Sovereign Default Risk

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  • Sovereign default risk in OECD countries: do global factors matter?

    Publicación |

    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…

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

    Publicación |

    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 drivers of short-run default risk are…