Advanced Search
MyIDEAS: Login to save this paper or follow this series

An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model

Contents:

Author Info

  • Joaquim Pinto de Andrade
  • Vladimir Kuhl Teles

Abstract

This 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 parameters’ stability in time. We find that monetary policy have a significant and stable impact on Brazil’s country risk and international reserves have a significant impact only in fixed exchange rate period

Download Info

If 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.
File URL: http://repec.org/esLATM04/up.23354.1082072159.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 284.

as in new window
Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:latm04:284

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC

Related research

Keywords: beta risk; country risk;

Other versions of this item:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
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.:
as in new window
  1. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
  2. 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.
  3. Razin, Assaf & Sadka, Efraim, 2001. "Country risk and capital flow reversals," Economics Letters, Elsevier, vol. 72(1), pages 73-77, July.
  4. 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].
  5. 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.
  6. 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.
  7. 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.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. William Shambora & Shamila Jayasuriya, 2008. "The world is shrinking: Evidence for stock market convergence," Economics Bulletin, AccessEcon, vol. 7(14), pages 1-12.
  2. 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.
  3. repec:ebl:ecbull:v:7:y:2008:i:14:p:1-12 is not listed on IDEAS
  4. Sveshnikov, Sergey & Bocharnikov, Victor, 2009. "Modeling risk of international country relations," MPRA Paper 15745, University Library of Munich, Germany.
  5. Ülkü, Numan & Baker, Saleh, 2014. "Country world betas: The link between the stock market beta and macroeconomic beta," Finance Research Letters, Elsevier, vol. 11(1), pages 36-46.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ecm:latm04:284. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.