Mexico's currency risk premia in 1992-94 : a closer look at the interest rate differentials /
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| Author / Creator: | Werner, Alejandro M., author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, Research Dept., ©1996. |
| Description: | 1 online resource (iii, 16 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/96/41 IMF working paper ; WP/96/41. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12498471 |
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| 050 | 4 | |a HG3810 |b .I45 no.96/41 | |
| 100 | 1 | |a Werner, Alejandro M., |e author. |0 http://id.loc.gov/authorities/names/no96033036 | |
| 245 | 1 | 0 | |a Mexico's currency risk premia in 1992-94 : |b a closer look at the interest rate differentials / |c prepared by Alejandro M. Werner. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, Research Dept., |c ©1996. | ||
| 300 | |a 1 online resource (iii, 16 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/96/41 | |
| 504 | |a Includes bibliographical references (pages 15-16). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a 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. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | 8 | |a Annotation |b 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. | |
| 546 | |a English. | ||
| 650 | 0 | |a Interest rate risk |z Mexico |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates |z Mexico |x Econometric models. | |
| 650 | 0 | |a Debts, Public |z Mexico |x Econometric models. | |
| 650 | 6 | |a Taux d'intérêt |x Gestion du risque |z Mexique |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change |z Mexique |x Modèles économétriques. | |
| 650 | 6 | |a Dettes publiques |z Mexique |x Modèles économétriques. | |
| 650 | 7 | |a Debts, Public |x Econometric models. |2 fast |0 (OCoLC)fst00888859 | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models. |2 fast |0 (OCoLC)fst00931818 | |
| 650 | 7 | |a Interest rate risk |x Econometric models. |2 fast |0 (OCoLC)fst00976171 | |
| 651 | 7 | |a Mexico. |2 fast |0 (OCoLC)fst01211700 | |
| 655 | 4 | |a Electronic books. | |
| 710 | 2 | |a International Monetary Fund. |b Research Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Werner, Alejandro M. |t Mexico's currency risk premia in 1992-94. |d [Washington, D.C.] : International Monetary Fund, Research Dept., ©1996 |w (OCoLC)35005451 |
| 830 | 0 | |a IMF working paper ; |v WP/96/41. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/1996/041/001.1996.issue-041-en.xml |y INTERNATIONAL MONETARY FUND |
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