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Cited by 328

The DOI matches its Crossref record; 38 of the 38 references it cites were found in a registry or an index.

Asset Prices and Exchange Rates

Pavlova, Anna, Rigobon, Roberto·2007·Review of Financial Studies
DOI 10.1093/revfin/hhm008
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Abstract

We study the implications of introducing demand shocks and trade in goods into an otherwise standard international asset pricing model. Trade in goods gives rise to an additional channel of international propagation—through the terms of trade—absent in traditional single-good models. The inclusion of demand shocks helps overturn many unrealistic implications of existing international finance models in which productivity shocks are the sole source of uncertainty. Our model generates a rich set of implications on how stock, bond, and foreign exchange markets co-move. We solve the model in closed-form, which yields a system of equations that can be readily estimated empirically. Our estimation validates the main predictions of the theory.

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Metadata

Authors
Pavlova, A., & Rigobon, R.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2007-01-29
Volume
20
Issue
4
Pages
1139-1180
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/revfin/hhm008
OpenAlex
W3122915627
Cited by
328
References
38
FWCI
37.20
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Asset Prices and Exchange Rates. https://app.cochat.ai/papers/10.1093/revfin/hhm008
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Pavlova, A., & Rigobon, R. (2007). Asset Prices and Exchange Rates. Review of Financial Studies. https://doi.org/10.1093/revfin/hhm008

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.