Sovereign Debt Crises in Latin America: A Market Pressure Approach

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

    Research output: Contribution to journalArticle

    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.
    Original languageEnglish
    Pages (from-to)S80-S93
    JournalEmerging Markets Finance and Trade
    Volume51
    DOIs
    Publication statusPublished - 2015

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