The Term-Structure of Sovereign Default Risk in Colombia and its Determinants

Borradores de Economia
Número: 
709
Publicado: 
Clasificación JEL: 
F34, G15, F37
Palabras clave: 
Sovereign Default Risk, Term Structure, Emerging Markets

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We study the determinants of sovereign default risk in Colombia by focusing on different time spans of risk which are indicated by yield spreads of government bonds with different maturities. Cointegration regressions are performed to analyze whether the