Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/77386 
Year of Publication: 
2007
Series/Report no.: 
HEI Working Paper No. 22/2007
Publisher: 
Graduate Institute of International Studies, Geneva
Abstract: 
This paper examines the relative importance of global and domestic factors as a source of macroeconomic fluctuations in Brazil from 1995 to 2004. US and Brazilian credit spreads are encompassed in a near-VAR model, including the main debtrelated domestic variables. The US corporate bond spread is used as a measure of international risk aversion. The relative importance of global factors to the volatility of Brazilian domestic series is singled out by means of a partial identification strategy, whereby foreign variables are treated as block exogenous. The estimates reveal that foreign investors' appetite for risk is an important determinant of the volatility of the macroeconomic Brazilian series and affects the monetary policy transmission channel, as recently suggested by Olivier Blanchard.
Subjects: 
External factors
Credit spreads
External debt
Fiscal dominance
JEL: 
F34
F42
O23
E32
Document Type: 
Working Paper

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