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

Abstract: 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

Keywords: beta risk; country risk (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-fin, nep-ifn and nep-rmg
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ecm:latm04:284

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