Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258883 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 15 [Issue:] 4 [Article No.:] 160 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-16
Publisher: 
MDPI, Basel
Abstract: 
For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a proxy of risk I call endogenous risk that analyzes the quarterly variability of economic activity, and second, by calculating a variable of sentiment from Twitter activity. I gauge the impact of both on the country risk metric in addition to variables in existing research about the determinants of country risk. Foreign exchange variables are the most significant determinants of risk for the countries of Colombia and Peru, which actively manage their currency, while Ecuador's country risk is mostly affected by endogenous risk and macroeconomic fundamentals.
Subjects: 
efficient market hypotheses
portfolio theory
sovereign credit risk
country risk
social media
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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