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 spirit of Harvey and Zhou (1993), Erb et. al. (1996a, 1996b) and Gangemi et. al. (2000). Specifically, we analyze the impact of macroeconomic variables using a time-varying parameter approach. An extension of the original model is applied in order to verify the parametersâ€™ stability in time. We find that monetary policy have a significant and stable impact on Brazilâ€™s country risk and international reserves have a significant impact only in fixed exchange rate period
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 284.
Date of creation: 11 Aug 2004
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beta risk; country risk;
Other versions of this item:
- Joaquim Andrade & Vladimir Teles, 2006. "An empirical model of the Brazilian country risk -- an extension of the beta country risk model," Applied Economics, Taylor & Francis Journals, vol. 38(11), pages 1271-1278.
- NEP-ALL-2004-10-30 (All new papers)
- NEP-FIN-2004-10-30 (Finance)
- NEP-IFN-2004-10-30 (International Finance)
- NEP-RMG-2004-10-30 (Risk Management)
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