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The predictability of debt-servicing difficulties among less developed countries (1994)

Somerville, R. A. ; Taffler, R. J.

Springer

Review of quantitative finance and accounting 4 (1994), S. 339-356

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ISSN: 1573-7179

Keywords: country risk ; arrears ; rescheduling ; prediction ; discriminant ; logit

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract In this article, multivariate statistical models are derived for forecasting the emergence of arrears of debt-service among less-developed countries. The emphasis of the article is on prediction, and the criterion variable differs from that generally used in earlier research, which focuses on rescheduling. Out-of-sample tests are used to establish theex ante predictive utility of the derived models, which are found to have low error rates. Moreover, the predictive ability appears to be stable over time.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01078803

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