Revisiting the Effects of Country Specific Fundamentals on Sovereign Default Risk
Economics Bulletin, Vol. 32 No. 4, pp. 3008-3016, 2012
9 Pages Posted: 21 Nov 2012
Date Written: May 4, 2011
Abstract
This paper re-examines the role of country-specific fundamentals in explaining sovereign risk. Our analysis focuses on 26 countries, including both developed and emerging economies, during a recent sample period. For both groups, while inflation and twin deficits are associated with higher sovereign spreads, real growth shows negative effects on default risk. International reserves and exchange rate appreciations are associated with lower default risk in emerging markets.
Keywords: sovereign risk, macroeconomic fundamentals, emerging, developed
JEL Classification: F32, F34, E44, E60
Suggested Citation: Suggested Citation
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