Country And Currency Risk Premia In An Emerging Market
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Country and Currency Risk Premia in an Emerging Market
Author | : Ian Domowitz |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : |
ISBN | : |
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The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. We show that shoc ks in equity and debt market returns translate into long-term increases in the premium demanded by investors with respect to currency and country factors. Country and currency premia help explain equity returns and closed-end fund discounts. Additional evidence is provided showing that investors did not anticipate the magnitude or timing of the currency devaluation of December 1994 and the subsequent financial crisis.
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