Housing Cycles and Exchange Rates

References

• Adam K, Kuang P, Marcet A (2012) House price booms and the current account. NBER Macroeconom. Annu. 26:77–122.Crossref, Google Scholar
• Adrian T, Etula E, Groen JJJ (2011) Financial amplification of foreign exchange risk premia. Eur. Econom. Rev. 55:354–370.Crossref, Google Scholar
• Adrian T, Etula E, Muir T (2014) Financial intermediaries and the cross-section of asset returns. J. Finance. 69:2557–2596.Crossref, Google Scholar
• Balassa B (1964) The purchasing-power parity doctrine: A reappraisal. J. Political Econom. 72:584–596.Crossref, Google Scholar
• Bansal R, Shaliastovich I (2013) A long-run risks explanation of predictability puzzles in bond and currency markets. Rev. Financial Stud. 26:1–33.Crossref, Google Scholar
• Baxter M (1995) International trade and business cycles. Grossman GM, Rogoff K, eds. Handbook of International Economics, vol. 3 (Elsevier, Amsterdam), 1801–1864.Google Scholar
• Berka M, Devereux MB, Engel C (2018) Real exchange rates and sectoral productivity in the eurozone. Amer. Econom. Rev. 108:1543–1581.Crossref, Google Scholar
• Betts CM, Kehoe TJ (2006) U.S. real exchange rate fluctuations and relative price fluctuations. J. Monetary Econom. 53:1297–1326.Crossref, Google Scholar
• Burnside C, Eichenbaum M, Rebelo S (2011) Carry trade and momentum in currency markets. Annu. Rev. Financial Econom. 3:511–535.Crossref, Google Scholar
• Burnside C, Eichenbaum M, Rebelo S (2016) Understanding booms and busts in housing markets. J. Political Econom. 124:1088–1147.Crossref, Google Scholar
• Burstein AT, Neves JC, Rebelo S (2004) Investment prices and exchange rates: Some basic facts. J. Eur. Econom. Assoc. 2:302–309.Crossref, Google Scholar
• Chen Y, Tsang KP (2013) What does the yield curve tell us about exchange rate predictability? Rev. Econom. Statist. 95:185–205.Google Scholar
• Chinco A (2018) The madness of crowds and the likelihood of bubbles. Working paper, Booth School of Business, Unversity of Chicago, Chicago, IL.Google Scholar
• Christiano LJ, Eichenbaum M, Evans CL (2005) Nominal rigidities and the dynamic effects of a shock to monetary policy. J. Political Econom. 113:1–45.Crossref, Google Scholar
• Clark TE, West KD (2006) Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis. J. Econometrics 135:155–186.Crossref, Google Scholar
• Clark TGE, West KD (2007) Approximately normal tests for equal predictive accuracy in nested models. J. Econometrics 138:291–311.Crossref, Google Scholar
• Cochrane JH (1991) Production-based asset pricing and the link between stock returns and economic fluctuations. J. Finance 46:209–237.Crossref, Google Scholar
• Colacito R, Croce MM (2011) Risks for the long run and the real exchange rate. J. Political Econom. 119:153–181.Crossref, Google Scholar
• Crucini MJ (2008) International Real Business Cycles, vol. 1–8 (Palgrave Macmillan Ltd, London), 3212–3222.Crossref, Google Scholar
• Dahlquist M, Penasse J (2022) The missing risk premium in exchange rates. J. Financial Econom. 143(2):697–715.Google Scholar
• Farhi E, Gabaix X (2015) Rare disasters and exchange rates. Quart. J. Econom. 131:1–52.Crossref, Google Scholar
• Favilukis J, Ludvigson SC, Van Nieuwerburgh S (2017) The macroeconomic effects of housing wealth, housing finance, and limited risk sharing in general equilibrium. J. Political Econom. 125:140–223.Crossref, Google Scholar
• Froot KA, Rogoff K (1995) Perspectives on ppp and long-run real exchange rates. Grossman GM, Rogoff K, eds. Handbook of International Economics, vol. 3 (Elsevier, Amsterdam), 1647–1688.Google Scholar
