Analyzing determinants of bond yield spreads with Bayesian Model Averaging
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jbankfin.2013.07.007
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Eaton, Jonathan & Fernandez, Raquel, 1995.
"Sovereign debt,"
Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 3, pages 2031-2077,
Elsevier.
- Jonathan Eaton & Raquel Fernandez, 1995. "Sovereign Debt," NBER Working Papers 5131, National Bureau of Economic Research, Inc.
- Eaton, J. & Fernandez, R., 1995. "Sovereign Debt," Papers 37, Boston University - Department of Economics.
- Jonathan Eaton & Raquel Fernandez, 1995. "Sovereign Debt," Boston University - Institute for Economic Development 59, Boston University, Institute for Economic Development.
- Barry Eichengreen & Ricardo Hausmann & Ugo Panizza, 2007.
"Currency Mismatches, Debt Intolerance, and the Original Sin: Why They Are Not the Same and Why It Matters,"
NBER Chapters, in: Capital Controls and Capital Flows in Emerging Economies: Policies, Practices, and Consequences, pages 121-170,
National Bureau of Economic Research, Inc.
- Barry Eichengreen & Ricardo Hausmann & Ugo Panizza, 2003. "Currency Mismatches, Debt Intolerance and Original Sin: Why They Are Not the Same and Why it Matters," NBER Working Papers 10036, National Bureau of Economic Research, Inc.
- Campbell, John Y & Ammer, John, 1993.
"What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns,"
Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
- John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
- Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
- Álvaro Rojas O. & Felipe Jaque S., 2003. "Determinants of the Chilean Sovereign Spread: is it Purely Fundamentals?," Money Affairs, CEMLA, vol. 0(2), pages 137-163, July-Dece.
- Peter Rowland, 2004. "Determinants Of Spread , Credit Rating And Creditworthiness For Emerging Market Sovereign Debt: A Panel Data Study," Borradores de Economia 2336, Banco de la Republica.
- David R. Hineline, 2007. "Examining the Robustness of the Inflation and Growth Relationship," Southern Economic Journal, John Wiley & Sons, vol. 73(4), pages 1020-1037, April.
- Robert Solomon, 1977. "A Perspective on the Debt of Deveoloping Countries," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 8(2), pages 479-510.
- Winford H. Masanjala & Chris Papageorgiou, 2008. "Rough and lonely road to prosperity: a reexamination of the sources of growth in Africa using Bayesian model averaging," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 671-682.
- Mr. Sanjeev Gupta & Mr. Amine Mati & Mr. Emanuele Baldacci, 2008. "Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets," IMF Working Papers 2008/259, International Monetary Fund.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005.
"Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market,"
Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
- Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2004. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market," NBER Working Papers 10418, National Bureau of Economic Research, Inc.
- Carmen M. Reinhart, 2002.
"Default, Currency Crises, and Sovereign Credit Ratings,"
The World Bank Economic Review, World Bank, vol. 16(2), pages 151-170, August.
- Reinhart, Carmen, 2002. "Default, currency crises, and sovereign credit ratings," MPRA Paper 13917, University Library of Munich, Germany.
- Carmen M. Reinhart, 2002. "Default, Currency Crises and Sovereign Credit Ratings," NBER Working Papers 8738, National Bureau of Economic Research, Inc.
- Sebastian Edwards, 1983. "LDC's Foreign Borrowing and Default Risk: An Empirical Investigation," NBER Working Papers 1172, National Bureau of Economic Research, Inc.
- Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008.
"Re-Examining the Consumption-Wealth Relationship: The Role of Model Uncertainty,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2-3), pages 341-367, March.
- Gary Koop & Simon M. Potter & Rodney W. Strachan, 2008. "Re‐Examining the Consumption–Wealth Relationship: The Role of Model Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 341-367, March.
- Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty," Discussion Papers in Economics 05/3, Division of Economics, School of Business, University of Leicester.
- Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York.
- von Hagen, Jürgen & Schuknecht, Ludger & Wolswijk, Guido, 2011.
"Government bond risk premiums in the EU revisited: The impact of the financial crisis,"
European Journal of Political Economy, Elsevier, vol. 27(1), pages 36-43, March.
- von Hagen, Jurgen & Schuknecht, Ludger & Wolswijk, Guido, 2009. "Government Bond Risk Premiums in the EU revisited: The Impact of the Financial Crisis," CEPR Discussion Papers 7499, C.E.P.R. Discussion Papers.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2010. "Government bond risk premiums in the EU revisited: the impact of the financial crisis," Working Paper Series 1152, European Central Bank.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2009.
"Government risk premiums in the bond market: EMU and Canada,"
European Journal of Political Economy, Elsevier, vol. 25(3), pages 371-384, September.
