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.
引用
收藏
页码：311 / 330
页数：20
相关论文
共 50 条
  • [21] International capital markets and exchange rate stabilization in the CIS
    Schnabl, G
    JOURNAL OF COMPARATIVE ECONOMICS, 2005, 33 (03) : 425 - 440
  • [22] Disclosure and cost of equity capital in emerging markets: The Brazilian case
    Lopes, Alexsandro Broedel
    de Alencar, Roberta Carvalho
    INTERNATIONAL JOURNAL OF ACCOUNTING, 2010, 45 (04): : 443 - 464
  • [23] RETHINKING OPTIMAL EXCHANGE RATE REGIMES WITH FRICTIONAL LABOR MARKETS
    Campolmi, Alessia
    Faia, Ester
    MACROECONOMIC DYNAMICS, 2015, 19 (05) : 1116 - 1147
  • [24] IMPACT OF EXCHANGE RATE DERIVATIVES ON STOCKS IN EMERGING MARKETS
    Arturo Bernal-Ponce, L.
    Estrella Castillo-Ramirez, Claudia
    Venegas-Martinez, Francisco
    JOURNAL OF BUSINESS ECONOMICS AND MANAGEMENT, 2020, 21 (02) : 610 - 626
  • [25] Inflation targeting and exchange rate volatility in emerging markets
    René Cabral
    Francisco G. Carneiro
    André Varella Mollick
    Empirical Economics, 2020, 58 : 605 - 626
  • [26] Exchange Rate Challenges in Emerging Markets and Developing CountriesIntroduction
    Belke, Ansgar
    Schnabl, Gunther
    REVIEW OF DEVELOPMENT ECONOMICS, 2015, 19 (03) : 449 - 454
  • [27] Inflation targeting and exchange rate volatility in emerging markets
    Cabral, Rene
    Carneiro, Francisco G.
    Mollick, Andre Varella
    EMPIRICAL ECONOMICS, 2020, 58 (02) : 605 - 626
  • [28] Explaining the volatility of the real exchange rate in emerging markets
    Agosin, Manuel
    Diaz, Juan D.
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 87 : 110 - 123
  • [29] EXCHANGE RATE REGIMES AND FISCAL DISCIPLINE: THE ROLE OF CAPITAL CONTROLS
    Vuletin, Guillermo
    ECONOMIC INQUIRY, 2013, 51 (04) : 2096 - 2109
  • [30] Exchange rate regimes and foreign exchange exposure: The case of emerging market firms
    Ye, Min
    Hutson, Elaine
    Muckley, Cal
    EMERGING MARKETS REVIEW, 2014, 21 : 156 - 182
12345