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

Listed author(s):
  • Antonio Díez de los Ríos

    ()

    (CEMFI)

We use a multifactor asset pricing model for currency, bond and stocks for fourteen emerging markets over the period from 1997 to middle 2001 to investigate the effect of the exchange rate regime on the cost of capital, the integration of financial emerging markets and the issue of contagion. We find no evidence that a fixed exchange rate regime has helped to reduce the cost of capital and we are not able to reject that emerging equity markets are integrated. Finally, there is evidence that the transmission of shocks is beyond of what can be explained by fundamentals or common shocks.

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Paper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003/51.

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Length: 47 pages
Date of creation: 2003
Handle: RePEc:cea:doctra:e2003_51
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