An analysis of the effect of currency mismatch on a country’s default risk
The aim of this paper is the measurement of currency mismatch for a selected group of developing and frontier markets in the Central and Eastern Europe and Western Balkan regions and the analysis of the effects of aggregate currency misbalances on particular countries’ risk of default. The...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Faculty of Economics, Belgrade
2014-01-01
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Series: | Ekonomski Anali |
Subjects: | |
Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2014/0013-32641401085J.pdf |
Summary: | The aim of this paper is the measurement of currency mismatch for a selected
group of developing and frontier markets in the Central and Eastern Europe
and Western Balkan regions and the analysis of the effects of aggregate
currency misbalances on particular countries’ risk of default. The empirical
tests provided confirm the positive effect of currency mismatch on default
risk, which is reflected in the behaviour of yield spreads on the government
bonds of the countries under consideration. The higher the negative currency
misbalances are, the higher the EMBI spreads appear to be, and vice versa. |
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ISSN: | 0013-3264 1820-7375 |