Title: Monetary unification and the price of risk: An unconditional analysis
Authors: Dewachter, Hans ×
Maes, Konstantijn
Smedts, Kristien #
Issue Date: 2003
Publisher: Springer-verlag
Series Title: Review of world economics vol:139 issue:2 pages:276-305
Abstract: In this paper, the standard International Arbitrage Pricing Theory is used to assess the effects of European monetary unification on the functioning of the European financial market. In particular, the focus is on the effects that unification may have had on the risk-sharing capacity of the financial markets. It is found that, already in the ERM decade, exchange rate changes do not (unconditionally) correlate strongly with financial market movements across countries. Consequently, elimination of exchange rate variability through monetary unification is not likely to have major implications for the pricing behavior in EMU.
ISSN: 1610-2878
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
Department of Economics, Leuven - miscellaneous
Research Center Finance, Leuven
× corresponding author
# (joint) last author

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