eCite Digital Repository

Sovereign debt crises in Latin America: a market pressure approach


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


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
UTAS Author:Jacobs, JPAM (Associate Professor Jan Jacobs)
ID Code:110343
Year Published:2015
Web of Science® Times Cited:3
Deposited By:TSBE
Deposited On:2016-07-25
Last Modified:2017-02-15

Repository Staff Only: item control page