Bayesian Analysis of Country Risk Premia in Developing Small Open Economies

• 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
• Institution: Singapore Management University

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,...