Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/144846
Autoren: 
Eichler, Stefan
Rövekamp, Ingmar
Datum: 
2016
Reihe/Nr.: 
Hannover Economic Papers (HEP) 572
Zusammenfassung: 
We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors? exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23 emerging markets over the 1994-2014 period, we find that a deterioration in the fiscal and current account balance, as well as higher inflation, increases currency risk. Interaction models reveal that these macroeconomic fundamentals drive currency risk, particularly in countries with managed exchange rates, low levels of foreign exchange reserves and a poor sovereign credit rating.
Schlagwörter: 
Currency risk
Currency crises
American Depositary Receipts
Emerging markets
JEL: 
F31
F37
G12
G15
Dokumentart: 
Working Paper
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe
1.09 MB





Publikationen in EconStor sind urheberrechtlich geschützt.