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Do the country risk indexes reflect the more important variables that trigger the external crises? An analysis over the 1994-2001

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    Abstract

    The aim of this paper is to establish on what extent the most used country risk indexes, specifically, the Euromoney index and the ICRG, contain decisive variables in the triggering of external crises, as a basic aspect in evaluating its ability to assess appropriately the risk of particular country. To this end, a sample of external crises for the period between 1994 and 2001 has been analysed, obtaining a set of variables that seem to be decisive and common to all episodes, and therefore, they should be included in an adequate country risk index. Comparing these variables with those included in indexes mentioned above, it has been verified that not all of them have direct reflect in the development of both indexes and, consequently, they might show, a priori, significant limitations as ability to predict and assess the country risk.

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    Bibliographic Info

    Article provided by Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE) in its journal Cuadernos de Gestión.

    Volume (Year): 8 (2008)
    Issue (Month): 2 ()
    Pages: 56-80

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    Handle: RePEc:ehu:cuader:20080810

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    Postal: Instituto de Economía Aplicada a la Empresa, Revista Cuadernos de Gestión, Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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    Related research

    Keywords: Financial crises; Country risk indexes; Determining variables; Predicting external crises.;

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    1. Krugman, Paul, 1979. "A Model of Balance-of-Payments Crises," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(3), pages 311-25, August.
    2. Reinhart, Carmen & Kaminsky, Graciela & Lizondo, Saul, 1998. "Leading Indicators of Currency Crises," MPRA Paper 6981, University Library of Munich, Germany.
    3. Obstfeld, Maurice, 1996. "Models of currency crises with self-fulfilling features," European Economic Review, Elsevier, vol. 40(3-5), pages 1037-1047, April.
    4. Stephen W. Salant & Dale W. Henderson, 1976. "Market anticipations, government policy, and the price of gold," International Finance Discussion Papers 81, Board of Governors of the Federal Reserve System (U.S.).
    5. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
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