Fatores determinantes do nível do risco Brasil

• Autor(a) principal: Costa, Marisa Gomes da
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações do Mackenzie
• Texto Completo: http://dspace.mackenzie.br/handle/10899/26327
• topic: autometrics; paridade coberta de juros; risco-país; seleção automática de modelos; taxa de câmbio; taxa de juros; autometrics; automatic model selection; covered interest rate parity; country risk; exchange rate; interest rate; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS

This study aims to identify the determinants of Brazil country risk level, during the period from February 1995 to August 2015, based on the deviations from the covered interest rate parity condition. These deviations represent a measure of the risk assumed by an investor who choose to invest in a Brazilian security in Brazil, rather than do it abroad. Using Autometrics, an algorithm for automatic model selection, developed by Doornik (2009), thirty-nine explanatories variables were selected from previous studies. The Brazil country risk level is susceptible to changes in the balance of payments, import by GDP, the deviation covered interest rate parity of the previous period, the inflation rate, the change in exports, total debt per GDP, and external debt by exports.