Exchange rate regimes, globalisation, and the cost of capital in emerging markets

Antonio Diez de los Rios

Emerging Markets Review, 2009, vol. 10, issue 4, 311-330

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 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets (2007)
Working Paper: Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets (2004)
Working Paper: Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:10:y:2009:i:4:p:311-330

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