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

Sarmiento Sabogal, Julio Alejandro; Cayón Fallon, Edgardo; Collazos, María; Sandoval, Juan S. (Elsevier Inc., 2017-10)

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 ...