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Monetary policy and country risk

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  • Kuhl Teles, Vladimir
  • P. Andrade, Joaquim

Abstract

This article develops an econometric model in order to study country risk behavior forsix emerging economies (Argentina, Mexico, Russia, Thailand, Korea and Indonesia),by expanding the Country Beta Risk Model of Harvey and Zhou (1993), Erb et. al.(1996a, 1996b) and Gangemi et. al. (2000). Toward this end, we have analyzed theimpact of macroeconomic variables, especially monetary policy, upon country risk,by way of a time varying parameter approach. The results indicate an inefficient andunstable effect of monetary policy upon country risk in periods of crisis. However, thiseffect is stable in other periods, and the Favero-Giavazzi effect is not verified for alleconomies, with an opposite effect being observed in many cases.

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File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/6860/1/TD%20223%20-%20Vladimir%20K.%20Teles%3b%20Joaquim%20P.%20Andrade.pdf
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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 223.

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Date of creation: 29 Jun 2010
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Handle: RePEc:fgv:eesptd:223

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