Table 7: Panel A: Political Risk, Economic Risk and Financial Risk

Summary Statistics
A. Summary Statistics
Risk Measures
Country Source Sample Monthly Monthly Monthly Monthly Start of Sample End of Sample Sample Average
Start Arithmetic Geometric Standard Beta vs. Country ICRG ICRG ICRG ICRG Country ICRG ICRG ICRG ICRG Country ICRG ICRG ICRG ICRG
Return Return Deviation World Credit Composite Political Financial Economic Credit Composite Political Financial Economic Credit Composite Political Financial Economic
Argentina IFC Jan-84 66.0% 22.0% 98.6% -0.15 28.2 40.0 50.0 15.0 15.0 38.9 71.5 75.0 36.0 31.5 25.0 52.8 62.1 22.7 20.5
Australia MSCI Jan-84 18.3% 13.3% 26.1% 0.83 84.6 83.0 87.0 41.5 37.5 70.9 82.5 84.0 44.0 37.0 73.1 80.3 81.0 42.3 37.1
Austria MSCI Jan-84 24.8% 20.8% 27.5% 0.51 81.7 90.0 93.0 45.0 41.5 86.2 83.5 80.0 47.0 40.0 83.9 86.4 86.6 46.2 39.8
Belgium MSCI Jan-84 25.5% 24.0% 20.4% 0.90 72.9 83.0 87.0 42.5 36.5 78.6 83.0 79.0 46.0 40.5 77.6 81.3 80.1 44.5 37.9
Brazil IFC Jan-84 39.6% 19.4% 68.2% 0.66 37.6 46.0 55.0 20.0 16.0 33.4 62.5 63.0 34.0 27.5 29.6 59.0 64.9 29.6 23.2
Canada MSCI Jan-84 9.3% 8.1% 16.0% 0.70 87.1 85.0 86.0 44.0 40.0 80.2 83.0 81.0 46.0 39.0 84.7 83.7 82.6 45.9 38.6
Chile IFC Jan-84 44.7% 40.4% 28.4% 0.27 32.8 48.0 49.0 23.5 23.5 55.6 79.5 75.0 43.0 41.0 36.1 62.2 58.5 35.3 30.5
China IFC Jan-93 8.0% -15.8% 81.9% 0.35 54.9 77.0 75.0 37.0 41.5 57.6 71.5 69.0 39.0 34.5 57.6 68.9 67.2 39.1 33.2
Colombia IFC Jan-85 38.9% 40.1% 31.2% 0.09 44.9 57.5 63.0 28.0 24.0 45.7 69.5 63.0 40.0 36.0 38.7 62.5 57.8 34.4 32.5
Czech Republic IFC Jan-95 -27.7% -25.2% 14.7% 0.30 52.8 81.0 78.0 42.0 41.5 55.8 82.0 80.0 42.0 42.0 54.9 81.4 78.9 42.0 41.6
Denmark MSCI Jan-84 18.2% 12.5% 20.7% 0.71 68.9 87.0 93.0 42.5 37.5 79.3 86.0 82.0 48.0 41.5 73.5 83.8 85.9 43.2 38.2
Finland MSCI Jan-88 13.3% 10.2% 27.3% 0.92 78.2 85.5 92.0 44.0 34.5 70.0 83.5 84.0 43.0 39.5 74.6 81.9 85.2 43.7 34.6
France MSCI Jan-84 21.9% 19.6% 22.8% 1.05 78.8 81.0 81.0 40.5 40.5 89.0 83.5 83.0 44.0 40.0 85.1 80.8 79.6 44.2 37.6
