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.
引用
收藏
页数：11
相关论文
共 50 条
  • [21] Postcolonial Finance The Political History of 'Risk-Versus-Reward' Investment in Emerging Markets
    Schultz, Cecilia
    [J]. THEORIA, 2021, 68 (166): : 60 - 86
  • [22] How Underlying Dimensions of Political Risk Affect Excess Return in Emerging and Developed Markets
    Nesset, Ida Q.
    Bogeberg, Ingrid
    Kjaerland, Frode
    Molden, Lars H.
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2019, 18 (01) : 80 - 105
  • [23] COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries' Stock Markets
    Antonio Nunez-Mora, Jose
    Joaquin Santillan-Salgado, Roberto
    Ivan Contreras-Valdez, Mario
    [J]. MATHEMATICS, 2022, 10 (09)
  • [24] The impact of sentiment on emerging stock markets
    Anand, Abhinav
    Basu, Sankarshan
    Pathak, Jalaj
    Thampy, Ashok
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2021, 75 : 161 - 177
  • [25] THE IMPACT OF EMERGING MARKETS ON THE PHARMACEUTICAL INDUSTRY
    Tannoury, M.
    Attieh, Z.
    [J]. CURRENT THERAPEUTIC RESEARCH-CLINICAL AND EXPERIMENTAL, 2016, 78 : S8 - S8
  • [26] Emerging Markets: Strategy for Risk Mitigation
    Kools, Willem
    [J]. BIOPHARM INTERNATIONAL, 2017, 30 (10) : 24 - 24
  • [27] The tail risk of emerging stock markets
    Li, Xiao-Ming
    Rose, Lawrence C.
    [J]. EMERGING MARKETS REVIEW, 2009, 10 (04) : 242 - 256
  • [28] In search of distress risk in emerging markets
    Asis, Gonzalo
    Chari, Anusha
    Haas, Adam
    [J]. JOURNAL OF INTERNATIONAL ECONOMICS, 2021, 131
  • [29] Variance risk premiums in emerging markets
    Qiao, Fang
    Xu, Lai
    Zhang, Xiaoyan
    Zhou, Hao
    [J]. JOURNAL OF BANKING & FINANCE, 2024, 167
  • [30] Evaluating currency risk in emerging markets
    Novak, S. Y.
    Dalla, V.
    Giraitis, L.
    [J]. ACTA APPLICANDAE MATHEMATICAE, 2007, 97 (1-3) : 163 - 175
12345