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.