Diversification of Macroeconomic Risk and International Integration of Capital Markets: The Case of Mexico
利用墨西哥1977-87年不稳定宏观经济时期的数据，检验套利定价理论，发现当地资产对意外通胀、货币增长、标普500指数和油价冲击等风险因子有溢价，且墨西哥与国际资本市场一体化程度低。
This article tests the arbitrage pricing theory in the context of the unstable macroeconomic years in Mexico, 1977–87. Using information on returns on assets available to domestic investors—primarily stocks traded at the local stock exchange—an attempt is made to ascertain the extent to which these assets have offered premia for a set of proposed sources of risk. The pervasive factors that play an important role in asset pricing in Mexico are unexpected inflation, unexpected money growth, innovations in the Standard & Poor's 500 price series, and innovations in the dollar oil price. A residual market factor is obtained, using the McElroy and Burmeister model. Given that these risks get premia over and above the riskless rate, expected rates of return in Mexico have been higher during the years of erratic macroeconomic conditions. Mexico is not considered to be well integrated with the international capital markets because local sources of risk—such as inflation—are not priced in the United States, whereas international sources of uncertainty—such as oil price shocks—are priced locally but not in the United States.