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

Alex Ferreira

Latin American Journal of Economics-formerly Cuadernos de Economía, 2009, vol. 46, issue 133, 51-66

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

Keywords: Uncovered interest rate parity; risk; model evaluation and testing (search for similar items in EconPapers)
JEL-codes: C52 F36 F37 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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Latin American Journal of Economics-formerly Cuadernos de Economía is currently edited by Raimundo Soto

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