Purpose- For developing countries that are highly dependent on foreign investment in terms of saving gap funding, risk assessment tools are crucially important. Under the evolving circumstance of flow of international funds along the last decade, this study aims to investigate into causality relationship among sovereign credit default swap premiums, interest and currency rates of “Fragile Three” Countries of Brazil, South Africa and Turkey through new generation econometric methods for the period of 2007M2-2017M1. Methodology-To that end, stationarity, co-integration and causality relationships were analysed by means of Kapetanios’s (2005) multi-structural fractural unit root test, Johansen Cointegration Test (1990) and Toda-Yamamoto (1995) test (TY), respectively. Findings- Our findings suggest that these variables of F3 countries are influenced substantially from each other. Conclusion- The necessary economic policies should be developed to ensure permanent stability at exchange rate and interest rate levels. In order to ensure these countries to maintain financial stability, economic, political and social reforms are required to minimize country risks and to decrease dependency on foreign capital.