U.S. Real Interest Rates and Default Risk in Emerging Economies

Nathan C. Foley-Fisher · Bernardo Guimarães

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Global Financial Crisis and Policies Monetary Policy and Economic Impact Credit Risk and Financial Regulations

Abstract

This paper empirically investigates the impact of changes in U.S. real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy‐induced increases in U.S. interest rates starkly raise default risk in emerging market economies. However, the overall correlation between U.S. real interest rates and the risk of default is negative, demonstrating that the effects of other variables dominate the anterior relationship.

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2005Business cycles in emerging economies: the role of interest rates 2011How Sovereign Is Sovereign Credit Risk?2004The impact of monetary policy on asset prices 2003Identification Through Heteroskedasticity 2005Country spreads and emerging countries: Who drives whom?2003Country Spreads and Emerging Countries: Who Drives Whom?2002The Impact of Monetary Policy on Asset Prices 2001How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?

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2010Sovereign default: Which shocks matter?

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