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

Antonio Diez de los Rios

No E2003/51, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: 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.

Keywords: Financial Crisis; Contagion; Time-Varying Volatility; Financial Integration; International Asset Pricing (search for similar items in EconPapers)
JEL-codes: F30 F33 G15 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2003
New Economics Papers: this item is included in nep-cfn, nep-ifn, nep-mfd and nep-rmg
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Related works:
Journal Article: Exchange rate regimes, globalisation, and the cost of capital in emerging markets (2009)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:cea:doctra:e2003_51

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