Working Paper
US real interest rates and default risk in emerging economies
Autor
Foley-Fisher, Nathan
Guimarães, Bernardo de Vasconcellos
Institución
Resumen
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