Reyes-Heroles, Ricardo; Tenorio, Gabriel - 2017 - This draft: June 2017
the volatility of interest rates at which emerging economies borrow from international financial markets, and study the … statistical relationship of such regimes with episodes of sudden stops. Periods of high volatility tend to be persistent and are … documented in previous literature (Neumeyer and Perri, 2005) and that high-volatility regimes forecast sudden stops 6 and 12 …
