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Exchange Rates and Asset Prices in a Global Demand System

Ralph S. J. Koijen, Motohiro Yogo

Journal of Political Economy · 2026 · Volume 134 · Issue 8

DOI: 10.1086/741624

Abstract

We develop an asset demand system to analyze the equilibrium relation between international portfolio holdings and flows, exchange rates, and asset prices across all countries. We introduce a neste...

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