• Garriga C, Manuelli R, Peralta-Alva A (2019) A macroeconomic model of price swings in the housing market. Amer. Econom. Rev. 109:2036–2072.Crossref, Google Scholar
• Gete P (2009) Housing markets and current account dynamics. Working paper, IE Business School and IE University, Madrid, Spain.Google Scholar
• Gourinchas P-O, Rey H (2007) International financial adjustment. J. Political Econom. 115:665–703.Crossref, Google Scholar
• Green R, Hendershott PH (1996) Age, housing demand, and real house prices. Regulatory Sci. Urban Econom. 26:465–480.Crossref, Google Scholar
• Green RK, Lee H (2016) Age, demographics, and the demand for housing, revisited. Regulatory Sci. Urban Econom. 61:86–98.Crossref, Google Scholar
• Hodrick RJ (1992) Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Rev. Financial Stud. 5:357–386.Crossref, Google Scholar
• Kremens L, Martin I (2019) The quanto theory of exchange rates. Amer. Econom. Rev. 109:810–843.Crossref, Google Scholar
• Liu Y, Shaliastovich I (2022) Government policy approval and exchange rates. J. Financial Econom. 143(1):303–331.Google Scholar
• Lustig H, Verdelhan A (2007) The cross section of foreign currency risk premia and consumption growth risk. Amer. Econom. Rev. 97:89–117.Crossref, Google Scholar
• Lustig H, Roussanov N, Verdelhan A (2011) Common risk factors in currency markets. Rev. Financial Stud. 24:3731–3777.Crossref, Google Scholar
• Lustig H, Roussanov N, Verdelhan A (2014) Countercyclical currency risk premia. J. Financial Econom. 111:527–553.Crossref, Google Scholar
• Ma S, Zhang S (2019) Housing risk and the cross-section of returns across many asset classes. Working paper, Fisher College of Business, The Ohio State University, Columbus, OH.Google Scholar
• Meese RA, Rogoff K (1983) Empirical exchange rate models of the seventies: Do they fit out of sample? J. Internat. Econom. 14:3–24.Crossref, Google Scholar
• Miranda-Agrippino S, Rey H (2020) Us monetary policy and the global financial cycle. Rev. Econom. Stud. 87:2754–2776.Crossref, Google Scholar
• Nelson CR, Kim MJ (1993) Predictable stock returns: The role of small sample bias. J. Finance 48:641–661.Crossref, Google Scholar
• Newey WK, West KD (1987) Hypothesis testing with efficient method of moments estimation. Internat. Econom. Rev. 28(3):777–787.Crossref, Google Scholar
• Rossi B (2013) Exchange rate predictability. J. Econom. Literature 51:1063–1119.Crossref, Google Scholar
• Salter WEG (1959) Internal and external balance: The role op price and expenditure effects. Econom. Rec. 35:226–238.Crossref, Google Scholar
• Samuelson PA (1964) Theoretical notes on trade problems. Rev. Econom. Statist. 46(2):145–154.Crossref, Google Scholar
• Stambaugh RF (1985) Bias in regressions with lagged stochastic regressors. Unpublished work. Center for Research in Security Prices, Graduate School of Business, University of Chicago, Chicago, IL.Google Scholar
• Stambaugh RF (1999) Predictive regressions. J. Financial Econom. 54:375–421.Crossref, Google Scholar
• Swan WT (1960) Economic control in a dependent economy. Econom. Rec. 36:51–66.Crossref, Google Scholar
• Tian M (2018) Tradability of output, business cycles and asset prices. J. Financial Econom. 128:86–102.Crossref, Google Scholar
• Welch I, Goyal A (2007) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21:1455–1508.Crossref, Google Scholar
• Zabel JE (2004) The demand for housing services. J. Housing Econom. 13:16–35.Crossref, Google Scholar