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Vol. 18. Núm. 2.
Páginas 148-155 (Mayo 2012)
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Vol. 18. Núm. 2.
Páginas 148-155 (Mayo 2012)
Open Access
Globalisation and the unpredictability of crisis episodes: An empirical analysis of country risk indexes
La imprevisibilidad de los episodios de crisis: un análisis sobre los índices de riesgo país en la era de la globalización
Visitas
5012
Nerea San-Martín-Albizuria,
Autor para correspondencia
nerea.sanmartin@ehu.es

Corresponding author.
, Arturo Rodríguez-Castellanosb
a Doctora, Departamento de Economía Financiera II, Universidad del País Vasco UPV/EHU, Facultad de Ciencias Económicas y Empresariales, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Vizcaya, Spain
b Catedrático, Departamento de Economía Financiera II, Universidad del País Vasco UPV/EHU, Facultad de Ciencias Económicas y Empresariales, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Vizcaya, Spain
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Abstract

The ongoing globalisation process has not put an end to international financial crises. On the contrary, it seems to have contributed to their appearance and to accentuating their degrees of unpredictability. In this context, the main objective of the present study is to establish whether the values of the best-known and most widely used country risk indexes, namely, the Euromoney index and the International Country Risk Group (ICRG), and the values of their representative variables could have forecasted well in advance the crises that took place between 1994 and 2002, a period which is herein termed the ‘globalisation era’. The results show that, although the selected indexes and their representative variables were able to identify certain vulnerabilities, they could not accurately identify the political, economic, and/or financial factors that developed prior to these crisis episodes.

Keywords:
Globalisation and uncertainty
Financial crises forecast
Country risk indexes
Representative variables
Resumen

Aunque la actual crisis muestra entre los factores causantes de su desencadenamiento ciertas propiedades únicas, no puede obviarse el hecho de que comparte algunas características con las crisis anteriores que se produjeron especialmente a partir de 1994. Y una de estas características es la imprevisibilidad.

El objetivo del presente trabajo es contrastar si los índices más conocidos y utilizados (el índice de Euromoney y el ICRG) y las variables más representativas incluidas en su configuración fueron capaces de anticipar las crisis que tuvieron lugar entre 1994 y 2002, esto es, las crisis de la “era de la globalización”. Los resultados obtenidos son negativos, por lo que se concluye que el valor de los índices y el valor de las variables en ellos contenidas se muestran incapaces de reflejar con suficiente antelación —a medio plazo— las vulnerabilidades que se desarrollaron previamente al surgimiento de los episodios de crisis.

Palabras clave:
Globalización e incertidumbre
Predicción de crisis externas
Índices de riesgo país
Variables representativas
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