An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model
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 parametersâ€™ stability in time. We find that monetary policy have a significant and stable impact on Brazilâ€™s country risk and international reserves have a significant impact only in fixed exchange rate period
|Date of creation:||11 Aug 2004|
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- 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].
- 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.
- Razin, Assaf & Sadka, Efraim, 2001.
"Country risk and capital flow reversals,"
Elsevier, vol. 72(1), pages 73-77, July.
- 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.
- 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.
- Campbell R. Harvey & Guofu Zhou, 1993. "International asset pricing with alternative distributional specifications," CEMA Working Papers 277, China Economics and Management Academy, Central University of Finance and Economics.
- Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
- 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.
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