Devaluation expectations based on cross-listed stocks: evidence for financial crises in Argentina then and now

Stefan Eichler

Applied Economics Letters, 2014, vol. 21, issue 10, 706-710

Abstract: I use the relative prices of American Depositary Receipts and their underlying stocks to derive devaluation expectations. I find that stockholders currently perceive an overvalued peso. Devaluation expectations are driven by the incentive of competitive devaluation and sovereign default risk.

Date: 2014
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DOI: 10.1080/13504851.2014.884691

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