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: | |
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| Lenguaje: | English |
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Instituto de Economía, Pontificia Universidad Católica de Chile
2009
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| Acceso en línea: | http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0717-68212009000100003 |
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