bibtype J - Journal Article
ARLID 0410798
utime 20240103182240.0
mtime 20060210235959.9
title (primary) (eng) The uncovered parity properties of the Czech Koruna
specification
page_count 21 s.
serial
ARLID cav_un_epca*0290424
ISSN 1210-0455
title Prague Economic Papers
volume_id 11
volume 1 (2002)
page_num 17-37
publisher
name Vysoká škola ekonomická v Praze
keyword uncovered parity
keyword asset prices
keyword international consumption-based capital asset pricing model
author (primary)
ARLID cav_un_auth*0101079
name1 Derviz
name2 Alexis
institution UTIA-B
full_dept Department of Econometrics
fullinstit Ústav teorie informace a automatizace AV ČR, v. v. i.
COSATI 05D
cas_special
project
project_id KSK1019101
agency GA AV ČR
ARLID cav_un_auth*0000219
research CEZ:AV0Z1075907
abstract (eng) 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.
RIV AH
department E
permalink http://hdl.handle.net/11104/0130885
ID_orig UTIA-B 20020012
arlyear 2002
mrcbU63 cav_un_epca*0290424 Prague Economic Papers 1210-0455 2336-730X Roč. 11 č. 1 2002 17 37 Vysoká škola ekonomická v Praze