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

Antonio Diez de los Rios ()

Staff Working Papers from Bank of Canada

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.

Keywords: Exchange rate regimes; Development economics (search for similar items in EconPapers)
JEL-codes: F30 F33 G15 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2007
New Economics Papers: this item is included in nep-cba, nep-cfn, nep-ifn and nep-mon
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Related works:
Journal Article: Exchange rate regimes, globalisation, and the cost of capital in emerging markets (2009) Downloads
Working Paper: Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets (2004) Downloads
Working Paper: Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets (2003) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:07-29

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