Sovereign debt in emerging market countries: not all of them are serial defaulters

Gilles Dufrénot () and Anne Paret

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Abstract: Avoiding to assign emerging market countries a ‘typical' behaviour, this article considers the heterogeneity across them and through time to predict their sovereign default episodes. Moreover, it focuses on the imbalance between defaulted debt and GDP. For the first time, we use a panel nonlinear regime-switching model whose explanatory factors have a different impact on sovereign default, depending on the regime the country belongs to. We mitigate some common views of the literature (in particular the ‘serial default' theory) and identify countries deserving to be monitored carefully, because of a higher exposure to sovereign default risk.

Keywords: Sovereign debt; PSTR model; emerging countries; vulnerability regimes (search for similar items in EconPapers)
Date: 2018-06-21
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Citations: View citations in EconPapers (2)

Published in Applied Economics, 2018, 50 (59), pp.6406 - 6443. ⟨10.1080/00036846.2018.1486022⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01890440

DOI: 10.1080/00036846.2018.1486022

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