Are Sovereign Debt Crises Fundamentals Decoupling from Global Factors?

Next week on Monday the 7^th of April Tomasz will present his latest paper entitled “Are Sovereign Debt Crises Fundamentals Decoupling from Global Factors?”. As usual the presentation will be in R2 from 12:15-14:00. The paper assesses the extent to which common factors drive key measures of vulnerability to sovereign debt crises in emerging market economies (EMEs) and whether this link is changing over time. Employing a Bayesian Dynamic Common Factor model to estimate common components in indicators of liquidity, solvency and macroeconomic performance in a sample of 33 EMEs, the authors find that the common drivers of these measures can be associated with global economic conditions such as measures of liquidity, commodity prices and US growth. They account on average for 40% of the variation in debt crises fundamentals. Furthermore do the authors find that debt crises fundamentals are as dependent on external conditions today as they have been in the past. See you at the presentation.