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Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction


  • Jose E. Gomez-Gonzalez

    (City University of New York-Lehman College (USA). Visiting Professor - Universidad de la Sabana)

  • Jorge M. Uribe

    (Universitat Oberta de Catalunya, Barcelona (Spain))

  • Oscar M. Valencia

    (Fiscal Management Division, Inter-American Development Bank, Washington (USA).)


We investigate how a country’s economic complexity influences its sovereign yield spread with respect to the US. We analyze various maturities across 28 countries, consisting of 16 emerging and 12 advanced economies. Notably, a one-unit increase in the economic complexity index is associated to a reduction of about 87 basis points in the 10-year yield spread (p

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  • Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
  • Handle: RePEc:ira:wpaper:202315

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    More about this item


    Sovereign Credit Risk; Convenience Yields; Yield Curve; Government Debt; Double-Machine-Learning; XGBoost. JEL classification: F34; G12; G15; H63; O40.;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt

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