US real interest rates and default risk in emerging economies

AUTOR(ES)
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

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