A Country Risk Assessment Model and the Asian Crisis
AbstractThis paper estimates country risk using an alternative method to commonly used country risk models by the rating agencies. The paper builds on earlier work and tries to identify empirically the important factors affecting debt service capacity of borrowing countries. In this study we assess the riskiness of 34 developing countries over the period 1986 to 1998 using a two-limit Tobit model. In the model a-year-ahead debt rescheduling ratios are used as the dependent variable. Using the debt rescheduling ratios, we emphasize the role of relative sizes of debt rescheduling in predicting external debt crisis. The model is tested for its predictability of the external debt crises and the results are compared with the rating of S&P and Moody's. A special emphasis is given to the recent Asian crisis and its predictability.
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Bibliographic InfoArticle provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its journal Central Bank Review.
Volume (Year): 1 (2001)
Issue (Month): 1 ()
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Sovereign Rating; Country Risk; Debt Crises;
Find related papers by JEL classification:
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
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- Hajivassiliou, Vassilis A., 1987. "The external debt repayments problems of LDC's : An econometric model based on panel data," Journal of Econometrics, Elsevier, vol. 36(1-2), pages 205-230.
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