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Country risk ratings and financial crises 1995 - 2001: a survival analysis

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  • Leonardo Bonilla

    ()

  • Andrés Felipe García

    ()

  • Monica Roa

    ()

Abstract

Financial system´s health is a signal of economic growth therefore it is a key indicator toinvestors. As a consequence, one of the main purposes of policymakers is to keep itsstability as well as protect it from foreign activity. Both financial and economic activity ingeneral 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 variablewe propose the use the survival analysis methodology, to analyze falls rating duration andcapability of macroeconomic variables to predict that event. From the analysis, we pointout important differences between developed and emerging economies, with variableswhich stand out exchange risk and economies indebtedness.

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Bibliographic Info

Paper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 004580.

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Length: 23
Date of creation: 26 Mar 2008
Date of revision:
Handle: RePEc:col:000094:004580

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Keywords: financial crises; financial risk; foreign debt; survival models.;

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