US real interest rates and default risk in emerging economies

Detalhes bibliográficos
Autor(a) principal: Foley-Fisher, Nathan
Data de Publicação: 2012
Outros Autores: Guimarães, Bernardo de Vasconcellos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/10007
Resumo: 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
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spelling Foley-Fisher, NathanGuimarães, Bernardo de VasconcellosEscolas::EESP2012-09-12T17:35:45Z2012-09-12T17:35:45Z2012-09-12TD 295http://hdl.handle.net/10438/10007This 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 relationshipengTextos para discussão EESP;TD 295Real interest rateDefault riskSovereign debtIdentification through heteroskedasticityEconomiaTaxas de jurosInadimplência (Finanças)Administração de riscoUS real interest rates and default risk in emerging economiesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 295 - C-Micro 13 - Nathan Foley-Fisher e Bernardo Guimaraes.pdfTD 295 - C-Micro 13 - Nathan Foley-Fisher e Bernardo Guimaraes.pdfapplication/pdf1171508https://repositorio.fgv.br/bitstreams/63099b68-bb96-4d22-801d-1a3fe0b9bdfa/download9a2ab2c913660a900cb964b72e96b6fdMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv US real interest rates and default risk in emerging economies
title US real interest rates and default risk in emerging economies
spellingShingle US real interest rates and default risk in emerging economies
Foley-Fisher, Nathan
Real interest rate
Default risk
Sovereign debt
Identification through heteroskedasticity
Economia
Taxas de juros
Inadimplência (Finanças)
Administração de risco
title_short US real interest rates and default risk in emerging economies
title_full US real interest rates and default risk in emerging economies
title_fullStr US real interest rates and default risk in emerging economies
title_full_unstemmed US real interest rates and default risk in emerging economies
title_sort US real interest rates and default risk in emerging economies
author Foley-Fisher, Nathan
author_facet Foley-Fisher, Nathan
Guimarães, Bernardo de Vasconcellos
author_role author
author2 Guimarães, Bernardo de Vasconcellos
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Foley-Fisher, Nathan
Guimarães, Bernardo de Vasconcellos
dc.subject.eng.fl_str_mv Real interest rate
Default risk
Sovereign debt
Identification through heteroskedasticity
topic Real interest rate
Default risk
Sovereign debt
Identification through heteroskedasticity
Economia
Taxas de juros
Inadimplência (Finanças)
Administração de risco
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Taxas de juros
Inadimplência (Finanças)
Administração de risco
description 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
publishDate 2012
dc.date.accessioned.fl_str_mv 2012-09-12T17:35:45Z
dc.date.available.fl_str_mv 2012-09-12T17:35:45Z
dc.date.issued.fl_str_mv 2012-09-12
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/10007
dc.identifier.sici.none.fl_str_mv TD 295
identifier_str_mv TD 295
url http://hdl.handle.net/10438/10007
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Textos para discussão EESP;TD 295
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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