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The uncovered parity properties of the Czech Koruna

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    0410798 - UTIA-B 20020012 RIV CZ eng J - Journal Article
    Derviz, Alexis
    The uncovered parity properties of the Czech Koruna.
    Prague Economic Papers. Roč. 11, č. 1 (2002), s. 17-37. ISSN 1210-0455. E-ISSN 2336-730X
    R&D Projects: GA AV ČR KSK1019101
    Institutional research plan: CEZ:AV0Z1075907
    Keywords : uncovered parity * asset prices * international consumption-based capital asset pricing model
    Subject RIV: AH - Economics

    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.
    Permanent Link: http://hdl.handle.net/11104/0130885

     
     

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