EconPapers    
Economics at your fingertips  
 

The price of inflation and foreign exchange risk in international equity markets

Cesare Robotti ()

No 2001-26, FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta

Abstract: In this paper the author formulates and tests an international intertemporal capital asset pricing model in the presence of deviations from purchasing power parity (II-CAPM [PPP]). He finds evidence in favor of at least mild segmentation of international equity markets in which only global market risk appears to be priced. When using the Hansen & Jagannathan (1991, 1997) variance bounds and distance measures as testing devices, the author finds that, while all international asset pricing models are formally rejected by the data, their pricing implications are substantially different. The superior performance of the II-CAPM (PPP) is mainly attributable to significant hedging against inflation risk.

Keywords: Hedging (Finance); Asset pricing; Foreign exchange; Risk (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-ifn and nep-pke
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.frbatlanta.org//filelegacydocs/wp0126.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.frbatlanta.org//filelegacydocs/wp0126.pdf [301 Moved Permanently]--> https://www.frbatlanta.org/filelegacydocs/wp0126.pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedawp:2001-26

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in FRB Atlanta Working Paper from Federal Reserve Bank of Atlanta Contact information at EDIRC.
Bibliographic data for series maintained by Elaine Clokey ().

 
Page updated 2019-09-22
Handle: RePEc:fip:fedawp:2001-26