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Country risk ratings and financial crises 1995 - 2001: a survival analysis

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  • Leonardo Bonilla
  • Andrés Felipe García
  • Monica Roa

Abstract

Financial system´s health is a signal of economic growth therefore it is a key indicator toinvestors. As a consequence, one of the main purposes of policymakers is to keep itsstability as well as protect it from foreign activity. Both financial and economic activity ingeneral are susceptible of crises, as soon as this happen a country may face default risk,which can be measured with long term debt risk rating of countries. Through this variablewe propose the use the survival analysis methodology, to analyze falls rating duration andcapability of macroeconomic variables to predict that event. From the analysis, we pointout important differences between developed and emerging economies, with variableswhich stand out exchange risk and economies indebtedness.

Suggested Citation

  • Leonardo Bonilla & Andrés Felipe García & Monica Roa, 2008. "Country risk ratings and financial crises 1995 - 2001: a survival analysis," Borradores de Economia 4580, Banco de la Republica.
    • Handle: RePEc:col:000094:004580
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    Keywords

    financial crises; financial risk; foreign debt; survival models.;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts

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