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Relative returns on equities in Pacific Basin countries

Author

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  • Charles Engel
  • John H. Rogers

Abstract

We examine the factors that determine the differences in ex ante returns on equities in eleven Pacific Basin countries. Our concern is whether real return differentials are primarily caused by nominal return differentials or expected changes in real exchange rates. We find that nominal return differentials account for most of the difference, which suggests that either there is not free mobility of capital between the countries of our study or that there are significant differences in the riskiness of returns across countries. We do not find a significant relationship between the size of the return differentials and the flexibility of the nominal exchange rate.
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Suggested Citation

  • Charles Engel & John H. Rogers, 1992. "Relative returns on equities in Pacific Basin countries," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
    • Handle: RePEc:fip:fedfpr:y:1992:i:sep:x:2
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    Cited by:

    1. Hutchison, Michael M. & Singh, Nirvikar, 1997. "Equilibrium Real Interest Rate Linkages: The United States and Japan," Journal of the Japanese and International Economies, Elsevier, vol. 11(2), pages 208-227, June.
    2. Marc Audi & Amjad Ali, 2023. "The Role of Environmental Conditions and Purchasing Power Parity in Determining Quality of Life among Big Asian Cities," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 13(3), pages 292-305, May.
    3. Kearney, Colm, 1999. "The Asian Financial Crisis," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 1999(1-Februar), pages 29-55.

    More about this item

    Keywords

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    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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