Research in International Business and Finance ( IF 6.3 ) Pub Date : 2020-12-26 , DOI: 10.1016/j.ribaf.2020.101375 Marcelo Bittencourt Coelho dos Santos , Marcelo Cabus Klotzle , Antonio Carlos Figueiredo Pinto
This study investigates the effects of political risk on the exchange rate returns of Brazil, Chile, Mexico, and Russia. The results indicate the presence of a risk premium for all currencies. Political risk was observed to negatively impact trade returns for only the Brazilian real, a result of depreciating the exchange rate. This effect was not observed for the other countries analyzed. In Brazil, transitory risk-premium volatility was positively associated with both the VIX index and political risk, indicating that greater global and local political risk increased volatility. Furthermore, local political risk had a more significant impact on risk-premium volatility than global risk.
中文翻译:
政治风险对新兴市场货币的影响
这项研究调查了政治风险对巴西,智利,墨西哥和俄罗斯的汇率收益的影响。结果表明所有货币都存在风险溢价。观察到政治风险仅对巴西雷亚尔产生不利影响,这是汇率贬值的结果。对于所分析的其他国家未观察到这种影响。在巴西,临时风险溢价波动率与VIX指数和政治风险均呈正相关,表明更大的全球和地方政治风险增加了波动率。此外,本地政治风险对溢价波动性的影响比全球风险更大。