Sovereign Debt Crises in Latin America: A Market Pressure Approach

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

doi:10.1080/1540496X.2015.1080558

Sovereign Debt Crises in Latin America: A Market Pressure Approach

Tjeerd M. Boonman^*, Jan P. A. M. Jacobs, Gerard H. Kuper

^*Corresponding author for this work

Economics, Econometrics and Finance

Research output: Contribution to journal › Article › Academic › peer-review

3 Citations (Scopus)

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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
Number of pages	14
Journal	Emerging Markets Finance and Trade
Volume	51
Issue number	supplement 6
DOIs	https://doi.org/10.1080/1540496X.2015.1080558
Publication status	Published - 2015

Keywords

debt crisis index
receiver operating characteristic (ROC) curve
sovereign debt crises
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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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KW - receiver operating characteristic (ROC) curve

KW - sovereign debt crises

KW - DEFAULT

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JO - Emerging Markets Finance and Trade

JF - Emerging Markets Finance and Trade

IS - supplement 6

ER -

Sovereign Debt Crises in Latin America: A Market Pressure Approach

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