Statistical Properties of Economic Freedom Ratings in Country Risk Analysis

摘要：

Empirical studies have used various edition of an economic freedom index to examine the relationship between economic freedom and other socio-economic variables,such as growth and investment.This paper models rating as a function of expected property rights,derives empirical implications,and tests them using the most comprehensive and consistent series of economic freedom ratings.These are the Heritage Foundation/The Wall Street Journal ratings which have been widely used in the international finance literature.We report two facts: volatility clustering and asymmetric adjustments.

关键词： Risk evaluation Economic freedom rating modeling

作者: Chen Wang Jianping Li Xiaolei Sun

作者单位: School of Economics,genmin University of China,Beijing,100872 Beijing,China Institute of Policy and Management,Chinese Academic of Science,100080 Beijing,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 902-907

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）