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 corre

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Year of publication:	2009
Authors:	Alex Luiz Ferreira.
Published in:	Latin American Journal of Economics-formerly Cuadernos de Economía. - Instituto de Economía, ISSN 0717-6821. - Vol. 46.2009, 133, p. 51-66
Publisher:	Instituto de Economía
Subject:	Uncovered interest rate parity \| risk \| model evaluation and testing

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	F36 - Financial Aspects of Economic Integration ; F37 - International Finance Forecasting and Simulation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005256825