An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model
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 periodDownload Info
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Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 284.Length:
Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:latm04:284
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Related research
Keywords: 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 and 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)
References
References listed on IDEASPlease 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,"
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- Assaf Razin & Efraim Sadka, 2001. "Country Risk and Capital Flow Reversals," NBER Working Papers 8171, National Bureau of Economic Research, Inc.
- 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.
- 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].
- 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.
- 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.
- 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.
- Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- 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.
- 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 and Francis Journals, vol. 22(13), pages 1029-1041, July.
- 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,"
MPRA Paper
15745, University Library of Munich, Germany.
- Sergey SVESHNIKOV & Victor BOCHARNIKOV, 2009. "Modeling Risk Of International Country Relations," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(4(10)_Win), pages 558-569.
- Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
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