Monetary policy and country risk
This article develops an econometric model in order to study country risk behavior for six emerging economies (Argentina, Mexico, Russia, Thailand, Korea and Indonesia), by expanding the Country Beta Risk Model of Harvey and Zhou (1993), Erb et. al. (1996a, 1996b) and Gangemi et. al. (2000). Toward this end, we have analyzed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time varying parameter approach. The results indicate an inefficient and unstable effect of monetary policy upon country risk in periods of crisis. However, this effect is stable in other periods, and the Favero-Giavazzi effect is not verified for all economies, with an opposite effect being observed in many cases.
Year of publication: |
2010-06-29
|
---|---|
Authors: | Kuhl Teles, Vladimir ; P. Andrade, Joaquim |
Institutions: | Escola de Economia de São Paulo (EESP), Fundação Getulio Vargas (FGV) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Infrastructure and productivity in Latin America: is there a relationship in the long run?
Mussolini, Caio Cesar, (2010)
-
A política monetária brasileira sob o regime de metas de inflação
Colla, Ernesto, (2010)
-
Environmental protection and economic growth
Kuhl Teles, Vladimir, (2009)
- More ...