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Sovereign Debt Crises in Latin America: A Market Pressure Approach

Boonman, Tjeerd M.; Jacobs, Jan; Kuper, Gerard H.


We construct a continuous sovereign debt crisis index for four large Latin American countries for the period 1870-2012. To obtain the optimal set of indicators and the optimal value of the threshold for dating crises we apply the receiver operating characteristic (ROC) curve. Our sovereign debt crisis index is a weighted average of three indicators: the debt-to-GDP ratio, the external interest rate spread, and the exports-to-imports ratio. The continuous index allows a more advanced analysis of...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Emerging Markets Finance and Trade
DOI: 10.1080/1540496X.2015.1080558


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