Monetary policy and country risk
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...
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| Veröffentlicht in: | Applied economics 2008-08, Vol.40 (15), p.2021-2028 |
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| container_issue | 15 |
| container_start_page | 2021 |
| container_title | Applied economics |
| container_volume | 40 |
| creator | Teles, Vladimir Andrade, Joaquim |
| description | 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 end, we have analysed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time-varying parameter approach. The results indicate an 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. |
| doi_str_mv | 10.1080/00036840600949249 |
| format | Article |
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1993
), Erb
et al
. (1996a, b) and Gangemi
et al
. (2000). Towards this end, we have analysed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time-varying parameter approach. The results indicate an 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.</description><identifier>ISSN: 0003-6846</identifier><identifier>EISSN: 1466-4283</identifier><identifier>DOI: 10.1080/00036840600949249</identifier><identifier>CODEN: APPEBP</identifier><language>eng</language><publisher>London: Routledge</publisher><subject>Argentina ; Beta ; Capital market ; Econometric models ; Economic models ; Emerging markets ; Financial economics ; Financial risks ; Impact analysis ; Indonesia ; Mexico ; Monetary policy ; Political risk ; Russian Federation ; South Korea ; Studies ; Thailand</subject><ispartof>Applied economics, 2008-08, Vol.40 (15), p.2021-2028</ispartof><rights>Copyright Taylor & Francis Group, LLC 2008</rights><rights>Copyright Routledge Aug 2008</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c567t-65820fe430c598825afc6d4667f1e5e5d74bae46a9b026d2ef72b0e7613031203</citedby><cites>FETCH-LOGICAL-c567t-65820fe430c598825afc6d4667f1e5e5d74bae46a9b026d2ef72b0e7613031203</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>314,776,780,3994,27901,27902</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/tafapplec/v_3a40_3ay_3a2008_3ai_3a15_3ap_3a2021-2028.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Teles, Vladimir</creatorcontrib><creatorcontrib>Andrade, Joaquim</creatorcontrib><title>Monetary policy and country risk</title><title>Applied economics</title><description>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 end, we have analysed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time-varying parameter approach. The results indicate an 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.</description><subject>Argentina</subject><subject>Beta</subject><subject>Capital market</subject><subject>Econometric models</subject><subject>Economic models</subject><subject>Emerging markets</subject><subject>Financial economics</subject><subject>Financial risks</subject><subject>Impact analysis</subject><subject>Indonesia</subject><subject>Mexico</subject><subject>Monetary policy</subject><subject>Political risk</subject><subject>Russian Federation</subject><subject>South Korea</subject><subject>Studies</subject><subject>Thailand</subject><issn>0003-6846</issn><issn>1466-4283</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2008</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFUE1PGzEQtSoqNaT9Ab1FHLhtGY8_1itxQQgoElEv7dlyvLa6YbNe7A00_76TBnEAqRxmRjN-7_nNMPaVwzcOBs4AQGgjQQM0skHZfGAzLrWuJBpxxGb794oA-hM7LmVNLUdRz9himYYwubxbjKnv_G7hhnbh03aYaJS7cv-ZfYyuL-HLc52zX9dXPy-_V3c_bm4vL-4qr3Q9VVoZhBikAK8aY1C56HVLBurIgwqqreXKBaldswLULYZY4wpCrbkAwRHEnJ0edMecHrahTHbTFR_63g0hbYsVugEwQr0LRNBcKtwDT14B12mbB1rCIkeNQpr9t_wA8jmVkkO0Y-42dA_Lwe4va99cljjLAyeHMfgXwuSiG8eeJo9WOAmUdhRItql0FFxRGv_NkJNRNPb3tCG984NeN8SUN-4p5b4luV2fcsxu8B2t_z879bv0Nyw7_ZnEX2vbptY</recordid><startdate>20080801</startdate><enddate>20080801</enddate><creator>Teles, Vladimir</creator><creator>Andrade, Joaquim</creator><general>Routledge</general><general>Taylor and Francis Journals</general><general>Taylor & Francis Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope><scope>7U1</scope><scope>7U2</scope><scope>C1K</scope></search><sort><creationdate>20080801</creationdate><title>Monetary policy and country risk</title><author>Teles, Vladimir ; Andrade, Joaquim</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c567t-65820fe430c598825afc6d4667f1e5e5d74bae46a9b026d2ef72b0e7613031203</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2008</creationdate><topic>Argentina</topic><topic>Beta</topic><topic>Capital market</topic><topic>Econometric models</topic><topic>Economic models</topic><topic>Emerging markets</topic><topic>Financial economics</topic><topic>Financial risks</topic><topic>Impact analysis</topic><topic>Indonesia</topic><topic>Mexico</topic><topic>Monetary policy</topic><topic>Political risk</topic><topic>Russian Federation</topic><topic>South Korea</topic><topic>Studies</topic><topic>Thailand</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Teles, Vladimir</creatorcontrib><creatorcontrib>Andrade, Joaquim</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Risk Abstracts</collection><collection>Safety Science and Risk</collection><collection>Environmental Sciences and Pollution Management</collection><jtitle>Applied economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Teles, Vladimir</au><au>Andrade, Joaquim</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Monetary policy and country risk</atitle><jtitle>Applied economics</jtitle><date>2008-08-01</date><risdate>2008</risdate><volume>40</volume><issue>15</issue><spage>2021</spage><epage>2028</epage><pages>2021-2028</pages><issn>0003-6846</issn><eissn>1466-4283</eissn><coden>APPEBP</coden><abstract>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 end, we have analysed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time-varying parameter approach. The results indicate an 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.</abstract><cop>London</cop><pub>Routledge</pub><doi>10.1080/00036840600949249</doi><tpages>8</tpages><oa>free_for_read</oa></addata></record> |
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| language | eng |
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| source | RePEc; Business Source Complete |
| subjects | Argentina Beta Capital market Econometric models Economic models Emerging markets Financial economics Financial risks Impact analysis Indonesia Mexico Monetary policy Political risk Russian Federation South Korea Studies Thailand |
| title | Monetary policy and country risk |
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