Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/53811
Authors: 
Diez de los Rios, Antonio
Year of Publication: 
2007
Series/Report no.: 
Bank of Canada Working Paper 2007,29
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.
Subjects: 
Exchange rate regimes
Development economics
JEL: 
F30
F33
G15
Document Type: 
Working Paper

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