Expositor
Jairo A. Rendón, Ph.D.
Ph.D. en Economía con Concentración en Finanzas, University of California
Máster en Arts in Economics, University of California
Máster en Economía, Pontificia Universidad Javeriana
Economía, Pontificia Universidad Javeriana
Áreas de interés: Economía Financiera, Finanzas Internacionales
Más información clic aquí
Fecha: miércoles, 17 de julio de 2019
Hora: 4:30 p.m - 5:30 p.m.
Lugar: Bloque 27, auditorio 101 , Universidad EAFIT
Entrada libre
Abstract
This paper presents an asset pricing model for an integrated nancial economy in a multicurrency framework where asset prices are driven by three dimensions of risk: global risk, regional risk and country specic risk. Under this framework all risks are common since by trading assets across countries agents are able to load on foreign risk, however the solution of the model impose restrictions on the loading coe‑cients and as a result only the dispersion in global and regional coe‑cients are needed to explain currency returns. I test the model with a lineal factor model at the pair currency level with a sample of 42 countries from 5 dierent regions and show that, as the model predicted, regional and global factors help to explain the dispersion in currency returns.
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Global and Regional Risk in Currency Returns