US real interest rates and default risk in emerging economies

dc.contributorEscolas::EESP
dc.creatorFoley-Fisher, Nathan
dc.creatorGuimarães, Bernardo de Vasconcellos
dc.date.accessioned2012-09-12T17:35:45Z
dc.date.available2012-09-12T17:35:45Z
dc.date.created2012-09-12T17:35:45Z
dc.date.issued2012-09-12
dc.identifierTD 295
dc.identifierhttp://hdl.handle.net/10438/10007
dc.description.abstractThis 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
dc.languageeng
dc.relationTextos para discussão EESP;TD 295
dc.subjectReal interest rate
dc.subjectDefault risk
dc.subjectSovereign debt
dc.subjectIdentification through heteroskedasticity
dc.titleUS real interest rates and default risk in emerging economies
dc.typeWorking Paper


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