文章基本信息

标题：US Real Interest Rates and Default Risk in Emerging Economies
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作者：Nathan Foley-Fisher ; Bernardo Guimaraes
期刊名称：CEP Discussion Paper
出版年度：2009
卷号：2009
期号：oct
出版社：Centre for Economic Performance
摘要：We empirically analyse the appropriateness of indexing emerging market sovereign debt to US real interest rates. We find that policy-induced exogenous increases in US rates raise default risk in emerging market economies, as hypothesised in the theoretical literature. However, we also find evidence that omitted variables which simultaneously increase US real interest rates and reduce the risk of default dominate the hypothesised relationship. We can only conclude that it’s not a good idea to index emerging market bonds to US real interest rates.
关键词：real interest rates; default, sovereign debt, identification through heteroskedasticity