- von Hagen, Jurgen & Schuknecht, Ludger & Wolswijk, Guido, 2007. "Government Risk Premiums in the Bond Market: EMU and Canada," CEPR Discussion Papers 6579, C.E.P.R. Discussion Papers.
- Schuknecht, Ludger & von Hagen, Jürgen & Wolswijk, Guido, 2008. "Government risk premiums in the bond market: EMU and Canada," Working Paper Series 879, European Central Bank.
- Bernoth, Kerstin & von Hagen, Jürgen & Schuknecht, Ludger, 2012.
"Sovereign risk premiums in the European government bond market,"
Journal of International Money and Finance, Elsevier, vol. 31(5), pages 975-995.
- Bernoth, Kerstin & Hagen, Jürgen von & Schuknecht, Ludger, 2006. "Sovereign Risk Premiums in the European Government Bond Market," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 151, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
- Maurice Obstfeld & Alan M. Taylor, 2003.
"Sovereign risk, credibility and the gold standard: 1870-1913 versus 1925-31,"
Economic Journal, Royal Economic Society, vol. 113(487), pages 241-275, April.
- Maurice Obstfeld & Alan M. Taylor, 2002. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," NBER Working Papers 9345, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Taylor, Alan M., 2003. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," Department of Economics, Working Paper Series qt6f15n0h0, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Obstfeld, Maurice & Taylor, Alan M., 2003. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," CEPR Discussion Papers 3688, C.E.P.R. Discussion Papers.
- Maurice Obstfeld & Alan M. Taylor & ), 2003. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," International Trade 0303001, University Library of Munich, Germany.
- Obstfeld, Maurice & Taylor, Alan M., 2003. "Sovereign Risk, Credibility and the Gold Standard: 1870-1913 versus 1925-31," Center for International and Development Economics Research, Working Paper Series qt6f15n0h0, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross‐Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Carmen Fernandez & Eduardo Ley & Mark F. J. Steel, 2001.
"Model uncertainty in cross-country growth regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(5), pages 563-576.
- Carmen Fernandez & Eduardo Ley & Mark Steel, 1999. "Model uncertainty in cross-country growth regressions," Econometrics 9903003, University Library of Munich, Germany, revised 06 Oct 2001.
- Carmen Fernandez & Eduardo Ley & Mark Steel, 2001. "Model uncertainty in cross-country growth regressions," Econometrics 0110002, University Library of Munich, Germany.
- Prasanna Gai & Gavin Cameron & Kang Yong Tan, 2009.
"Sovereign Risk in the Classical Gold Standard Era,"
The Economic Record, The Economic Society of Australia, vol. 85(271), pages 401-416, December.
- Gavin Cameron & Kang Yong Tan & Prasanna Gai & Â, 2006. "Sovereign Risk in the Classical Gold Standard Era," Economics Series Working Papers 258, University of Oxford, Department of Economics.
- Gavin Cameron & Prasanna Gai & Kang Yong Tan, 2006. "Sovereign Risk In The Classical Gold Standard Era," CAMA Working Papers 2006-11, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
- Darrell Duffie & Lasse Heje Pedersen & Kenneth J. Singleton, 2003. "Modeling Sovereign Yield Spreads: A Case Study of Russian Debt," Journal of Finance, American Finance Association, vol. 58(1), pages 119-159, February.
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
- Saini, Krishan G. & Bates, Philip S., 1984. "A survey of the quantitative approaches to country risk analysis," Journal of Banking & Finance, Elsevier, vol. 8(2), pages 341-356, June.
- Rumi Masih & A. Mansur M. Masih & Kilian Mie, 2010. "Model uncertainty and asset return predictability: an application of Bayesian model averaging," Applied Economics, Taylor & Francis Journals, vol. 42(15), pages 1963-1972.
- Nicholas Sargen, 1977. "Economic indicators and country risk appraisal," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 19-35.
- Fernandez, Carmen & Ley, Eduardo & Steel, Mark F. J., 2001.
"Benchmark priors for Bayesian model averaging,"
Journal of Econometrics, Elsevier, vol. 100(2), pages 381-427, February.
- Carmen Fernández & Eduardo Ley & Mark F. J. Steel, "undated". "Benchmark priors for Bayesian Model averaging," Working Papers 98-06, FEDEA.
- Carmen Fernandez & Eduardo Ley & Mark F.J. Steel, 1998. "Benchmark Priors for Bayesian Model Averaging," Econometrics 9804001, University Library of Munich, Germany, revised 08 Oct 2001.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998. "Benchmark priors for Bayesian model averaging," Edinburgh School of Economics Discussion Paper Series 26, Edinburgh School of Economics, University of Edinburgh.
- Carmen Fernandez & Eduardo Ley & Mark F J Steel, 1998. "Benchmark priors for Bayesian model averaging," Edinburgh School of Economics Discussion Paper Series 66, Edinburgh School of Economics, University of Edinburgh.
