COUNTRY RISK AND THE PREMIUM ON CREDIT DEFAULT SWAP OF EMERGING ECONOMIES: AN EMPIRICAL ANALYSIS
- 주제(키워드) Country risk , Credit default swap (CDS) premium , Emerging economies
- 발행기관 고려대학교 국제대학원
- 지도교수 강문성
- 발행년도 2012
- 학위수여년월 2012. 2
- 학위구분 석사
- 학과 국제대학원 국제학과
- 세부전공 국제통상전공
- 원문페이지 73 p
- 실제URI http://www.dcollection.net/handler/korea/000000033735
- 본문언어 영어
- 제출원본 000045692671
초록/요약
Country risk is an important issue for every investor, whether domestic or foreign, when selecting a destination of investment from several alternatives. Country risk is even more important in emerging economies that have higher uncertainty in their institutions. Thus, understanding the country risk of emerging markets is a key element prior to making a decision on an investment in emerging markets. On this ground, this dissertation analyzed the factors of country risk in emerging economies. A number of indicators of country risk available in the market were discussed in order to understand how the numbers and indices on country risk are calculated and published. Then, the effect of country risk on emerging economies is examined in terms of the level of domestic economic growth and foreign direct investment. Next, the analysis of country risk is empirically tested for significant macroeconomic determinants of the sovereign credit default swap (CDS) premium in 19 emerging economies across Asia, Latin America, Eastern Europe and Africa during the 2000s with a multiple regression model. The results of the regression analysis suggest that the sovereign CDS premium is determined by the macroeconomic factors that are more closely related to the economy of the regions. This supports the argument that the factors of country risk are also significant for economic growth and inflows of foreign direct investment and should be properly managed and gradually improved. Furthermore, the political risk should be reduced by better governance, as shown from the empirical study that includes the governance indicators.
more목차
I. Introduction……………………1
II. Literature Review……………………4
III. Measures of Country Risk……………………6
3.1. Credit Ratings……………………6
3.2. Sovereign Bond Yields……………………9
3.3. Sovereign Credit Default Swap Premium……………………12
IV. Factors of Country Risk……………………14
4.1. Sovereign Risk……………………14
4.2. Economic Structural Risk……………………15
4.3. Financial Risk……………………16
4.4. Political Risk……………………16
V. Effect of Country Risk in Emerging Economies……………………19
5.1. Economic Growth in Emerging Economies……………………19
5.2. Foreign Direct Investment……………………20
VI. Empirical Analysis……………………24
6.1. Variables……………………24
6.2. Data……………………28
6.3. Estimation Model……………………38
VII. Regression Results and Implications……………………40
7.1. Analysis of Regression Results……………………40
7.2. Implications and Limitations……………………44
VIII. Conclusion……………………46
Appendices……………………47
References……………………58
