The Effect of Private Sector FX Indebtedness on Sovereign Risk in Emerging Markets

Basit Öğe Kaydı
dc.contributor.authorKucukgode, Haydar Anil
dc.contributor.authorKose, Kamil Ahmet
dc.date.accessioned2025-03-26T17:34:47Z
dc.date.available2025-03-26T17:34:47Z
dc.date.issued2023
dc.departmentİstanbul Esenyurt Üniversitesi
dc.description.abstractIn this study, the spread of default risk on local currency (LC) sovereign bonds serves as the metric for assessing country risk across 17 emerging nations. Despite traditional theoretical views deeming these bonds risk-free or default- free, recent research indicates that they carry a risk premium and are not priced at risk-free interest rates. The intriguing explanation lies in the cost of printing money. When local companies have excessive FC debt funded by LC assets, then printing money to pay LC debt will trigger an inflationary process, eventually ending up with a collapse in the real economy and LC. Thus, we run a panel VAR model, spanning a period between 2010-2020, where LC sovereign default risk, LC public debt, FC public debt, private sector external debt, and external finance need are included in the main model. Results show that public debt in LC and private external debt are found to be positively associated with LC sovereign spread, in line with the literature. However, the observation that the need for one-year external financing relative to gross reserves has a much stronger effect on the country's risk premium than the total effect of private sector external debt and public debt in local or foreign currency represents an original contribution of this study.
dc.identifier.doi10.30784/epfad.1310292
dc.identifier.endpage728
dc.identifier.issn2587-151X
dc.identifier.issue4
dc.identifier.scopusqualityN/A
dc.identifier.startpage696
dc.identifier.trdizinid1217503
dc.identifier.urihttps://doi.org/10.30784/epfad.1310292
dc.identifier.urihttps://search.trdizin.gov.tr/tr/yayin/detay/1217503
dc.identifier.urihttps://hdl.handle.net/20.500.14704/903
dc.identifier.volume8
dc.identifier.wosWOS:001343151200006
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakTR-Dizin
dc.language.isotr
dc.publisherEconomic And Financial Research Assoc - Efad
dc.relation.ispartofEkonomi Politika & Finans Arastirmalari Dergisi
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_WOS_20250326
dc.subjectPanel VAR; Sovereign Risk; Impulse-Response; External Finance Need; Private Sector External Debt
dc.titleThe Effect of Private Sector FX Indebtedness on Sovereign Risk in Emerging Markets
dc.typeArticle

Dosyalar

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
İşletme ve Yönetim Bilimleri Fakültesi Koleksiyonu
TR-Dizin İndeksli Yayınlar Koleksiyonu