This article develops an econometric model in order to study country risk behaviour 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, b) and Gangemi et al. (2000). Towards...

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...

The country risk indicator, as measured by the JP Morgan's EMBI or grades of rating agencies such as Standard & Poor's (S&P's) or Moody's, does not seem to truly reflect the fundamentals of an economy. Countries that pursue sound economic policies are frequently placed on the same level as...