Germany MSCI Jan-84 20.5% 17.4% 23.0% 0.86 93.5 89.0 88.0 47.0 42.5 90.6 84.5 82.0 47.0 40.0 92.2 86.7 83.3 48.5 41.3
Greece IFC Jan-84 28.3% 20.1% 41.0% 0.45 54.1 58.0 63.0 24.5 27.5 49.1 74.5 76.0 36.0 36.5 48.6 62.8 63.5 30.6 31.1
Hong Kong MSCI Jan-84 27.1% 25.8% 28.9% 0.94 70.8 72.0 67.0 40.0 37.5 67.0 81.5 73.0 46.0 43.5 66.9 73.4 67.2 40.7 38.6
Hungary IFC Jan-93 3.2% -3.6% 39.4% 1.68 41.7 66.5 70.0 35.0 36.5 46.4 74.5 78.0 40.0 30.5 46.0 73.2 75.0 40.0 32.5
India IFC Jan-84 19.3% 13.8% 32.6% -0.21 46.2 58.0 60.0 29.0 26.5 44.2 68.5 64.0 37.0 36.0 45.1 54.5 48.9 29.5 30.5
Indonesia IFC Jan-90 7.8% 3.1% 31.1% 0.25 43.9 49.0 41.0 23.0 35.5 51.9 70.5 63.0 40.0 37.5 50.4 67.5 57.4 41.2 36.2
Ireland MSCI Jan-88 14.6% 12.9% 22.2% 1.08 62.3 80.0 79.0 43.0 38.0 72.3 82.5 83.0 43.0 38.5 67.5 79.6 78.0 42.8 38.1
Italy MSCI Jan-84 18.3% 14.8% 27.2% 0.92 70.7 77.0 79.0 40.5 33.5 72.4 76.0 72.0 41.0 39.0 76.0 77.4 74.2 43.5 36.9
Japan MSCI Jan-84 18.5% 15.5% 26.9% 1.41 95.1 91.0 92.0 46.5 43.0 91.9 86.5 81.0 48.0 44.0 93.7 88.1 85.0 48.5 42.4
Jordan IFC Jan-84 9.5% 6.5% 16.6% 0.13 37.0 53.0 46.0 25.0 34.5 26.3 74.0 74.0 35.0 39.0 29.9 56.1 51.4 26.1 34.4
Malaysia IFC Jan-85 16.9% 14.2% 27.2% 0.73 67.4 71.0 71.0 33.0 38.0 68.6 80.5 76.0 43.0 42.0 61.3 72.3 67.1 37.5 39.8
Mexico IFC Jan-84 41.4% 26.8% 46.1% 0.75 33.9 56.0 66.0 22.0 24.0 46.9 64.5 66.0 36.0 26.5 36.9 64.1 67.7 32.0 28.1
Netherlands MSCI Jan-84 21.5% 21.0% 16.2% 0.82 85.4 92.0 93.0 47.5 44.0 89.0 86.0 84.0 47.0 40.5 87.4 87.6 86.6 46.7 41.7
New Zealand MSCI Jan-88 10.4% 7.6% 25.2% 0.72 65.5 85.0 90.0 45.0 35.0 68.2 83.5 84.0 46.0 36.5 64.3 82.5 82.3 45.8 36.8
Nigeria IFC Jan-85 17.6% 0.7% 54.9% 0.34 29.9 41.0 43.0 17.0 21.5 17.5 52.5 53.0 26.0 26.0 20.5 49.9 47.6 23.8 28.2
Norway MSCI Jan-84 17.5% 13.9% 26.2% 0.99 85.5 91.0 94.0 46.5 41.5 80.3 87.5 84.0 46.0 44.5 80.7 86.9 85.4 46.3 42.0
Pakistan IFC Jan-85 19.3% 17.9% 24.1% 0.01 23.8 48.0 40.0 22.0 34.0 30.1 60.0 56.0 33.0 30.5 29.2 48.7 40.1 24.8 32.3
Peru IFC Jan-93 43.4% 41.5% 42.0% 1.57 14.3 45.5 37.0 28.0 22.5 23.7 61.5 57.0 31.0 35.0 19.7 57.6 53.2 31.3 27.8
Philippines IFC Jan-85 42.3% 43.8% 36.9% 0.77 22.2 41.5 39.0 17.0 26.5 35.4 67.5 62.0 37.0 35.5 25.0 51.5 46.4 25.9 30.3
