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
Rights
License
Acceso Restringido
id CESA2_926a00fcd5d7a5cb53c26a8c36ff8087
oai_identifier_str oai:repository.cesa.edu.co:10726/5108
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Collazos, María07c89e26-8803-43ac-9738-1d9184e3ae97600Sandoval, Juan S.9fc6f740-55a5-49d0-a5ad-eaba0f5b1ad8600Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [0000-0002-4113-5521]Sandoval, Juan S. [0000-0003-3773-3606]Sarmiento Sabogal, Julio Alejandro [57196465468]Cayón Fallon, Edgardo [56395390800]Collazos, María [58189958800]Sandoval, Juan S. [57196467374]2023-06-21T22:23:08Z2023-06-21T22:23:08Z2017-100275-5319http://hdl.handle.net/10726/5108instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1878-3384https://doi.org/10.1016/j.ribaf.2017.04.047engElsevier Inc.Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuelaarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32Acceso Restringidohttp://vocabularies.coar-repositories.org/access_rights/c_16ec/http://purl.org/coar/access_right/c_16ecPurpose 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 to 5 years of maturity seems to be efficient when good news is released on the BMERP. However, this market is not informationally efficient, and when combined with unbiased bad news regarding the BMERP, arbitrage opportunities are created. Originality/value Capital controls that restrict free exchange-rate mechanisms create arbitrage opportunities with negative news as opposed to positive news.https://orcid.org/0000-0001-5986-4813https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0003-3773-3606https://www.scopus.com/authid/detail.uri?authorId=57196465468https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=58189958800https://www.scopus.com/authid/detail.uri?authorId=5719646737441547555Research in International Business and FinanceVenezuelaSovereign bondsBlack markets exchange rate10726/5108oai:repository.cesa.edu.co:10726/51082023-09-30 13:01:31.613metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co
dc.title.eng.fl_str_mv Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
title Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
spellingShingle Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
Venezuela
Sovereign bonds
Black markets exchange rate
title_short Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
title_full Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
title_fullStr Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
title_full_unstemmed Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
title_sort Positive asymmetric information in volatile environments : the black market dollar and sovereign bond yields in Venezuela
dc.creator.fl_str_mv Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Collazos, María
Sandoval, Juan S.
dc.contributor.author.spa.fl_str_mv Sarmiento Sabogal, Julio Alejandro
Cayón Fallon, Edgardo
Collazos, María
Sandoval, Juan S.
dc.contributor.orcid.none.fl_str_mv Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
Cayón Fallon, Edgardo [0000-0002-4113-5521]
Sandoval, Juan S. [0000-0003-3773-3606]
dc.contributor.scopus.none.fl_str_mv Sarmiento Sabogal, Julio Alejandro [57196465468]
Cayón Fallon, Edgardo [56395390800]
Collazos, María [58189958800]
Sandoval, Juan S. [57196467374]
dc.subject.proposal.none.fl_str_mv Venezuela
Sovereign bonds
Black markets exchange rate
topic Venezuela
Sovereign bonds
Black markets exchange rate
description 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 to 5 years of maturity seems to be efficient when good news is released on the BMERP. However, this market is not informationally efficient, and when combined with unbiased bad news regarding the BMERP, arbitrage opportunities are created. Originality/value Capital controls that restrict free exchange-rate mechanisms create arbitrage opportunities with negative news as opposed to positive news.
publishDate 2017
dc.date.issued.none.fl_str_mv 2017-10
dc.date.accessioned.none.fl_str_mv 2023-06-21T22:23:08Z
dc.date.available.none.fl_str_mv 2023-06-21T22:23:08Z
dc.type.none.fl_str_mv article
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.coar.none.fl_str_mv http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv info:eu-repo/semantics/article
dc.type.redcol.none.fl_str_mv http://purl.org/redcol/resource_type/ART
dc.type.coarversion.none.fl_str_mv http://purl.org/coar/version/c_71e4c1898caa6e32
format http://purl.org/coar/resource_type/c_2df8fbb1
dc.identifier.issn.none.fl_str_mv 0275-5319
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/10726/5108
dc.identifier.instname.none.fl_str_mv instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame.none.fl_str_mv reponame:Biblioteca Digital – CESA
dc.identifier.repourl.none.fl_str_mv repourl:https://repository.cesa.edu.co/
dc.identifier.eissn.none.fl_str_mv 1878-3384
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/j.ribaf.2017.04.047
identifier_str_mv 0275-5319
instname:Colegio de Estudios Superiores de Administración – CESA
reponame:Biblioteca Digital – CESA
repourl:https://repository.cesa.edu.co/
1878-3384
url http://hdl.handle.net/10726/5108
https://doi.org/10.1016/j.ribaf.2017.04.047
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.citationvolume.none.fl_str_mv 41
dc.relation.citationstartpage.none.fl_str_mv 547
dc.relation.citationendpage.none.fl_str_mv 555
dc.relation.ispartofjournal.none.fl_str_mv Research in International Business and Finance
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_16ec
dc.rights.local.none.fl_str_mv Acceso Restringido
dc.rights.coar.none.fl_str_mv http://vocabularies.coar-repositories.org/access_rights/c_16ec/
rights_invalid_str_mv Acceso Restringido
http://vocabularies.coar-repositories.org/access_rights/c_16ec/
http://purl.org/coar/access_right/c_16ec
dc.publisher.none.fl_str_mv Elsevier Inc.
publisher.none.fl_str_mv Elsevier Inc.
institution Colegio de Estudios Superiores de Administración
repository.name.fl_str_mv Biblioteca Digital - CESA
repository.mail.fl_str_mv biblioteca@cesa.edu.co
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