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

Ramos-Francia, Manuel and Rangel, Jose Gonzalo, Revisiting the Effects of Country Specific Fundamentals on Sovereign Default Risk (May 4, 2011). Economics Bulletin, Vol. 32 No. 4, pp. 3008-3016, 2012, Available at SSRN: https://ssrn.com/abstract=2178794

Manuel Ramos-Francia

Banco de México

Jose Gonzalo Rangel (Contact Author)

Banorte Financial Group

Prol. Reforma 1230
Mexico City, CDMX 05349
Mexico

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
68
Abstract Views
466
rank
425,639
PlumX Metrics