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Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets

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  • Antonio Diez de los Rios

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. Since there is evidence that a fixed exchange rate regime reduces the currency risk premia demanded by foreign investors, the tentative conclusion is that a fixed exchange rate regime system can help reduce the cost of capital in emerging markets.

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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 07-29.

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Length: 36 pages
Date of creation: 2007
Date of revision:
Handle: RePEc:bca:bocawp:07-29

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Keywords: Exchange rate regimes; Development economics;

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Cited by:
  1. Lucey, Brian M. & Muckley, Cal, 2011. "Robust global stock market interdependencies," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 215-224, August.

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