دانلود رایگان مقاله اطلاعات نامتقارن مثبت در محیط های بی ثبات: دلار بازار سیاه و سود بازرگانی در ونزوئلا

1. Introduction

In February 2003, with the creation of the Comision de Administración de Divisas (CADIVI), the Government of Venezuela decided to introduce a policy of capital controls to reduce the massive capital flight. In Venezuela, to have access to foreign exchange, consumers of foreign goods have to go through a very complicated bureaucratic procedure in order to be assigned a quota of dollars at the official exchange rate set by the government1 . This restricted access to foreign exchange has given rise to a foreign-currency black market. The price of the currency on the black market carries a significant premium due to the limited supply of government dollars at the official exchange rate (Malone & Ter Horst, 2010).

7. Conclusions

After testing the efficient market hypothesis (EMH) in the semi-strong form using the Granger causality framework suggested by Hatemi-J (2012), there is empirical evidence that can lead us to fail to reject the null hypothesis of non-causality between the black market premium and the bond yields of less than or equal to 5 years of maturity at the 5% significance level for positive shocks, even when we take into account feedback effects and omitted variables that can affect the causality. Therefore, there is evidence that due to informational inefficiencies, it is possible to create an arbitrage strategy based on the time that it takes for negative news (positive shocks, such as devaluation of the local currency in the black market) that affects the BMERP to impact the USD Venezuelan sovereign short-term bond yields (5 years or less). This relation is expected in our model since any change in the BMERP leads to an increase in the government budget deficit. This in turn increases the uncertainty regarding the ability of the Venezuelan government to meet their sovereign debt obligations. For positive news (negative shocks) or a fall in the BMERP, there is no significant effect on bond yields, at least in the short term.