Bayesian Analysis of Country Risk Premia in Developing Small Open Economies

Bayesian Analysis of Country Risk Premia in Developing Small Open Economies

This thesis studies a model presented by Neumeyer & Perri (2005), which aims to explain the strong countercyclicality of interest rates and net exports in emerging market economies. The model accomplishes this by decomposing interest rates into an international rate and a country risk component,...

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Bibliographic Details
Main Author: CONTI, Seigmund Vincent Roque
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
small open economy
bayesian DSGE
real business cycles
country risk premium
interest rate shocks
countercyclical interest rates
Econometrics
Economic Policy
Finance
Online Access:https://ink.library.smu.edu.sg/etd_coll/73
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1072&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/73
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1072&context=etd_coll

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