The uncovered parity properties of the Czech Koruna

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SYSNO ASEP	0410798
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	The uncovered parity properties of the Czech Koruna
Author(s)	Derviz, Alexis (UTIA-B)_{RID, ORCID}
Source Title	Prague Economic Papers. - : Vysoká škola ekonomická v Praze - ISSN 1210-0455 Roč. 11, č. 1 (2002), s. 17-37
Number of pages	21 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	uncovered parity ; asset prices ; international consumption-based capital asset pricing model
Subject RIV	AH - Economics
R&D Projects	KSK1019101 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR)
CEZ	AV0Z1075907 - UTIA-B
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.

Number of the records: 1