主题 / Topic：Uncovered Equity “Disparity” in Emerging Markets
时间 / Time：4月21号（周五）｜April 21 (Friday), 14：25 - 15：15
地点 / Venue：文波207｜207，WENBO
主讲 / Speaker
颜诚博士，杜伦大学助理教授，分别于2012、2015年获英国卡斯商学院（Cass Business School）金融学硕士， 2013年获得厦门大学经济和金融博士，2008年获得北京师范大学经济学士。主要研究国际金融/经济，金融计量，宏观金融等方向。在“Journal of International Money and Finance”等多家国际期刊上发表文章。
研究领域 / Research Interests
国际金融/经济，金融计量经济学，宏观金融
International Finance/Economics, Financial Econometrics, and Macro-Finance
摘要 / Abstract
The portfolio-rebalancing theory of Hau and Rey (2006) yields uncovered equity parity (UEP) as a prediction that the local-currency equity return appreciation is offset by currency depreciation. Contrary to UEP, estimations of vector autoregressive models for eight Asian emerging markets using daily data reveals a positive nexus between equity returns and currency returns. The extent of the uncovered equity “disparity” is time-varying and asymmetric as it exacerbates in crisis. We find evidence that the UEP failure is due to investors’ return chasing. Robustness checks suggest that this explanation is not an artifact of changing global volatility conditions or a flight-to-quality phenomenon.
