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Revisiting the effects of country specific fundamentals on sovereign default risk

Author

Listed:
  • Manuel Ramos-Francia

    (Banco de México)

  • José G Rangel

    (Goldman Sachs Group, Inc.)

Abstract

This paper re-examines the association of country-specific macroeconomic fundamentals and sovereign risk. Our analysis focuses on 26 countries, including both developed and emerging economies, during the period 2000-2009. 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.

Suggested Citation

  • Manuel Ramos-Francia & José G Rangel, 2012. "Revisiting the effects of country specific fundamentals on sovereign default risk," Economics Bulletin, AccessEcon, vol. 32(4), pages 3008-3016.
    • Handle: RePEc:ebl:ecbull:eb-12-00222
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I4-P288.pdf
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    References listed on IDEAS

    as
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    Cited by:

    1. Sy-Hoa HO, 2015. "Long-run determinants of sovereign bond index in emerging market: New evidence from asymmetric and nonlinear pass-through," Documents de recherche 15-02, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    2. Serhan Cevik & Belma Öztürkkal, 2021. "Contagion of fear: Is the impact of COVID‐19 on sovereign risk really indiscriminate?," International Finance, Wiley Blackwell, vol. 24(2), pages 134-154, August.
    3. Ho, Sy Hoa, 2016. "Long and short-runs determinants of the sovereign CDS spread in emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 579-590.

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    More about this item

    Keywords

    sovereign; risk; macroeconomic; fundamentals; emerging; developed.;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • E0 - Macroeconomics and Monetary Economics - - General

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