Sovereign Debt Crises in Latin America: A Market Pressure Approach

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

doi:10.1080/1540496X.2015.1080558

Sovereign Debt Crises in Latin America: A Market Pressure Approach

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

Research output: Contribution to journal › Article

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 language	English
Pages (from-to)	S80-S93
Journal	Emerging Markets Finance and Trade
Volume	51
DOIs	https://doi.org/10.1080/1540496X.2015.1080558
Publication status	Published - 2015

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10.1080/1540496X.2015.1080558

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title = "Sovereign Debt Crises in Latin America: A Market Pressure Approach",

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.",

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AB - 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.

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DO - 10.1080/1540496X.2015.1080558

M3 - Article

SN - 1540-496X

VL - 51

SP - S80-S93

JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

ER -

Sovereign Debt Crises in Latin America: A Market Pressure Approach

Abstract

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