国家风险与特殊风险的相似性证据:巴西案例的实证研究

A. Salles
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引用次数: 0

摘要

目的─本文估计巴西经济中的特殊风险(IDR)时间序列,并验证其与巴西国家风险指标的相互作用,这些指标由EMBI+(新兴市场债券指数)衡量。方法─本文估计了各种回归模型,以捕捉变量的动态性质。模型包括异方差条件自回归模型和矢量误差修正模型(VECM)。研究结果──研究结果显示,这两个指标在短期和长期的相互作用中存在相似或关联。特殊风险被证明是巴西经济范围内实施的经济活动风险的相关指标,可以帮助评估相关项目的投资。这一结果也提供了EMBI+和IDR变化之间协整的证据。含义─这一结果为经济主体融资和投资于生产和基础设施项目所需的预期回报提供了另一种方法,这些项目是发展巴西经济所必需的,可以提供更高的就业能力和良好的社会福利。提出了另一种巴西经济。它还将结果与国际市场上资源管理者广泛使用的国家风险度量EMBI+的时间序列结果进行了比较。
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Similarity evidence between the country risk and the idiosyncratic risk: An empirical study of the Brazilian case
Purpose ─ This paper estimates the idiosyncratic risk (IDR) time series in the Brazilian economy and verifies its interaction with the Brazilian country risk indicators, measured by the EMBI+ (the Emerging Markets Bond Index). Methods ─ This paper estimates various regression models to capture the dynamic nature of the variables. The models include the heteroscedastic conditional autoregressive models and vector error correction models (VECM). Findings ─ The results show similarities or associations between the two indicators with interactions in the short and long run. The idiosyncratic risk proves to be a relevant indicator of the risk of economic activities implemented within the scope of the Brazilian economy and can help evaluate investments in related projects. This results also provide evidence of cointegration between the EMBI+ and IDR variations. Implication ─ This result suggests an alternative way for obtaining estimates of the expected return required by economic agents in financing and investing in productive and infrastructure projects necessary for developing the Brazilian economy that provides greater employability and good social welfare. paper an alternative Brazilian economy. It also compares the results with the time series results obtained from the country risk measure EMBI+, widely used among resource managers in the international markets.
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来源期刊
自引率
20.00%
发文量
21
审稿时长
12 weeks
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