Results 181 to 190 of about 9,443 (213)

Devaluation-risk-related peso problems in stock returns

Journal of International Financial Markets, Institutions and Money, 2000
Abstract 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 ...
exaly   +2 more sources

The ‘peso problem’ in testing the efficiency of forward exchange markets

Journal of Monetary Economics, 1980
Abstract In this paper we argue that when there is small probability of an event which would cause a large change in an exchange rate, the standard tests for the efficiency of the corresponding forward exchange market are not always valid. The mark pound forward market during the German hyperinflation is cited as an example.
exaly   +2 more sources

Non-explicit FOREX intervention: The role of the Central Reserve Bank in a dollarized economy and its effects on expectations from the “peso problem” perspective: The case of Peru

Journal of Business Research, 2014
Abstract We use the Markov-switching model based on Hamilton (1990) among others. The non-explicit intervention of the Central Reserve Bank changes the expectations of economic agents. This change in expectations clearly shows that the public is aware of non-explicit interventions in a dollarized economy and said interventions have been altering the ...
Cesar A. Fuentes, Ronald Rios
exaly   +2 more sources

Simulating the effects of imperfect credibility: How does the Peso problem affect the real economy? [PDF]

, 1998
In this paper we analyse the macroeconomic effects of peso problems by simulating numerically a small-scale rational expectations macromodel.The model is a conventional IS-LM-AS model of an open economy under floating exchange rates.The peso problem has been incorporated in the model by assuming that the money supply process entails a small but nonzero
Mattila, Veli-Matti
core   +3 more sources

Peso Problem

, 2008
Karen K. Lewis
core   +4 more sources

Was there a peso problem in cattle options?

Agricultural Finance Review, 2013
Purpose – 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, Andrew M. McKenzie, Gabriel J. Power   +2 more
openaire   +1 more source

The Uncovered Interest Parity and the Peso Problem

SSRN Electronic Journal, 2000
This 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, Robert Ellery Jr., Joanílio Rodolpho Teixeira   +2 more
openaire   +1 more source

Irving Fisher, the UIP Puzzle and the 'Peso Problem'

SSRN Electronic Journal, 2007
In 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, Kees C. G. Koedijk, James R. Lothian, Ronald J. Mahieu   +3 more
openaire   +1 more source

Peso Problems and Term Structure Anomalies of Repo Rates

Review of Finance, 2013
Abstract 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
openaire   +2 more sources

Foreign Exchange Dynamics, Debt and the ‘Peso Problem’

1994
Located next to the largest economy of the world, Mexico – the second largest Latin American nation – has been experiencing a process of painful adjustments for over a decade and half. Its financial woe owing to its gargantuan foreign debt, intractable rates of inflation and plummeting value of the peso has brought about real and fundamental economic ...
openaire   +1 more source