Tourani-Rad, Alireza; Choi, Daniel F.S.; Wilson, … - In: Managerial Finance 32 (2006), pp. 257-269
Purpose – The purpose of this paper is to estimate New Zealand's country level risk using a time-varying country beta market model. Country beta is allowed to vary as a function of several macro-economic variables, including the net government overseas borrowing, 90-day bill rate, ten-year...