- Julio Nogués & MartÃn Grandes, 2001.
"COUNTRY RISK: Economic Policy, Contagion Effect or Political noise?,"
Journal of Applied Economics, Universidad del CEMA, vol. 4, pages 125-162, May.
- Julio Nogués & Martín Grandes, 2001. "Country Risk: Economic Policy, Contagion Effect or Political Noise?," Journal of Applied Economics, Taylor & Francis Journals, vol. 4(1), pages 125-162, May.
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Sidman, Andrew H. & Mak, Maxwell & Lebo, Matthew J., 2008. "Forecasting non-incumbent presidential elections: Lessons learned from the 2000 election," International Journal of Forecasting, Elsevier, vol. 24(2), pages 237-258.
- Mr. Axel Schimmelpfennig & Nouriel Roubini & Paolo Manasse, 2003. "Predicting Sovereign Debt Crises," IMF Working Papers 2003/221, International Monetary Fund.
- Ms. Enrica Detragiache & Mr. Antonio Spilimbergo, 2001. "Crises and Liquidity: Evidence and Interpretation," IMF Working Papers 2001/002, International Monetary Fund.
- Theo S. Eicher & Chris Papageorgiou & Adrian E. Raftery, 2011.
"Default priors and predictive performance in Bayesian model averaging, with application to growth determinants,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 30-55, January/F.
- Theo Eicher & Chris Papageogiou & Adrian E Raftery, 2007. "Default Priors and Predictive Performance in Bayesian Model Averaging, with Application to Growth Determinants," Working Papers UWEC-2007-25-P, University of Washington, Department of Economics.
- Guillermo Larraín & Helmut Reisen & Julia von Maltzan, 1997.
"Emerging Market Risk and Sovereign Credit Ratings,"
OECD Development Centre Working Papers
124, OECD Publishing.
- Von Maltzan, Julia & Larraín, Guillermo & Reisen, Helmut, 1998. "Emerging market risk and sovereign credit ratings," Sede de la CEPAL en Santiago (Estudios e Investigaciones) 34380, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
- Manuel Ammann & Michael Verhofen, 2008. "Tactical Industry Allocation and Model Uncertainty," The Financial Review, Eastern Finance Association, vol. 43(2), pages 273-302, May.
- Bordo, Michael D. & Rockoff, Hugh, 1996.
"The Gold Standard as a “Good Housekeeping Seal of Approval”,"
The Journal of Economic History, Cambridge University Press, vol. 56(2), pages 389-428, June.
- Michael D. Bordo, 1995. "The Gold Standard as a `Good Housekeeping Seal of Approval'," NBER Working Papers 5340, National Bureau of Economic Research, Inc.
- Hugh Rockoff & Michael D. Bordo, 1996. "The Gold Standard as a "Good Housekeeping Seal of Approval"," Departmental Working Papers 199528, Rutgers University, Department of Economics.
- Peter Rowland & José Luis Torres, 2004.
"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 2337, Banco de la Republica.
- Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2008.
"Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads,"
Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1325-1336, December.
- Mansoor Dailami & Paul Masson & Jean Jose Padou, 2005. "Global Monetary Conditions versus Country-Specific Factors in the Determination of Emerging Market Debt Spreads," International Finance 0506003, University Library of Munich, Germany.
- Dailami, Mansoor & Masson, Paul R. & Padou, Jean Jose, 2005. "Global monetary conditions versus country-specific factors in the determination of emerging market debt spreads," Policy Research Working Paper Series 3626, The World Bank.
- Dylan McGee, Christopher, 2007. "Sovereign bond markets with political risk and moral hazard," International Review of Economics & Finance, Elsevier, vol. 16(2), pages 186-201.
- Hong G. Min, 1998. "Determinants of emerging market bond spread : do economic fundamentals matter?," Policy Research Working Paper Series 1899, The World Bank.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Jonathan Eaton & Mark Gersovitz & Joseph E. Stiglitz, 1991.
"The Pure Theory of Country Risk,"
NBER Chapters, in: International Volatility and Economic Growth: The First Ten Years of The International Seminar on Macroeconomics, pages 391-435,
National Bureau of Economic Research, Inc.
- Eaton, Jonathan & Gersovitz, Mark & Stiglitz, Joseph E., 1986. "The pure theory of country risk," European Economic Review, Elsevier, vol. 30(3), pages 481-513, June.
- Jonathan Eaton & Mark Gersovitz & Joseph E. Stiglitz, 1986. "The Pure Theory of Country Risk," NBER Working Papers 1894, National Bureau of Economic Research, Inc.
- Lorenzo Codogno & Carlo Favero & Alessandro Missale, 2003. "Yield spreads on EMU government bonds [‘Fiscal policy events and interest rate swap spreads: some evidence from the EU’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 18(37), pages 503-532.
