Country and Currency Risk Premia in an Emerging Market
利用墨西哥政府发行的比索和美元计价债务数据，识别货币和国家风险溢价，发现股票和债务市场冲击会长期提高投资者对这些因素要求的溢价，并有助于解释股票收益和封闭式基金折价。
The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. We show that shocks in equity and debt market returns translate into long-term increases in the premium demanded by investors with respect to currency and country factors. Country and currency premia help explain equity returns and closed-end fund discounts. Additional evidence is provided showing that investors did not anticipate the magnitude or timing of the currency devaluation of December 1994 and the subsequent financial crisis.