US real interest rates and default risk in emerging economies


Autoria(s): Foley-Fisher, Nathan; Guimarães, Bernardo de Vasconcellos
Data(s)

12/09/2012

12/09/2012

12/09/2012

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

http://hdl.handle.net/10438/10007

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