Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela

Purpose We test the informational efficiency of Venezuelan USD sovereign bond yields when the black market exchange-rate premium (BMERP) changes. Design We use a non-parametric, asymmetric, Granger causality test to test our hypothesis. Findings We find that the bond market with less than or equal t...

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Autores:

Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Collazos, María
Sandoval, Juan S.

Tipo de recurso:

Article of investigation

Fecha de publicación:

2017

Institución:

Colegio de Estudios Superiores de Administración

Repositorio:

Repositorio CESA

Idioma:

eng

OAI Identifier:

oai:repository.cesa.edu.co:10726/5108

Acceso en línea:

http://hdl.handle.net/10726/5108
https://doi.org/10.1016/j.ribaf.2017.04.047

Palabra clave:

Venezuela
Sovereign bonds
Black markets exchange rate

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