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

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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.
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Document Type: Research Article

Affiliations: 1: Departamento de Economia, Universidade de Brasilia, Brasilia, Brazil 2: Fundącão Getúlio Vargas, Escola de Economia de São Paulo, (EESP-FGV), Brazil

Publication date: 2006-06-20

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