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An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model

  • Joaquim Pinto de Andrade
  • Vladimir Kuhl Teles

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 period

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Paper provided by Econometric Society in its series Econometric Society 2004 Latin American Meetings with number 284.

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Date of creation: 11 Aug 2004
Date of revision:
Handle: RePEc:ecm:latm04:284
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  1. 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.
  2. Assaf Razin & Efraim Sadka, 2001. "Country Risk and Capital Flow Reversals," NBER Working Papers 8171, National Bureau of Economic Research, Inc.
  3. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
  4. 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.
  5. 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.
  6. 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].
  7. 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.
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