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Determining factors in the measurement of the sovereign risk in the emerging countries/Factores condicionantes en la medición del riesgo soberano en los países emergentes

Author

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  • GARCÍA GÁMEZ, SOFÍA

    () (Instituto Lawrence R. Klein, Centro Gauss, UAM. Tlfno: 91-4974191.)

  • VICÉNS OTERO, JOSÉ

    () (Instituto Lawrence R. Klein, Centro Gauss, UAM. Tlfno: 91-4974191.)

Abstract

Credit ratings have a major impact on a country’s cost for external fi nancing. These ratings may become a great support or an obstacle in the path of emerging economies to international capital markets. Using panel data modelling, we develop a measure of sovereign risk that is highly correlated with credit ratings from internationally renowned agencies such as S & P, Moody’s and Fitch. This model computes reliable estimates of a country’s ability to meet payments on its sovereign debt in foreign currency and predicts changes on ratings by these agencies. In addition, this paper shows how Credit Rating Agencies require economies to exhibit high income levels and a fi rm and stable economic growth as a necessary condition for the fulfi lment of external debt commitment. One of the conclusions that can be extracted from this research is that for a short run context both, liquidity and exchange rate volatility are the most important variables while internal equilibrium and economic reliability are the key parameters for a long run approach. Las valoraciones en torno a la solvencia de una nación que realizan las agencias de califi cación crediticias poseen un notable impacto en el coste fi nanciero externo, constituyéndose, en un pilar de apoyo, o en un obstáculo, en el camino de los países emergentes hacia los mercados fi nancieros de capitales. En el presente trabajo, mediante la utilización de un modelo con datos de panel, se defi ne una medida del riesgo soberano altamente correlacionada con las notas crediticias que elaboran las agencias de mayor prestigio a nivel internacional: Standard & Poor´s, Moody´s Investor Service y Fitch Rating; modelo que determina, fi ablemente, la capacidad de los países emergentes para atender el pago de su deuda soberana en moneda extranjera, así como los cambios en las valoraciones crediticias de dichas agencias. Adicionalmente, en esta investigación se demuestra que las empresas califi cadoras establecen como una condición necesaria para el pago puntual de los compromisos externos, que las economías presentan un elevado nivel de riqueza, así como una senda fi rme y sostenida de crecimiento económico. Asimismo del análisis se desprende que la liquidez y la volatilidad cambiaria son las variables más importantes en el corto plazo, mientras que la solvencia y el equilibrio interno de la economía suponen los factores más importantes en el medio y largo plazo.

Suggested Citation

  • García Gámez, Sofía & Vicéns Otero, José, 2006. "Determining factors in the measurement of the sovereign risk in the emerging countries/Factores condicionantes en la medición del riesgo soberano en los países emergentes," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 24, pages 245-272, Abril.
  • Handle: RePEc:lrk:eeaart:24_1_7
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    References listed on IDEAS

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    Keywords

    Credit Rating Agencies; Sovereign Risk; Debt Crisis; International financial Markets; Panel Data; Emerging Markets/Agencias de Calificación Crediticia; Riesgo Soberano; Crisis de deuda; Mercados Financieros Internacionales; Datos de Panel; Mercados Emergentes.;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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