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U.S. Real Interest Rates and Default Risk in Emerging Economies

Year: 2013

Type: article

Abstract: This paper empirically investigates the impact of changes in U.S. real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy‐induced increases in U.S. interest rates starkly raise default risk in emerging market economies. However, the overall correlation between U.S. real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship.

Source: Journal of money credit and banking

DOI: 10.1111/jmcb.12033

Authors: NATHAN FOLEY‐FISHER, BERNARDO GUIMARAES

Institutions: Federal Reserve Board of Governors, Fundação Getulio Vargas

Language: English

Topic: Global Financial Crisis and Policies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Decent work and economic growth

Open Access status: green

Funders: London School of Economics and Political Science, Economic and Social Research Council