Country beta

Country beta

Covariance of a national economy's rate of return and the rate of return of the world economy divided by the variance of the world economy.
References in periodicals archive ?
(34) analyzed Australia's country risk using a country beta market model on the lines of Harvey and Zhou (35) and Erb, et al.
W., Modeling Australia's Country Risk: A Country Beta Approach, Journal of Economics and Business, Vol.
"We've reached a point where we cannot help all the animals, we have around 400 dogs in our shelter and we are refusing a lot of dogs," she said, adding that of the three organizations that provide animal shelter in the country BETA was the largest, reflecting the scale of the stray problem in Lebanon.
Following proposition 1, we expect the trade deficit (NX < 0) and the economy's slack (Y' < [Y.sup.*]) to intensify for country Beta, while the reverse is true for country Alpha.
As the output gap increases (due to an increasing trade deficit (NX < 0)) in country Beta, national income falls along with (C), (NS) and tax revenues (T).
The first is a measure of a country's contribution to global financial market risk, frequently called a country beta. It measures the amount of risk that is added to a global investor's portfolio by investing an additional dollar in a particular country.
The country beta rises before and during the outbreak of the Tequila Crisis, although the peak values during the Tequila Crisis are not as high as during the Asian Crisis, when it becomes almost twice as risky as the average world investment opportunity.
Meanwhile, the coefficient on the international sales ratio in the country beta regressions has switched from 0.181 in the first sub-period (consistent with the greater importance of the country factor for highly international firms than for the average firm in Table 3) to -0.191 in the last sub-period.
* Mean Coefficient Inflation of for Country beta rate inflation United States 1.20 4.12 48.34 Austria 3.73 3.33 45.63 Canada 0.24 4.54 70.91 Denmark 0.39 4.46 67.10 France 1.13 4.80 78.38 Germany 1.98 2.85 63.06 Italy 0.59 7.89 57.83 Japan 1.16 1.73 79.05 Korea 0.07 6.25 72.98 Netherlands 2.34 2.52 74.09 Norway 1.34 5.62 64.61 Pakistan 0.77 8.51 33.88 Spain 0.31 7.68 46.72 Sweden 0.72 6.10 55.10 Switzerland 1.95 3.18 59.40 United Kingdom 1.29 5.34 53.23 * Though the betas were calculated from monthly data, they reflect annualized returns on stocks and bonds.
stock market using country level betas estimated from a GARCH model, while Gangemi, Brooks and Faff (1999) considered the convergence of eighteen developed markets utilising cross-sectional, mean reversion-based estimations of OLS-obtained country betas. Studies on the convergence of stock betas across countries have been very limited.
A cursory examination of the estimates of the global betas and the single country betas reveals substantial differences between them.