Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Research Department, issuing body.
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| ISBN: | 1455233218
9781455233212
1281990124
9781281990129
1462373259
9781462373253
1455269646
9781455269648
9786613794550
6613794554
9781451846058
1451846053
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| Notes: | Includes bibliographical references (pages 15-16).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | Annotation This paper studies the behavior of interest rate differentials in Mexico during the 1992-94 period. It shows that the currency risk premia is positively related to the share of peso denominated debt in total debt and that the magnitude of this effect is considerable. for every 1 percentage point increase in the ratio of peso denominated debt in total debt, the interest rate differential increases between 20 and 30 basis points. In light of this result, and to get a better measure of the expectation of a devaluation during the period, the observed interest rate differential is adjusted for the change in the composition of public debt. In contrast to the behavior of the interest rate differential, the adjusted measure remained at extremely high levels throughout 1994, signalling a low level of confidence in the announced currency band.
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| Other form: | Print version: Werner, Alejandro M. Mexico's currency risk premia in 1992-94. [Washington, D.C.] : International Monetary Fund, Research Dept., ©1996
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