An empirical model of the Brazilian country risk -- an extension of the beta country risk model
AbstractThis paper develops a statistical model to study the Brazilian country risk using a country beta model in the spirit of Harvey and Zhou (1993), Erb et al. (1996a, b) and Gangemi et al. (2000). Specifically, the impact of macroeconomic variables is analysed using a time-varying parameter approach. An extension of the original model is applied in order to verify the parameters' stability over time. It is found that monetary policy had a significant and stable impact on Brazil's country risk and international reserves presented a significant impact only during the fixed exchange rate period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 38 (2006)
Issue (Month): 11 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
Other versions of this item:
- Joaquim Pinto de Andrade & Vladimir Kuhl Teles, 2004. "An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model," Econometric Society 2004 Latin American Meetings 284, Econometric Society.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Razin, Assaf & Sadka, Efraim, 2001.
"Country risk and capital flow reversals,"
Elsevier, vol. 72(1), pages 73-77, July.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Campbell R. Harvey & Guofu Zhou, 1993.
"International asset pricing with alternative distributional specifications,"
CEMA Working Papers
277, China Economics and Management Academy, Central University of Finance and Economics.
- Harvey, Campbell R. & Zhou, Guofu, 1993. "International asset pricing with alternative distributional specifications," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 107-131, June.
- Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
- Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Working Papers 4657, National Bureau of Economic Research, Inc.
- Marcio Gomes Pinto Garcia & Tatiana Glindmeier Didier Brandao, 2001. "Taxa de Juros, Risco Cambial e Risco Brasil," Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting] 031, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Gangemi, Michael A. M. & Brooks, Robert D. & Faff, Robert W., 2000. "Modeling Australia's country risk: a country beta approach," Journal of Economics and Business, Elsevier, vol. 52(3), pages 259-276.
- William Shambora & Shamila Jayasuriya, 2008. "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, vol. 7(14), pages 1-12.
- repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
- Sveshnikov, Sergey & Bocharnikov, Victor, 2009.
"Modeling risk of international country relations,"
15745, University Library of Munich, Germany.
- Gazi Mainul Hassan & Hisham M. Al refai, 2012.
"Can macroeconomic factors explain equity returns in the long run? The case of Jordan,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 22(13), pages 1029-1041, July.
- Hassan, Gazi & Hisham, Al refai, 2010. "Can Macroeconomic Factors Explain Equity Returns in the Long Run? The Case of Jordan," MPRA Paper 22713, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.