Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 495238
Title Sovereign Risk and Natural Disasters in Emerging Markets
Author(s) Klomp, Jeroen
Source Emerging Markets Finance and Trade 51 (2015)6. - ISSN 1540-496X - p. 1326 - 1341.
DOI https://doi.org/10.1080/1540496X.2015.1011530
Department(s) Environmental Economics and Natural Resources Group
WIMEK
WASS
Publication type Refereed Article in a scientific journal
Publication year 2015
Keyword(s) government default - natural disasters - pooled mean group
Abstract

In this article, we explore the effect of large-scale natural disasters on sovereign default risk. We use a heterogeneous dynamic panel model including a set of more than 380 large-scale natural disasters for about forty emerging market countries in the period 1999-2010. After testing for the sensitivity of the results, our main findings suggest that natural disasters significantly increase the sovereign default premium paid by bond holders. That is, investors perceive natural disasters as an adverse shock that makes the government debt less sustainable and eventually triggers a sovereign default. In particular, it turns out that geophysical and meteorological disasters increase the credit default premium in both the long run as well as in the short run, while hydrological disasters have only a temporary effect. ©

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