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Sobre los diferenciales y clasificaciones soberanos de economías emergentes

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Author Info
Andrew Powell
Juan F. Martinez S.

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Abstract

En este trabajo se analizan modelos alternativos de clasificación soberana emergente. Aunque un número pequeño de indicadores económicos fundamentales explica las clasificaciones de manera razonablemente precisa, las variaciones de esos indicadores económicos fundamentales se pueden explicar, en sí mismas, por un puñado de factores mundiales. Por otro lado, hay que tomar en cuenta además las variables financieras mundiales relacionadas con la aversión al riesgo para poder explicar la considerable reducción de los diferenciales a finales de 2006. La prueba es que las clasificaciones sí importan. Por último, el trabajo descubre que los indicadores mundiales de aversión al riesgo han perdido importancia para los diferenciales de mercados emergentes y que el efecto de los últimos acontecimientos en la situación de préstamos hipotecarios de alto riesgo en EE. UU. es de menor magnitud que el efecto de las “noticias promedio” sobre los diferenciales de canjes de incumplimiento crediticio de las economías emergentes.

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Paper provided by Inter-American Development Bank, Research Department in its series RES Working Papers with number 4566.

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Date of creation: Jan 2008
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Handle: RePEc:idb:wpaper:4566

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  5. Paolo Manasse & Axel Schimmelpfennig & Nouriel Roubini, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 03/221, International Monetary Fund. [Downloadable!]
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  7. Anastasia Guscina & Olivier Jeanne, 2006. "Government Debt in Emerging Market Countries: A New Data Set," IMF Working Papers 06/98, International Monetary Fund. [Downloadable!]
  8. Barry Eichengreen & Ashoka Mody, 2000. "What Explains Changing Spreads on Emerging Market Debt?," NBER Chapters, in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 107-136 National Bureau of Economic Research, Inc. [Downloadable!]
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