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Sobre los diferenciales y clasificaciones soberanos de economías emergentes

  • Andrew Powell
  • Juan F. Martinez S.

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 Research Department Publications 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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  1. António Afonso & Pedro Gomes & Philipp Rother, 2006. "What “Hides” Behind Sovereign Debt Ratings?," Working Papers Department of Economics 2006/35, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  2. Guillermo Calvo & Alejandro Izquierdo & Luis-Fernando Mejía, 2004. "On the empirics of Sudden Stops: the relevance of balance-sheet effects," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  3. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
  4. Guillermo A. Calvo & Enrique G. Mendoza, 1999. "Regional Contagion and the Globalization of Securities Markets," NBER Working Papers 7153, National Bureau of Economic Research, Inc.
  5. Marcio Garcia & Roberto Rigobon, 2004. "A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data," NBER Working Papers 10336, National Bureau of Economic Research, Inc.
  6. Kevin Cowan & Eduardo Levy-Yeyati & Ugo Panizza & Federico Sturzenegger, 2006. "Sovereign Debt in the Americas: New Data and Stylized Facts," Working Papers Central Bank of Chile 371, Central Bank of Chile.
  7. Axel Schimmelpfennig & Nouriel Roubini & Paolo Manasse, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 03/221, International Monetary Fund.
  8. Mora, Nada, 2006. "Sovereign credit ratings: Guilty beyond reasonable doubt?," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 2041-2062, July.
  9. 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 107-134 National Bureau of Economic Research, Inc.
  10. Anastasia Guscina & Olivier Jeanne, 2006. "Government Debt in Emerging Market Countries; A New Data Set," IMF Working Papers 06/98, International Monetary Fund.
  11. Hausmann, Ricardo & Panizza, Ugo, 2003. "On the determinants of Original Sin: an empirical investigation," Journal of International Money and Finance, Elsevier, vol. 22(7), pages 957-990, December.
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