Congresos y reuniones científicas
Título:
Endogenous risk premium and terms of trade shocks: evidence for developing countries
Reunión:
Seminario; ARNOLDSHAIN SEMINAR XI. Migration, Development and Demographic Change, Problems Consecuences and Solutions; 2013
Resumen:
This paper assesses whether the increase in terms of trade provokes a reduction in the endogenous
risk premium in developing countries. Following Gertler and Rogoff (1990) we suppose that the
risk premium in economies affected by moral hazard in credit markets depends negatively on
the size of the collateral (i.e. natural resources) that guarantee the liabilities. The hypothesis
is that terms-of-trade shocks raise the value of this collateral. We alternatively apply five panel
data estimation procedures (POLS, FGLS, RE, FE and FE-FGLS) to two alternative data sets.
According to the World Bank procedure we classify countries into four income groups