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

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

3 Citations (Scopus)

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 - 6 Nov 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.",

keywords = "debt crisis index, receiver operating characteristic (ROC) curve, sovereign debt crises",

author = "Boonman, \{Tjeerd M.\} and Jacobs, \{Jan P.A.M.\} and Kuper, \{Gerard H.\}",

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year = "2015",

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doi = "10.1080/1540496X.2015.1080558",

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T2 - A Market Pressure Approach

AU - Boonman, Tjeerd M.

AU - Jacobs, Jan P.A.M.

AU - Kuper, Gerard H.

PY - 2015/11/6

Y1 - 2015/11/6

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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.

KW - debt crisis index

KW - receiver operating characteristic (ROC) curve

KW - sovereign debt crises

UR - https://www.scopus.com/pages/publications/84944064041

U2 - 10.1080/1540496X.2015.1080558

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

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