Borradores de Economia
Número:
996
Publicado:
Clasificación JEL:
C33, F34, G15
Palabras clave:
Panel dinámico heterogéneo, Riesgo de incumplimiento soberano, Efectos comunes correlacionados
Lo más reciente
Anne Brockmeyer, Francois Gerard, Gabriel Ulyssea, Linda Wu, Marcelo Bergolo, Rodrigo Ceni González, Bernard Kirui, Andrea Lopez-Luzuriaga, Leonardo Fabio Morales, Andrea Sofía Otero-Cortés, Nadine Riedel, Matias Tapia, Tanisa Tawichsri, Verena Wiedemann
Marlon Salazar, Andrés Salazar-Mejía, Jorge Daniel Guevara-Acevedo, Juan David Duitama-Correa
Aarón Levi Garavito-Acosta, Wilmer Martinez-Rivera, Camilo González-Sabogal, Johanna Barbosa-Buitrago, Nathaly Vergel-Serrano
We study the determinants of sovereign default risk for a group of 23 OECD countries using quarterly data spanning the period between 2000:Q1 and 2016:Q3. Applying the recently developed panel dynamic heterogeneous common correlated effects estimator of Chudik and Pesaran [2015] our study innovates in considering potential endogeneity issues and cross-sectional dependence. We control for global risk appetite and country risk ratings. The results show that common factors are the main drivers of solvency risk for our set of countries. Specially relevant, we find that macroeconomic determinants are not significant predictors of long-term sovereign spreads.