The Term-Structure of Sovereign Default Risk in Colombia and its Determinants
AbstractWe 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 drivers of short-run default risk are different from those of long-run default risk. Our results show that government indebtedness indicators are important determinants of default risk for yield spreads of bonds with maturities shorter than 7 years. In contrast, increases in investment and output growth indicators lower default risk at all maturities. A lower current account balance or a higher exchange rate volatility increase default risk for maturities lower than 10 years. Finally, an openness indicator is found to have positive effects on default risk for maturities longer than 7 years. This last effect is probably due to the increasing external vulnerability that results when a country becomes more integrated to the global economy.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by BANCO DE LA REPÚBLICA in its series BORRADORES DE ECONOMIA with number 009603.
Date of creation: 21 May 2012
Date of revision:
Contact details of provider:
Other versions of this item:
- Jair Ojeda-Joya & José E. Gómez-González, 2012. "The Term-Structure of Sovereign Default Risk in Colombia and its Determinants," Borradores de Economia 709, Banco de la Republica de Colombia.
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-05 (All new papers)
- NEP-FMK-2012-06-05 (Financial Markets)
- NEP-RMG-2012-06-05 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kurozumi, Eiji & Hayakawa, Kazuhiko, 2009.
"Asymptotic properties of the efficient estimators for cointegrating regression models with serially dependent errors,"
Journal of Econometrics,
Elsevier, vol. 149(2), pages 118-135, April.
- Eiji Kurozumi & Kazuhiko Hayakawa, 2006. "Asymptotic Properties of the Efficient Estimators for Cointegrating Regression Models with Serially Dependent Errors," Hi-Stat Discussion Paper Series d06-197, Institute of Economic Research, Hitotsubashi University.
- Eichler, Stefan & Maltritz, Dominik, 2013. "The term structure of sovereign default risk in EMU member countries and its determinants," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 1810-1816.
- Jens Hilscher & Yves Nosbusch, 2007.
"Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt,"
Money Macro and Finance (MMF) Research Group Conference 2006
114, Money Macro and Finance Research Group, revised 24 Apr 2007.
- Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
- Peter Rowland & José Luis Torres, .
"Determinants of Spread and Creditworthiness for Emerging Market Sovereign Debt:A Panel Data Study,"
Borradores de Economia
295, Banco de la Republica de Colombia.
- Peter Rowland & José Luis Torres Trespalacios, 2004. "Determinants Of Spread And Creditworthiness For Emerging Market Sovereign Debt: A Panel Data Study," BORRADORES DE ECONOMIA 002337, BANCO DE LA REPÚBLICA.
- Richard Cantor & Frank Packer, 1995. "Sovereign credit ratings," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 1(Jun).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Norma Judith Paternina).
If references are entirely missing, you can add them using this form.