Erschienen in:FRB International Finance Discussion Paper ; No. 1051
Umfang:
1 Online-Ressource (28 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2130610
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 10, 2012 erstellt
Beschreibung:
This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases in US interest rates starkly raise default risk in emerging market economies. However, the overall correlation between US real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship