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Sovereign Credit Risk in Latin America and Global Common Factors

Manuel Agosin and Juan Díaz-Maureira

in Macroeconomics and Development: Roberto Frenkel and the Economics of Latin America

Published in print:
2016
Published Online:
September 2016
ISBN:
9780231175081
eISBN:
9780231541213
Item type:
chapter
Publisher:
Columbia University Press
DOI:
10.7312/columbia/9780231175081.003.0016
Subject:
Economics and Finance, Macro- and Monetary Economics

the chapter studies the importance of global common factors in the evolution of sovereign credit risk in emerging economies between 2007 and 2012. Using principal component analysis and Kalman ... More


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