Country risk ratings and financial crises 1995 - 2001: a survival analysis
AbstractFinancial system’s health is a signal of economic growth therefore it is a key indicator to investors. As a consequence, one of the main purposes of policymakers is to keep its stability as well as protect it from foreign activity. Both financial and economic activity in general are susceptible of crises, as soon as this happen a country may face default risk, which can be measured with long term debt risk rating of countries. Through this variable we propose the use the survival analysis methodology, to analyze falls rating duration and capability of macroeconomic variables to predict that event. From the analysis, we point out important differences between developed and emerging economies, with variables which stand out exchange risk and economies indebtedness.
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Bibliographic InfoPaper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 499.
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Financial crises; financial risk; foreign debt; survival models. Classification JEL:G15; G28; H81.;
Other versions of this item:
- Leonardo Bonilla & Andrés Felipe García & Monica Roa, 2008. "Country risk ratings and financial crises 1995 - 2001: a survival analysis," BORRADORES DE ECONOMIA 004580, BANCO DE LA REPÚBLICA.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- H81 - Public Economics - - Miscellaneous Issues - - - Governmental Loans; Loan Guarantees; Credits; Grants; Bailouts
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