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Endeudamiento y riesgo: Un modelo del premio por riesgo de la deuda externa peruana en el siglo XIX*

Published online by Cambridge University Press:  28 April 2010

Julio E. Revilla
Julio E. Revilla
Affiliation:
Universidad Carlos III de Madrid
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Abstract

This article develops an empirical model of risk-premium for the Peruvian external debt of the nineteenth century. The model relates the risk-premium to a set of macroe-conomic variables of total indebtedness and liquidity. It explains die success of die Peruvian government in the British financial market, the behavior of die bondholders towards risk, and how they interpreted die changing macroeconomic data as the debt was growing, near the default date. The use of die Principal Components method helps to avoid multicolinearity problems as well as extracting most of the information from the different aggregate variables.

Resumen

Este artículo desarrolla un modelo empírico de premio por riesgo para la deuda externa peruana del siglo XIX. El modelo relaciona el premio por riesgo a un conjunto de variables macroeconómicas de deuda total y liquidez. Explica el éxito del gobierno peruano en los mercados financieros británicos, el comportamiento de los tenedores de bonos respecto al riesgo y cómo interpretaban la cambiante situación macroeconómica mientras la deuda crecía cerca a la fecha del cese de pagos. El uso del método de componentes principales ayuda a evitar problemas de multicolinealidad así como permite extraer la mayor información de las diferentes variables agregadas.

Type
Articulos
Information
Revista de Historia Economica - Journal of Iberian and Latin American Economic History , Volume 11 , Issue 1 , March 1993 , pp. 11 - 47
Copyright
Copyright © Instituto Figuerola de Historia y Ciencias Sociales, Universidad Carlos III de Madrid 1993

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References

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