IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL

The paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from November 2001 until December 2007), we found that deviations are correlated with a measure frisk (the EMBI+). There...

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Autor principal:	LUIZ FERREIRA,ALEX
Lenguaje:	English
Publicado:	Instituto de Economía, Pontificia Universidad Católica de Chile 2009
Materias:	Uncovered Interest Rate Parity Risk Model Evaluation and Testing
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100003
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spelling	oai:scielo:S0717-682120090001000032009-08-13IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZILLUIZ FERREIRA,ALEX Uncovered Interest Rate Parity Risk Model Evaluation and Testing The paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from November 2001 until December 2007), we found that deviations are correlated with a measure frisk (the EMBI+). There is also evidence that these deviations can be explained and predicted by a set of fundamentals (such as the current account deficit as a percentage of the GDP and domestic inflation, for example). Insofar as some of these variables can be controlled by the government, the results suggest that economic policy is able to decrease risk.info:eu-repo/semantics/openAccessInstituto de Economía, Pontificia Universidad Católica de ChileCuadernos de economía v.46 n.133 20092009-05-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100003en10.4067/S0717-68212009000100003
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Uncovered Interest Rate Parity Risk Model Evaluation and Testing
spellingShingle	Uncovered Interest Rate Parity Risk Model Evaluation and Testing LUIZ FERREIRA,ALEX IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
description	The paper tests whether ex ante deviations from Uncovered Interest Rate Parity correspond to default risk premium. Using an automated model selection criteria and data for Brazil (from November 2001 until December 2007), we found that deviations are correlated with a measure frisk (the EMBI+). There is also evidence that these deviations can be explained and predicted by a set of fundamentals (such as the current account deficit as a percentage of the GDP and domestic inflation, for example). Insofar as some of these variables can be controlled by the government, the results suggest that economic policy is able to decrease risk.
author	LUIZ FERREIRA,ALEX
author_facet	LUIZ FERREIRA,ALEX
author_sort	LUIZ FERREIRA,ALEX
title	IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
title_short	IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
title_full	IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
title_fullStr	IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
title_full_unstemmed	IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL
title_sort	is it risk?: an automated approach to explain the ex ante uip deviations of brazil
publisher	Instituto de Economía, Pontificia Universidad Católica de Chile
publishDate	2009
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100003
work_keys_str_mv	AT luizferreiraalex isitriskanautomatedapproachtoexplaintheexanteuipdeviationsofbrazil
_version_	1718442411947982848

IS IT RISK?: AN AUTOMATED APPROACH TO EXPLAIN THE EX ANTE UIP DEVIATIONS OF BRAZIL

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