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アイテムタイプ	紀要論文
タイトル	Determinants of Country Risk Premium Revisit : Evidence for Emerging Market and Developing Economies
著者	著者名 Taguchi, Hiroyuki
	著者名 Munkhbat, Bolortuya
言語	eng
ISSN	09111247
DOI	https://doi.org/10.15002/00025222
出版者	The Institute of Comparative Economic Studies, Hosei University
	法政大学比較経済研究所
雑誌名	Journal of International Economic Studies
巻	35
開始ページ	79
終了ページ	95
発行年	2021-03
著者版フラグ	Version of Record
キーワード	country risk premium
	emerging market and developing economies
	fundamentals
	causality
	vector-autoregressive model
抄録	This paper aims to revisit the issue on the determinants of the country risk premium for emerging market and developing economies to enrich its empirical evidence. The major contributions of this study to the existing literature are: to sample the majority of emerging market and developing economies by estimating the country risk premium, to focus on the domestic fundamentals rather than the world market factors by targeting the period after the 2000s, and to screen the determinants by the causality check between the country risk premium and its supposed determinants in a vector-autoregressive model framework considering their endogeneity problem. The empirical analyses finally identified the factors of the inflation, the external debt, the public debt and the foreign reserves as the determinants of the country risk premium.
資源タイプ	Article
書誌レコードID	AA10459262
インデックス	資料タイプ別 ＞ 紀要 ＞ Journal of international economic studies
	201 比較経済研究所 ＞ 紀要 ＞ Journal of international economic studies ＞ 35

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