TY - JOUR
T1 - Modeling Australia's country risk: A country beta approach
AU - Gangemi, Michael A.M.
AU - Brooks, Robert D.
AU - Faff, Robert W.
AU - Modeling, Risk
N1 - .
PY - 2000
Y1 - 2000
N2 - The debate on the consequences and appropriate policy response to Australia's growing foreign debt has spawned a large literature. Part of this literature hypothesizes an adverse effect due to increased country risk. This paper analyzes Australia's country risk using a country beta market model in the spirit of Harvey and Zhou (1993) and Erb et al. (1996a, 1996b). Specifically, we analyze the impact of macroeconomic variables, with a special focus on open economy variables, using a regression-based approach. We find that exchange rates are the only macroeconomic factor that has impacted significantly on Australia's country beta.
AB - The debate on the consequences and appropriate policy response to Australia's growing foreign debt has spawned a large literature. Part of this literature hypothesizes an adverse effect due to increased country risk. This paper analyzes Australia's country risk using a country beta market model in the spirit of Harvey and Zhou (1993) and Erb et al. (1996a, 1996b). Specifically, we analyze the impact of macroeconomic variables, with a special focus on open economy variables, using a regression-based approach. We find that exchange rates are the only macroeconomic factor that has impacted significantly on Australia's country beta.
UR - http://www.scopus.com/inward/record.url?scp=15944412922&partnerID=8YFLogxK
U2 - 10.1016/s0148-6195(99)00034-x
DO - 10.1016/s0148-6195(99)00034-x
M3 - Article
AN - SCOPUS:15944412922
SN - 0012-9933
VL - 52
SP - 259
EP - 276
JO - Journal of Economics and Business
JF - Journal of Economics and Business
IS - 3
ER -