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Sovereign debt crises in Latin America: a market pressure approach

Citation

Boonman, TM and Jacobs, JPAM and Kuper, GH, Sovereign debt crises in Latin America: a market pressure approach, Emerging Markets Finance and Trade, 51 pp. S80-S93. ISSN 1540-496X (2015) [Refereed Article]

Copyright Statement

Copyright Taylor & Francis Group, LLC

DOI: doi:10.1080/1540496X.2015.1080558

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.

Item Details

Item Type:Refereed Article
Keywords:debt crisis index, receiver operating characteristic (ROC) curve, sovereign debt crises
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Expanding Knowledge
Objective Group:Expanding Knowledge
Objective Field:Expanding Knowledge in Economics
Author:Jacobs, JPAM (Associate Professor Jan Jacobs)
ID Code:110343
Year Published:2015
Deposited By:Tasmanian School of Business and Economics
Deposited On:2016-07-25
Last Modified:2017-02-15
Downloads:0

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