The globalization in the financial markets during the last decades brought the concept of country risk to the center of the discussion in international finance. The importance of country risk is related to the fact that, in a high capital mobility environment, it becomes a important determinant of the domestic interest rate. To understand the evolution of the risk of a country, measured by the spread of its bonds in the international markets, it is important not only to comprehend the influence of its specific fundamentals, but also to evaluate the role of the external shocks. In this framework, the central goal of this dissertation is to evaluate more accurately the role of the external variables in the determination of the spreads of the emerging countries. It will be shown that to understand the external shocks it is not enough to observe only the movements of the free risk interest rate, as the traditional literature assume, but it is also necessary to take into account the risk aversion of the international investors, and the contagion between emerging economies during crisis time.