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Determinant Factors of Brazilian Country Risk: An Empirical Analysis of Specific Country Risk

Author

Listed:
  • Mariana Felix Teixeira

    (PUC-Rio, IAG)

  • Marcelo Cabus Klotzle

    (PUC-Rio, IAG)

  • Walter Lee Ness

    (PUC-Rio, IAG)

Abstract

Many studies in international finance try to investigate to what extent domestic and external economic factors constitute significant determinant factors of international country risk. This article tries to analyze, for the period 1992-2003, Brazilian country risk from the point of view of three empirical models: i) First, the internal economic determinants of the country risk; ii) the second has the same purpose as the first, with the difference that the variable “intensity of global risk aversion”, that serves as proxy for the external component of the risk, is included in the group of explanatory variables; iii) in the last model the emphasis is on the relation between specific country risk (country risk minus the external component) and the internal and external economic determinants.

Suggested Citation

  • Mariana Felix Teixeira & Marcelo Cabus Klotzle & Walter Lee Ness, 2008. "Determinant Factors of Brazilian Country Risk: An Empirical Analysis of Specific Country Risk," Brazilian Review of Finance, Brazilian Society of Finance, vol. 6(1), pages 49-67.
    • Handle: RePEc:brf:journl:v:6:y:2008:i:1:p:49-67
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    References listed on IDEAS

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    Cited by:

    1. Montes, Gabriel Caldas & Tiberto, Bruno Pires, 2012. "Macroeconomic environment, country risk and stock market performance: Evidence for Brazil," Economic Modelling, Elsevier, vol. 29(5), pages 1666-1678.

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    Keywords

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    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F30 - International Economics - - International Finance - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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