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Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil

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  • Alex Luiz Ferreira.

Abstract

The paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from november 2001 until december 2007), we found that deviations are corre

Suggested Citation

  • Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66.
    • Handle: RePEc:ioe:cuadec:v:46:y:2009:i:133:p:51-66
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    File URL: http://www.economia.uc.cl/docs/133ferra.pdf
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    Cited by:

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    2. Zorica Mladenović & Jelena Rašković, 2018. "Econometric Testing Of Uncovered Interest Rate Parity In Serbia," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 63(216), pages 35-62, January –.
    3. Nicolás Álvarez H. & Antonio Fernandois S. & Andrés Sagner T., 2019. "Rol de inversionistas institucionales domésticos sobre la volatilidad de tasas soberanas de economías emergentes," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 22(1), pages 082-101, April.

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    JEL classification:

    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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