Sovereign default, interest rates and political uncertainty in emerging markets

• 成果类型: Article
• 署名作者: Cuadra, Gabriel; Sapriza, Horacio
• 署名单位: Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.05.001
• 发表日期: 2008
• 页码: 78-88
• 关键词: default risk; Sovereign debt; political uncertainty; Interest rates; Small open economy

摘要

A large body of the empirical literature shows that high turnover rates/length of tenure of policymakers and the degree of conflict within a country affects sovereign spreads, debt and default rates. We help to rationalize such claims by including these political features in a dynamic stochastic small open economy model of sovereign debt and default. In this way we offer a complementary approach to the econometric analyses in the literature. Consistent with the data, the quantitative analysis shows that politically unstable and more polarized economies experience higher default rates and larger level and volatility of sovereign interest rate spreads. (C) 2008 Elsevier B.V. All rights reserved.