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

Citation data:

Banco de la Republica de Colombia, Borradores de Economia, No: 709

Publication Year:
2012
Repository URL:
http://repositorio.banrep.gov.co/handle/20.500.12134/5732
RePec URLs:
https://ideas.repec.org/p/bdr/borrec/709.html; https://ideas.repec.org/p/col/000094/009603.html
Author(s):
Ojeda-Joya, Jair N.; Gómez-González, José Eduardo
Publisher(s):
Banco de la República
Tags:
G15 - International Financial Markets; F34 - International Lending and Debt Problems; F37 - International Finance Forecasting and Simulation: Models and Application; Sovereign default risk; Term structure; Emerging markets; Mercados emergentes; Bonos del Estado -- Incumplimiento -- Colombia; Volatilidad de la Moneda -- Colombia; Riesgo (Economía) -- Colombia; F34 - Préstamos internacionales y problemas relacionados con la deuda externa; G15 - Mercados financieros internacionales; F37 - Simulación y predicción de las finanzas internacionales: modelos y aplicaciones; Sovereign default risk; term structure; emerging markets.
paper description
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