The impact of political risk on the currencies of emerging markets

被引：4
|
作者：
dos Santos, Marcelo Bittencourt Coelho [1 ]
Klotzle, Marcelo Cabus [1 ]
Pinto, Antonio Carlos Figueiredo [1 ]
机构：
[1] Pontifical Catholic Univ Rio de Janeiro, Dept Business Adm, Rio De Janeiro, Brazil
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2021年 / 56卷
关键词：
Interest rate parity; Risk premium; Political risk; Exchange rates; EXCHANGE-RATES; POLICY; UNCERTAINTY; INVESTMENT; VOLATILITY; PREMIUM; RETURN; STOCK;
D O I：
10.1016/j.ribaf.2020.101375
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the effects of political risk on the exchange rate returns of Brazil, Chile, Mexico, and Russia. The results indicate the presence of a risk premium for all currencies. Political risk was observed to negatively impact trade returns for only the Brazilian real, a result of depreciating the exchange rate. This effect was not observed for the other countries analyzed. In Brazil, transitory risk-premium volatility was positively associated with both the VIX index and political risk, indicating that greater global and local political risk increased volatility. Furthermore, local political risk had a more significant impact on risk-premium volatility than global risk.
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页数：11
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