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

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

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Lina Fernanda Torres-Gutierrez, Gonzalo Ossa-Stipcianos, Edwin Mauricio Parra-Rodriguez, Egberto Alexander Riveros, Alvaro José Martinez-Monroy, Julián Andrés Gomez-Duran, Juan Sebastián Rojas-Moreno

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