The Effect of Country Default Risk on Foreign Direct Investment
In this paper we use the structural credit risk methodology of Merton (1974) to estimate country default risk as the country financial risk premium for eight of the largest Latin American economies - Argentina, Bolivia, Brazil, Chile, Colombia, Mexico, Peru and Venezuela - from 1986 to 2000. We test whether and to what extent it affects the amount of foreign direct investment (FDI). We find that the lagged second difference of the financial risk premium is a significant explanatory variable that is robust with respect to the other explanatory variables, including a standard measure of country/political risk, as well as with respect to the individual countries.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 62 (2009)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Phone: +39 010 27041
Fax: +39 010 2704222
Web page: http://www.ge.camcom.it/IT/Tool/ModulisticaEmail:
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jean-Claude Cosset & Jean-Marc Suret, 1995. "Political Risk and the Benefits of International Portfolio Diversification," Journal of International Business Studies, Palgrave Macmillan, vol. 26(2), pages 301-318, June.
- Magnus Blomstrom & Robert E. Lipsey & Mario Zejan, 1992. "What Explains Developing Country Growth?," NBER Working Papers 4132, National Bureau of Economic Research, Inc.
- Nadeem Ul Haque & Manmohan S. Kumar & Nelson Mark & Donald J. Mathieson, 1996.
"The Economic Content of Indicators of Developing Country Creditworthiness,"
IMF Staff Papers,
Palgrave Macmillan, vol. 43(4), pages 688-724, December.
- International Monetary Fund, 1996. "The Economic Content of Indicators of Developing Country Creditworthiness," IMF Working Papers 96/9, International Monetary Fund.
- Bekaert, Geert, 1995. "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review, World Bank Group, vol. 9(1), pages 75-107, January.
- Bekaert, Geert & Harvey, Campbell R., 1997.
"Emerging equity market volatility,"
Journal of Financial Economics,
Elsevier, vol. 43(1), pages 29-77, January.
- Cushman, David O, 1985. "Real Exchange Rate Risk, Expectations, and the Level of Direct Investment," The Review of Economics and Statistics, MIT Press, vol. 67(2), pages 297-308, May.
- Blonigen, Bruce A, 1997. "Firm-Specific Assets and the Link between Exchange Rates and Foreign Direct Investment," American Economic Review, American Economic Association, vol. 87(3), pages 447-65, June.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
- Barrell, Ray & Pain, Nigel, 1996. "An Econometric Analysis of U.S. Foreign Direct Investment," The Review of Economics and Statistics, MIT Press, vol. 78(2), pages 200-207, May.
- Sun, Qian & Tong, Wilson & Yu, Qiao, 2002. "Determinants of foreign direct investment across China," Journal of International Money and Finance, Elsevier, vol. 21(1), pages 79-113, February.
- George Bittlingmayer, 1998. "Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880-1940," Journal of Finance, American Finance Association, vol. 53(6), pages 2243-2257, December.
- Goldberg, Linda S, 1993. "Exchange Rates and Investment in United States Industry," The Review of Economics and Statistics, MIT Press, vol. 75(4), pages 575-88, November.
- Lane, Philip R., 2000.
"International investment positions: a cross-sectional analysis,"
Journal of International Money and Finance,
Elsevier, vol. 19(4), pages 513-534, August.
- Lane, P, 1999. "International Investment Positions: A Cross-Sectional Analysis," Trinity Economics Papers 995, Trinity College Dublin, Department of Economics.
- Dale Weigel, 1970. "Restrictions on Divided Repatriations and the Flow of Direct Investment to Brazil," Journal of International Business Studies, Palgrave Macmillan, vol. 1(2), pages 35-53, June.
When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0003. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Procopio)
If references are entirely missing, you can add them using this form.