Exchange rate regimes, globalisation, and the cost of capital in emerging markets |
| |
Authors: | Antonio Diez de los Rios |
| |
Institution: | aBBVA - Economic Research Department, Paseo de la Castellana, 81, 7a, E-28046, Madrid, Spain |
| |
Abstract: | 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. |
| |
Keywords: | Financial crisis Time-varying volatility Financial integration International asset pricing |
本文献已被 ScienceDirect 等数据库收录! |
|