English, Article, Journal or magazine article edition: Balance sheet effects and the country risk premium: an empirical investigation Alicia García Herrero; Alicia Garcia Herrero; Juan Carlos Berganza; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/158017
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • BALANCE SHEET EFFECTS AND THE COUNTRY RISK PREMIUM: AN EMPIRICAL INVESTIGATION
Author
  • Alicia García Herrero
  • Alicia Garcia Herrero
  • Juan Carlos Berganza
  • Roberto Chang
Physical Description
  • preprint
Notes
  • RePEc:bde:wpaper:0316
  • This paper investigates empirically whether there is a negative relationship between a country’s risk premium and the balance sheet effect, as implied by recent theories emphasizing financial imperfections. We find evidence that balance sheet effects, stemming from the increase in the external debt service after an unexpected real depreciation, significantly raise the risk premium. We also show that the increase in the risk premium is not due to the debt service as such. While the result holds for the whole sample, we show that it is mainly driven by those countries with the largest financial imperfections, as argued by imperfect capital market theories. Particularly large real depreciations also seem to be disproportionately important, meaning that the balance sheet effects may be strongest at times of economic crisis, when large devaluations occur.
  • balance sheet effects, country risk premium, sovereign spreads
  • RePEc:wpa:wuwpif:0403005
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment