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Journal Article

The uncovered parity properties of the Czech Koruna

Derviz Alexis

: Prague Economic Papers vol.11, 1 (2002), p. 17-37

: CEZ:AV0Z1075907

: KSK1019101, GA AV ČR

: uncovered parity, asset prices, international consumption-based capital asset pricing model

(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.

: 05D

: AH

07.01.2019 - 08:39