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 |
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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 |
| _version_ | 1811209902068072448 |
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| author | Janković Irena Živković Boško |
| author_facet | Janković Irena Živković Boško |
| author_sort | Janković Irena |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-12T04:46:54Z |
| format | Article |
| id | doaj.art-75e87d70ece340079a165d2c1ccc8780 |
| institution | Directory Open Access Journal |
| issn | 0013-3264 1820-7375 |
| language | English |
| last_indexed | 2024-04-12T04:46:54Z |
| publishDate | 2014-01-01 |
| publisher | Faculty of Economics, Belgrade |
| record_format | Article |
| series | Ekonomski Anali |
| spelling | doaj.art-75e87d70ece340079a165d2c1ccc87802022-12-22T03:47:28ZengFaculty of Economics, BelgradeEkonomski Anali0013-32641820-73752014-01-01592018512110.2298/EKA1401085J0013-32641401085JAn analysis of the effect of currency mismatch on a country’s default riskJanković Irena0Živković Boško1Faculty of Economics, BelgradeFaculty of Economics, BelgradeThe 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.http://www.doiserbia.nb.rs/img/doi/0013-3264/2014/0013-32641401085J.pdfcurrency mismatchdefault riskEMBI spreads |
| spellingShingle | Janković Irena Živković Boško An analysis of the effect of currency mismatch on a country’s default risk Ekonomski Anali currency mismatch default risk EMBI spreads |
| title | An analysis of the effect of currency mismatch on a country’s default risk |
| title_full | An analysis of the effect of currency mismatch on a country’s default risk |
| title_fullStr | An analysis of the effect of currency mismatch on a country’s default risk |
| title_full_unstemmed | An analysis of the effect of currency mismatch on a country’s default risk |
| title_short | An analysis of the effect of currency mismatch on a country’s default risk |
| title_sort | analysis of the effect of currency mismatch on a country s default risk |
| topic | currency mismatch default risk EMBI spreads |
| url | http://www.doiserbia.nb.rs/img/doi/0013-3264/2014/0013-32641401085J.pdf |
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