Sovereign Debt Crises in Latin America: A Market Pressure Approach

Date

2015

Authors

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

Journal Title

Journal ISSN

Volume Title

Publisher

M E Sharpe Inc

Abstract

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 sovereign debt crises as illustrated with an investigation of the relationship between sovereign debt crises and business cycles in Latin America.

Description

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Citation

Source

Emerging Markets Finance and Trade

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1080/1540496X.2015.1080558

Restricted until

2037-12-31