Country risk ratings and financial crises 1995 - 2001: a survival analysis

Leonardo Bonilla Mejia, Andres Garcia-Suaza and Monica Roa ()

No 4580, Borradores de Economia from Banco de la Republica

Abstract: Financial system´s health is a signal of economic growth therefore it is a key indicator toinvestors. As a consequence, one of the main purposes of policymakers is to keep itsstability as well as protect it from foreign activity. Both financial and economic activity ingeneral are susceptible of crises, as soon as this happen a country may face default risk,which can be measured with long term debt risk rating of countries. Through this variablewe propose the use the survival analysis methodology, to analyze falls rating duration andcapability of macroeconomic variables to predict that event. From the analysis, we pointout important differences between developed and emerging economies, with variableswhich stand out exchange risk and economies indebtedness.

Keywords: financial crises; financial risk; foreign debt; survival models. (search for similar items in EconPapers)
JEL-codes: G15 G28 H81 (search for similar items in EconPapers)
Pages: 23
Date: 2008-03-26
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.banrep.gov.co/docum/ftp/borra499.pdf

Related works:
Working Paper: Country risk ratings and financial crises 1995 - 2001: a survival analysis (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:col:000094:004580

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica
Bibliographic data for series maintained by Clorith Angelica Bahos Olivera ().