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The impact of liberalization on uncovered interest rate parity

This study make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial markets has resulted in the integration of developing countries' currency markets into the international capital market. Previous tests of the impact...

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Main Author: Chuan, Annie
Format: Thesis
Language:English
Published: 2003
Online Access:http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf
http://psasir.upm.edu.my/id/eprint/48914/
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spelling my.upm.eprints.489142017-01-24T04:39:38Z http://psasir.upm.edu.my/id/eprint/48914/ The impact of liberalization on uncovered interest rate parity Chuan, Annie This study make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial markets has resulted in the integration of developing countries' currency markets into the international capital market. Previous tests of the impact of liberalization on the integration of emerging capital markets into world financial markets are confined to equity markets, ignoring currency markets that are arguably more important in determining the success of financial liberalization. This study finds that deviation from UIRP in the emerging markets is systematic in nature and that a significant part of emerging market currency excess returns is attributable to a time-varying risk premium. This study also finds that these countries'currency deposits provide US (equity) investors with the benefits of international diversification. The results show that for some markets, liberalization improved (worsened) investors' perception of growth opportunity while reducing (increasing) investors' perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world capital market, the experience is country specific. 2003-05 Thesis NonPeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf Chuan, Annie (2003) The impact of liberalization on uncovered interest rate parity. Masters thesis, Universiti Putra Malaysia.
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description This study make use of the uncovered interest rate parity (UIRP) relationship to examine the extent that the liberalization of emerging financial markets has resulted in the integration of developing countries' currency markets into the international capital market. Previous tests of the impact of liberalization on the integration of emerging capital markets into world financial markets are confined to equity markets, ignoring currency markets that are arguably more important in determining the success of financial liberalization. This study finds that deviation from UIRP in the emerging markets is systematic in nature and that a significant part of emerging market currency excess returns is attributable to a time-varying risk premium. This study also finds that these countries'currency deposits provide US (equity) investors with the benefits of international diversification. The results show that for some markets, liberalization improved (worsened) investors' perception of growth opportunity while reducing (increasing) investors' perception of the probability of financial distress. Finally, while several countries benefited from liberalization and have become more integrated into the world capital market, the experience is country specific.
format Thesis
author Chuan, Annie
spellingShingle Chuan, Annie
The impact of liberalization on uncovered interest rate parity
author_facet Chuan, Annie
author_sort Chuan, Annie
title The impact of liberalization on uncovered interest rate parity
title_short The impact of liberalization on uncovered interest rate parity
title_full The impact of liberalization on uncovered interest rate parity
title_fullStr The impact of liberalization on uncovered interest rate parity
title_full_unstemmed The impact of liberalization on uncovered interest rate parity
title_sort impact of liberalization on uncovered interest rate parity
publishDate 2003
url http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf
http://psasir.upm.edu.my/id/eprint/48914/
_version_ 1643834314632200192
score 13.211869

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