دانلود مقاله ISI انگلیسی شماره 47228
ترجمه فارسی عنوان مقاله

اثرات ترازنامه و حق ریسک بزهکاران اصلی

عنوان انگلیسی
Balance sheet effects and original sinners’ risk premiums
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
47228 2014 17 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Economic Systems, Volume 38, Issue 4, December 2014, Pages 597–613

ترجمه کلمات کلیدی
تاثیر ترازنامه - حق بیمه ریسک کشور - اروپای در حال ظهور - گناه اصلی
کلمات کلیدی انگلیسی
F31; F34; G15; H63Balance sheet effect; Country risk premiums; Emerging Europe; Euroization; Original sin
پیش نمایش مقاله
پیش نمایش مقاله  اثرات ترازنامه و حق ریسک بزهکاران اصلی

چکیده انگلیسی

This paper describes an empirical model of country risk premiums and their determinants, relying on recent theories of balance sheet effects. We approach the latter by introducing a novel approach to country risk premiums that assumes that nominal exchange rates can move away from or towards equilibrium exchange rates, which allows exchange rate movements towards equilibrium to stimulate favourable competitiveness effects as opposed to adverse balance sheet effects. We investigate eight European emerging economies that suffer from “original sin” over the period 2001–2013, using the pooled mean group estimator of the dynamic panel error correction model. This methodology improves estimation efficiency and model performance, but also allows differentiation between long- and short-run country risk premium determinants. We find that, in the long run, country risk premiums increase in response to higher inflation and a higher total debt-to-GDP ratio, while they move in the opposite direction when the real GDP growth rate rises. Our results suggest that, in the short run, higher external debt service caused by exchange rate depreciation, i.e. the balance sheet effect, and market volatility tends to raise risk premiums, while higher international reserves and the federal funds rate tend to decrease them. Moreover, we show that the negative balance sheet effect is much stronger than the potentially favourable competitiveness effect, and that the rise in risk premiums is not due to the increase in the size of external debt, but to the larger debt burden represented by balance sheet effects.