金融危机时期的风险溢价:ICAPM对中东和北非地区的评估

Q3 Pharmacology, Toxicology and Pharmaceutics

Accounting Pub Date : 2023-01-01 DOI:10.5267/j.ac.2022.12.002

Fatma Khalfallah

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引用次数: 1

摘要

我们的研究目的是研究金融危机对MENA(中东和北非)一组新兴国家风险溢价演变的影响，通过研究两种假设:完全一体化和部分分割的金融一体化动态，除了货币风险溢价外，还特别关注当地风险溢价的升值。在方法层面，我们测试了Adler和Dumas 1983年最初提出的De的金融资产ICAPM国际模型的条件版本[Adler, M.， & Dumas, B.(1983)]。国际投资组合选择与公司融资:综合。金融学报，38(3)，925-984。我们的分析基于Bekaert和Harvey (1995) [Bekaert, G.， & Harvey, C. R.(1995)]的制度变迁条件模型。时变世界市场一体化。金融学报，30(2)，444 -444。]，我们使用卡尔曼滤波器和具有可变转移概率的马尔可夫状态切换模型进行计量经济建模。

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The risk premium in times of financial crisis: an assessment from ICAPM on the MENA region

The purpose of our research is to study the impact of financial crisis on Risk premium evolution for a set of emerging countries of MENA (Middle East and North Africa), giving special attention to the appreciation of the local risk premium in addition to the currency risk premium through the study of the dynamics of the financial integration under two assumptions: perfect integration and partial segmentation. At the methodological level, we test a conditional version of the international model of the financial assets ICAPM of De initially proposed by Adler and Dumas 1983 [Adler, M., & Dumas, B. (1983). International portfolio choice and corporation finance: A synthesis. The Journal of Finance, 38(3), 925-984.]. Our analysis is based on the conditional model of regime change of Bekaert and Harvey (1995) [Bekaert, G., & Harvey, C. R. (1995). Time‐varying world market integration. The Journal of Finance, 50(2), 403-444.], we follow the econometric modeling using the Kalman filter and the Markov regime-switching model with variable transition probabilities.

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来源期刊

Accounting Pharmacology, Toxicology and Pharmaceutics-Pharmaceutical Science

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审稿时长

20 weeks