Interest premium and external position: A time varying approach

Arbeitspapier

The paper reexamines the empirical relationship between external indebtedness and the interest premium on government bonds. We use a broad sample of countries between 1980-2017 that includes advanced, emerging and less-developed economies. We show that the relationship is strongly state-dependent, and it varies both with the international financial climate, and with the level of development. Moreover, while we find some evidence for non-linearity, this is mostly driven by turbulent periods. We carry out a number of robustness exercises, which highlight issues related to sample composition, the choice of the debt measure, and the definition of crisis events.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IEHAS Discussion Papers ; No. MT-DP - 2018/29

Classification and Topics

• Classification: Wirtschaft ; International Lending and Debt Problems ; Open Economy Macroeconomics ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy
• Subject: interest premium ; net foreign assets ; estimation ; country panel ; state dependence

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kónya, István ; Maduko, Franklin
• Event: Veröffentlichung
• (who): Hungarian Academy of Sciences, Institute of Economics
• (where): Budapest
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/222042
• Last update: 10.03.2025, 11:43 AM CET