Sovereign Defaults: The Role of Volatility
While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper presents new econometric estimates for a panel of 25 emerging market countries over 1970-2...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2002
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Schriftenreihe: | IMF Working Papers
Working Paper No. 02/149 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
Zusammenfassung: | While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper presents new econometric estimates for a panel of 25 emerging market countries over 1970-2001, breaking down aggregate volatility into its external and domestic policy components. We find that countries with historically higher macroeconomic volatility are more prone to default, and particularly so if part of this volatility is policy-induced. Reducing policy volatility thus appears to be key to improving a country''s credit standing |
Beschreibung: | 1 Online-Ressource (26 p) |
ISBN: | 1451856903 9781451856903 |
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spelling | Sutton, Bennett Verfasser aut Sovereign Defaults The Role of Volatility Sutton, Bennett Washington, D.C International Monetary Fund 2002 1 Online-Ressource (26 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 02/149 While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper presents new econometric estimates for a panel of 25 emerging market countries over 1970-2001, breaking down aggregate volatility into its external and domestic policy components. We find that countries with historically higher macroeconomic volatility are more prone to default, and particularly so if part of this volatility is policy-induced. Reducing policy volatility thus appears to be key to improving a country''s credit standing Online-Ausg Catão, Luis Sonstige oth http://elibrary.imf.org/view/IMF001/06365-9781451856903/06365-9781451856903/06365-9781451856903.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Sutton, Bennett Sovereign Defaults The Role of Volatility |
title | Sovereign Defaults The Role of Volatility |
title_auth | Sovereign Defaults The Role of Volatility |
title_exact_search | Sovereign Defaults The Role of Volatility |
title_exact_search_txtP | Sovereign Defaults The Role of Volatility |
title_full | Sovereign Defaults The Role of Volatility Sutton, Bennett |
title_fullStr | Sovereign Defaults The Role of Volatility Sutton, Bennett |
title_full_unstemmed | Sovereign Defaults The Role of Volatility Sutton, Bennett |
title_short | Sovereign Defaults |
title_sort | sovereign defaults the role of volatility |
title_sub | The Role of Volatility |
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