Poland IFC Jan-93 98.2% 86.6% 92.9% 3.74 25.6 65.0 63.0 33.0 36.0 35.7 78.0 80.0 39.0 36.5 32.3 75.5 76.6 38.1 35.9
Portugal IFC Jan-86 31.6% 25.7% 44.0% 1.14 39.2 54.0 62.0 20.0 25.5 46.9 64.5 66.0 36.0 26.5 67.2 79.5 75.0 42.6 40.9
Singapore MSCI Jan-84 18.2% 11.1% 24.9% 0.84 78.1 85.0 89.0 41.0 39.5 83.0 85.5 80.0 48.0 42.5 77.9 81.8 79.5 43.9 40.0
South Africa IFC Jan-93 39.0% 42.6% 25.3% 0.73 39.3 66.0 67.0 30.0 37.0 42.5 75.5 74.0 41.0 35.5 40.0 73.1 72.1 37.3 36.6
South Korea IFC Jul-85 22.9% 19.9% 28.1% 0.57 57.9 64.5 63.0 31.0 35.0 71.4 81.5 77.0 46.0 39.5 65.5 74.6 67.2 43.7 37.9
Spain MSCI Jan-84 21.1% 22.1% 25.4% 1.09 62.1 70.0 69.0 37.0 33.5 73.7 74.5 71.0 41.0 37.0 72.5 74.3 71.1 40.7 36.5
Sri Lanka IFC Jan-93 12.9% 7.8% 33.4% -0.12 23.4 50.0 38.0 29.0 36.0 32.4 69.5 65.0 36.0 37.5 29.4 62.6 56.3 32.7 35.9
Sweden MSCI Jan-84 22.8% 17.5% 23.8% 1.02 77.0 86.0 90.0 44.0 38.5 74.4 81.5 81.0 43.0 39.0 78.2 84.0 85.1 45.1 37.7
Switzerland MSCI Jan-84 22.2% 19.7% 18.8% 0.86 95.3 95.0 97.0 47.5 44.5 92.5 88.5 85.0 50.0 41.5 93.6 92.4 91.9 49.9 42.6
Taiwan IFC Jan-85 33.3% 22.3% 50.8% 0.73 69.5 81.5 78.0 42.0 42.5 79.7 84.5 77.0 48.0 43.5 76.4 83.2 76.3 46.8 43.1
Thailand IFC Jan-84 32.5% 28.1% 29.8% 0.60 52.2 63.0 60.0 31.0 35.5 63.5 73.0 63.0 42.0 41.0 57.9 66.9 59.7 37.0 36.9
Turkey IFC Jan-87 45.1% 24.6% 71.7% 0.30 26.0 56.0 57.0 25.5 28.5 40.7 62.5 59.0 36.0 29.5 42.2 55.4 54.9 28.1 27.7
U.K. MSCI Jan-84 19.2% 17.0% 21.1% 1.08 89.3 86.0 90.0 46.0 35.0 87.7 78.5 77.0 46.0 34.0 86.7 82.3 80.8 47.6 35.9
U.S. MSCI Jan-84 15.3% 15.2% 14.9% 0.73 96.4 91.0 95.0 47.5 40.0 90.4 83.0 80.0 48.0 37.5 91.3 84.7 82.7 48.6 37.8
Venezuela IFC Jan-85 21.0% 11.1% 45.4% -0.24 37.4 63.5 67.0 25.0 35.0 33.1 66.0 65.0 33.0 34.0 36.4 64.4 66.1 31.3 31.2
Zimbabwe IFC Jan-84 28.1% 26.3% 33.3% 0.10 20.7 42.0 38.0 23.5 23.0 30.7 66.5 67.0 33.0 32.5 25.0 52.3 52.6 25.5 26.3
All returns in US Dollars.
Beta versus World refers to MSCI World Index in US Dollars.

Last Update: 5/28/96

Name: Campbell R. Harvey

Email: charvey@mail.duke.edu