Domowitz, Ian; Glen, Jack; Madhavan, Ananth - In: Journal of Financial and Quantitative Analysis 33 (1998) 02, pp. 189-216
The magnitude and determinants of credit and currency risks are topics of considerable importance. This paper uses data on peso- and dollar-denominated debt issued by the Mexican government to identify currency and country risk premia. We show that shocks in equity and debt market returns...