An empirical model of the Brazilian country risk - an extension of the beta country risk model

被引：11

作者：

Andrade, Joaquim ^{[1
]}

Teles, Vladimir K.

机构：

[1] Univ Brasilia, Dept Econ, Brasilia, DF, Brazil

[2] Fdn Getulio Vargas, Escola Econ Sao Paulo, Sao Paulo, Brazil

来源：

APPLIED ECONOMICS | 2006年 / 38卷 / 11期

关键词：

D O I：

10.1080/00036840500426843

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper develops a statistical model to study the Brazilian country risk using a country beta model in the spirit of Harvey and Zhou (1993), Erb et al. (1996a, b) and Gangemi et al. (2000). Specifically, the impact of macroeconomic variables is analysed using a time-varying parameter approach. An extension of the original model is applied in order to verify the parameters' stability over time. It is found that monetary policy had a significant and stable impact on Brazil's country risk and international reserves presented a significant impact only during the fixed exchange rate period.

引用

页码：1271 / 1278

页数：8

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