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
Subjects:	Interest rates Capital market Interest rates
Online Access:	http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf
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id	my-upm-ir.48914
record_format	uketd_dc
spelling	my-upm-ir.489142017-01-24T04:39:38Z The impact of liberalization on uncovered interest rate parity 2003-05 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. Interest rates Capital market Investments, Foreign 2003-05 Thesis http://psasir.upm.edu.my/id/eprint/48914/ http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf application/pdf en public masters Universiti Putra Malaysia Interest rates Capital market Investments, Foreign
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English
topic	Interest rates Capital market Interest rates
spellingShingle	Interest rates Capital market Interest rates Chuan, Annie The impact of liberalization on uncovered interest rate parity
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
qualification_level	Master's degree
author	Chuan, Annie
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
granting_institution	Universiti Putra Malaysia
publishDate	2003
url	http://psasir.upm.edu.my/id/eprint/48914/13/FEP%202003%204RR.pdf
_version_	1747812007277494272

The impact of liberalization on uncovered interest rate parity

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