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

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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