Abstract
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.
Original language | English |
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Pages (from-to) | 259-276 |
Number of pages | 18 |
Journal | Journal of Economics and Business |
Volume | 52 |
Issue number | 3 |
Publication status | Published - 1 Dec 2000 |
Externally published | Yes |
Keywords
- Country Beta
- Risk Modeling