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Journal Articles Applied Economics Year : 2018

Sovereign debt in emerging market countries: not all of them are serial defaulters

Abstract

Avoiding to assign emerging market countries a ‘typical’ behaviour, this article considers the heterogeneity across them and through time to predict their sovereign default episodes. Moreover, it focuses on the imbalance between defaulted debt and GDP. For the first time, we use a panel nonlinear regime-switching model whose explanatory factors have a different impact on sovereign default, depending on the regime the country belongs to. We mitigate some common views of the literature (in particular the ‘serial default’ theory) and identify countries deserving to be monitored carefully, because of a higher exposure to sovereign default risk.
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Dates and versions

hal-01890440 , version 1 (08-10-2018)

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Gilles Dufrénot, Anne-Charlotte Paret. Sovereign debt in emerging market countries: not all of them are serial defaulters. Applied Economics, 2018, 50 (59), pp.6406 - 6443. ⟨10.1080/00036846.2018.1486022⟩. ⟨hal-01890440⟩
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