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Análisis de las calificaciones de riesgo soberano: el caso uruguayo

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Author Info

  • Fernando Borraz

    ()
    (Banco Central del Uruguay y Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

  • Alejandro Fried

    (Banco Central del Uruguay)

  • Diego Gianelli

    ()
    (Banco Central del Uruguay y Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

Abstract

Analizamos las calificaciones de deuda soberana a partir de modelos logit para una muestra de 53 países entre 2000 y 2010. Dado que la literatura sobre el tema omite un tratamiento diferencial para variables explicativas no estacionarias incorporamos un factor de tendencia que interactúa con el nivel de actividad para balancear las ecuaciones. Concluimos que las calificaciones de deuda soberana dependen de un conjunto de variables macroeconómicas e institucionales y que Uruguay al cierre del 2010 contaba con meritos suficientes para acceder al Grado Inversor. Sin perjuicio de ello, el alto nivel de dolarización interactuaría con los restantes fundamentos generándole a su calificación una alta volatilidad cíclica.

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File URL: http://www.fcs.edu.uy/archivos/2111.pdf
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Bibliographic Info

Paper provided by Department of Economics - dECON in its series Documentos de Trabajo (working papers) with number 2111.

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Length: 31 pages
Date of creation: Aug 2011
Date of revision:
Handle: RePEc:ude:wpaper:2111

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