Exchange rate regimes, globalisation, and the cost of capital in emerging markets

被引：2
|
作者：
Diez de los Rios, Antonio [1 ]
机构：
[1] BBVA Econ Res Dept, E-28046 Madrid, Spain
来源：
EMERGING MARKETS REVIEW | 2009年 / 10卷 / 04期
关键词：
Financial crisis; Time-varying volatility; Financial integration; International asset pricing; IDENTIFICATION;
D O I：
10.1016/j.ememar.2009.06.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper presents a multifactor asset pricing model for currency, bond, and stock returns for ten emerging markets to investigate the effect of the exchange rate regime on the cost of capital and the integration of emerging financial markets. Our results suggest that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets by reducing the currency risk premia demanded by foreign investors. (C) 2009 Elsevier B.V. All rights reserved.
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页码：311 / 330
页数：20
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