| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2671 |
| DP2671 Credibility, Transparency and Asymmetric Information in Monetary Policy | |
| Andrew Hughes Hallett; Nicola Viegi | |
| 发表日期 | 2001-01-30 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We propose a dynamic APT multi-factor model with time-varying volatility for currency, bond and stock returns for ten European countries over the period 1977-1997. We exploit the cross-sectional dimension of the model to construct world portfolios, which, when added to the original list of assets, allow us to develop simple consistent methods of estimation and testing. Our results reject the implicit asset pricing restrictions, and suggest that decreases in idiosyncratic exchange rate risk tend to lower the cost of capital, although the effect is small. Finally, we assess the potential gains from increased stock market integration. |
| 主题 | Financial Economics |
| 关键词 | Currency risk European monetary union Financial integration International asset pricing |
| URL | https://cepr.org/publications/dp2671 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531730 |
| 推荐引用方式 GB/T 7714 | Andrew Hughes Hallett,Nicola Viegi. DP2671 Credibility, Transparency and Asymmetric Information in Monetary Policy. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
