Počet záznamů: 1  

The uncovered parity properties of the Czech Koruna

  1. 1. 0410798 - UTIA-B 20020012 RIV CZ eng J - Článek v odborném periodiku
    Derviz, Alexis
    The uncovered parity properties of the Czech Koruna.
    Prague Economic Papers. Roč. 11, č. 1 (2002), s. 17-37. ISSN 1210-0455
    Grant CEP: GA AV ČR KSK1019101
    Výzkumný záměr: CEZ:AV0Z1075907
    Klíčová slova: uncovered parity * asset prices * international consumption-based capital asset pricing model
    Kód oboru RIV: AH - Ekonomie

    The paper studies the compliance of the CZK - EUR exchange rate with the uncovered parity of returns on assets denominated in the two named currencies. A comparison with the same property for the euro-dollar rate is made. An uncovered total return parity (UTRP) formula is derived from the equilibrium in a portfolio optimication model with liquidity constrains.
    Trvalý link: http://hdl.handle.net/11104/0130885