Foley-Fisher, Nathan and Guimaraes, Bernardo (2009) US real interest rates and default risk in emerging economies. CEP Discussion Paper (952). London School of Economics and Political Science. Centre for Economic Performance, London, UK.
|
PDF
Download (1MB) | Preview |
Abstract
We empirically analyse the appropriateness of indexing emerging market sovereign debt to US real interest rates. We find that policy-induced exogenous increases in US rates raise default risk in emerging market economies, as hypothesised in the theoretical literature. However, we also find evidence that omitted variables which simultaneously increase US real interest rates and reduce the risk of default dominate the hypothesised relationship. We can only conclude that it’s not a good idea to index emerging market bonds to US real interest rates.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://cep.lse.ac.uk/ |
| Additional Information: | © 2009 The authors |
| Divisions: | Centre for Economic Performance |
| Subjects: | H Social Sciences > HB Economic Theory E History America > E151 United States (General) |
| JEL classification: | F - International Economics > F3 - International Finance > F34 - International Lending and Debt Problems G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets |
| Date Deposited: | 16 Jul 2010 15:11 |
| Last Modified: | 11 Dec 2024 18:57 |
| URI: | http://eprints.lse.ac.uk/id/eprint/28683 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics