Revisiting the effects of country specific fundamentals on sovereign default risk

Manuel Ramos-Francia () and Jose Rangel ()
Additional contact information
Manuel Ramos-Francia: Banco de México
Authors registered in the RePEc Author Service: Manuel Ramos Francia

Economics Bulletin, 2012, vol. 32, issue 4, 3008-3016

Abstract: This paper re-examines the association of country-specific macroeconomic fundamentals and sovereign risk. Our analysis focuses on 26 countries, including both developed and emerging economies, during the period 2000-2009. For both groups, while inflation and twin deficits are associated with higher sovereign spreads, real growth shows negative effects on default risk. International reserves and exchange rate appreciations are associated with lower default risk in emerging markets.

Keywords: sovereign; risk; macroeconomic; fundamentals; emerging; developed. (search for similar items in EconPapers)
JEL-codes: E0 F3 (search for similar items in EconPapers)
Date: 2012-10-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I4-P288.pdf (application/pdf)

Related works:
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:ebl:ecbull:eb-12-00222

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().