of Exchange Rate Determination
This paper investigates the influence of global equity market value shocks on institutional investors’ (IIs’) hedging behavior and the resultant effects on exchange rates. Employing unique granular daily data on Israeli IIs’ foreign exchange (FX) forward flows and prices and a granular instrumental variable estimation approach, we find that foreign equity market value shocks generate significant selling of U.S. dollar forwards by IIs, as a hedge against heightened FX exposure, along with significant exchange rate appreciation. A value-shock-induced one-standard-deviation increase in IIs’ supply of forward flows appreciates IIs’ forward rate by 0.53%. (JEL E44, F3, F31, G15, G23)
期刊介绍：
The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics.
Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.
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