Results 181 to 190 of about 223,474 (219)
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The Peso problem hypothesis and stock market returns
Journal of Economic Dynamics and Control, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pietro Veronesi
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Uncovered interest parity and the peso problem: the Brazilian case
Applied Economics Letters, 2001The uncovered interest parity (UIP) test for Brazil is presented from the standpoint of rational expectations hypothesis. The period is January 1984 to October 1998. The econometric tests validate the UIP just for the sub-period January 1990 to June 1994.
Adolfo Sachsida +2 more
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Realignment expectations and the US dollar, 1890–1897: Was there a ‘Peso problem’?
Journal of Monetary Economics, 2000We investigate dollar–sterling exchange rate expectations during the period 1890–1908. We show that the dollar faced a ‘Peso problem’ in that for much of the period financial markets expected it to depreciate against sterling, but this never in fact happened – i.e. expectations were persistently biased.
C. Paul Hallwood +2 more
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The Uncovered Interest Parity and the Peso Problem
SSRN Electronic Journal, 2000This paper verifies the uncovered interest parity to Brazilian economy. The main finding is that under fixed exchange rate the uncovered interesty parity fails. This confirms the theoretical point proposed by Krasker (1980).
Adolfo Sachsida +2 more
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Was there a peso problem in cattle options?
Agricultural Finance Review, 2013Purpose – Pricing densities implied from options on live cattle futures show a persistent and negative skew. The purpose is to examine whether the skew can be explained, in part, by peso-type problems. Design/methodology/approach – Two announcements of bovine ...
Michael Thomsen +2 more
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Irving Fisher, the UIP Puzzle and the 'Peso Problem'
SSRN Electronic Journal, 2007In this paper, we first review Irving Fisher's seminal work on UIP and on the closely related equation linking interest rates and inflation relation. We go on to re-examine the performance of UIP since the advent of floating exchange rates in the 1970s.
Rachel A.J. Pownall +3 more
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Devaluation-risk-related peso problems in stock returns
Journal of International Financial Markets, Institutions and Money, 2000Abstract The phenomenon of a non-random negative trend in stock prices is usually explained on the macroeconomic level, either by constantly rising risk premia or by a trend in other macroeconomic factors that affect the stock market as a whole. In this paper it is argued that a negative trend in individual stock prices can be caused by a firm-level ...
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Technology-Risk-Related Peso Problems in Stock Returns
SSRN Electronic Journal, 2000In the empirical testing of many asset pricing models it is assumed that realised returns are an unbiased estimate of expected returns over the period of study. In this paper it is argued that the occurrence of negative jumps in a firm's future earnings and, consequently, in its stock price, is positively related to the level of network externalities ...
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Peso Problems and Term Structure Anomalies of Repo Rates
Review of Finance, 2013Abstract The evidence from the repo market is more supportive to the expectations hypothesis, but term structure anomalies still remain. Using the Bekaert–Hodrick–Marshall (2001) method, we investigate whether term structure anomalies can be explained by peso problems by estimating a regime-switching model for the overnight repo rate. We
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21 Peso problems: Their theoretical and empirical implications
1996This paper examines how the theoretical and empirical implications of asset pricing models are affected by the presence of a “peso problem”; a situation where the potential for discrete shifts in the distribution of tuture shocks to the economy affects the rational expectations held by market participants.
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