Fluctuations in world interest rates affect the risk of countries defaulting on their debts. By studying emerging economies, researchers found that changes in interest rates can impact how likely a country is to default. Their model shows that the world interest rate process can explain why some countries have similar default probabilities. The study also found that the volatility of interest rates is linked to the volatility of sovereign spreads in these economies. This research helps us understand why countries' borrowing costs and default risks can be influenced by global interest rate changes.