US real interest rates and default risk in emerging economies

Nathan Foley-Fisher and Bernardo Guimaraes

No 295, Textos para discussão from FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

Abstract: 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

Date: 2012-09-12
New Economics Papers: this item is included in nep-opm
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: U.S. Real Interest Rates and Default Risk in Emerging Economies (2013)
Journal Article: U.S. Real Interest Rates and Default Risk in Emerging Economies (2013)
Working Paper: U.S. real interest rates and default risk in emerging economies (2012)
Working Paper: US Real Interest Rates and Default Risk in Emerging Economies (2009)
Working Paper: US real interest rates and default risk in emerging economies (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:eesptd:295

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