Monetary policy and country risk
AbstractThis 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.
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.
Bibliographic InfoPaper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 223.
Date of creation: 29 Jun 2010
Date of revision:
Contact details of provider:
Postal: Rua Itapeva, 474, 13o andar, CEP 01332-000, São Paulo - SP
Phone: 55 (011) 3799-3350
Fax: 55 (011) 3799-3357
Web page: http://eesp.fgv.br
More information through EDIRC
Other versions of this item:
- NEP-ALL-2010-07-10 (All new papers)
- NEP-CBA-2010-07-10 (Central Banking)
- NEP-MON-2010-07-10 (Monetary Economics)
- NEP-SEA-2010-07-10 (South East Asia)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (Núcleo de Computação da EPGE).
If references are entirely missing, you can add them using this form.