US real interest rates and default risk in emerging economies
Data(s) |
12/09/2012
12/09/2012
12/09/2012
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Resumo |
This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship |
Identificador |
TD 295 |
Relação |
Textos para discussão EESP;TD 295 |
Palavras-Chave | #Real interest rates #Default risk #Sovereign debt #Identification through heteroskedasticity #Taxas de juros #Inadimplência (Finanças) #Administração de risco |
Tipo |
Working Paper |