An Empirical Model of the Brazilian Country Risk - An Extension of the Beta Country Risk Model
Joaquim Andrade and
Vladimir Teles ()
No 284, Econometric Society 2004 Latin American Meetings from Econometric Society
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
Keywords: beta risk; country risk (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin, nep-ifn and nep-rmg
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Journal Article: An empirical model of the Brazilian country risk -- an extension of the beta country risk model (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:284
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