US real interest rates and default risk in emerging economies
AUTOR(ES)
Foley-Fisher, Nathan
DATA DE PUBLICAÇÃO
04/08/2011
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
ASSUNTO(S)
real interest rates default risk sovereign debt identification through heteroskedasticity inadimplência (finanças) taxas de juros
ACESSO AO ARTIGO
http://hdl.handle.net/10438/8499Documentos Relacionados
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