- Diaz Weigel, Diana & Gemmill, Gordon, 2006. "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 476-502, April.
- Xavier Sala-I-Martin & Gernot Doppelhofer & Ronald I. Miller, 2004.
"Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach,"
American Economic Review, American Economic Association, vol. 94(4), pages 813-835, September.
- Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (Bace) Approach," OECD Economics Department Working Papers 266, OECD Publishing.
- Gernot Doppelhofer & Ronald I. Miller & Xavier Sala-i-Martin, 2000. "Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach," NBER Working Papers 7750, National Bureau of Economic Research, Inc.
- Edwards, Sebastian, 1984. "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, American Economic Association, vol. 74(4), pages 726-734, September.
- Feder, Gershon & Just, Richard E., 1977.
"A study of debt servicing capacity applying logit analysis,"
Journal of Development Economics, Elsevier, vol. 4(1), pages 25-38, February.
- Feder, Gershon & Just, Richard E., 1976. "A Study of Debt Servicing Capacity Applying Logit Analysis," CUDARE Working Papers 242453, University of California, Berkeley, Department of Agricultural and Resource Economics.
- K. J. Martijn Cremers, 2002. "Stock Return Predictability: A Bayesian Model Selection Perspective," The Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1223-1249.
- Bandiera, Luca & Cuaresma, Jesus Crespo & Vincelette, Gallina A., 2010. "Unpleasant surprises : sovereign default determinants and prospects," Policy Research Working Paper Series 5401, The World Bank.
- Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
- Richard Cantor & Frank Packer, 1996.
"Determinants and impact of sovereign credit ratings,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Oct), pages 37-53.
- Richard Cantor & Frank Packer, 1996. "Determinants and impacts of sovereign credit ratings," Research Paper 9608, Federal Reserve Bank of New York.
- Mr. Andrew J Tiffin & Mr. Christian B. Mulder & Mr. Charalambos Christofides, 2003. "The Link Between Adherence to International Standards of Good Practice, Foreign Exchange Spreads, and Ratings," IMF Working Papers 2003/074, International Monetary Fund.
- Fabio Milani, 2008.
"Monetary Policy With A Wider Information Set: A Bayesian Model Averaging Approach,"
Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(1), pages 1-30, February.
- Fabio Milani, 2004. "Monetary Policy with a Wider Information Set: a Bayesian Model Averaging Approach," Macroeconomics 0401004, University Library of Munich, Germany.
- Frank, Charles Jr. & Cline, William R., 1971. "Measurement of debt servicing capacity: An application of discriminant analysis," Journal of International Economics, Elsevier, vol. 1(3), pages 327-344, August.
- Lloyd-Ellis, H. & Mckenzie, G. W. & Thomas, S. H., 1989. "Using country balance sheet data to predict debt rescheduling," Economics Letters, Elsevier, vol. 31(2), pages 173-177, December.
- Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
- Carlos F. Diaz-Alejandro, 1984. "Latin American Debt: I Don't Think We Are in Kansas Anymore," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 335-403.
- Meissner, Christopher M., 2005. "A new world order: explaining the international diffusion of the gold standard, 1870-1913," Journal of International Economics, Elsevier, vol. 66(2), pages 385-406, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jane Mpapalika & Christopher Malikane, 2019.
"The Determinants of Sovereign Risk Premium in African Countries,"
JRFM, MDPI, vol. 12(1), pages 1-20, February.
- Jane Mpapalika & Christopher Malikane, 2019. "The determinants of sovereign risk premium in African countries," 2019 Papers pmp2, Job Market Papers.
- Mohd Saad, Noriza & Haniff, Mohd Nizal & Ali, Norli, 2020. "Corporate governance mechanisms with conventional bonds and Sukuk’ yield spreads," Pacific-Basin Finance Journal, Elsevier, vol. 62(C).
- Skintzi, Vasiliki D., 2019.
"Determinants of stock-bond market comovement in the Eurozone under model uncertainty,"
International Review of Financial Analysis, Elsevier, vol. 61(C), pages 20-28.
- Skintzi, Vasiliki, 2017. "Determinants of stock-bond market comovement in the Eurozone under model uncertainty," MPRA Paper 78278, University Library of Munich, Germany.
- Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
- Dufour, Alfonso & Stancu, Andrei & Varotto, Simone, 2017.
"The equity-like behaviour of sovereign bonds,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 25-46.
- Alfonso Dufour & Andrei Stancu & Simone Varotto, 2014. "The Equity-like Behaviour of Sovereign Bonds," ICMA Centre Discussion Papers in Finance icma-dp2014-16, Henley Business School, University of Reading.
- Christian Senga & Danny Cassimon & Dennis Essers, 2018.
"Sub-Saharan African Eurobond yields: What really matters beyond global factors?,"
Review of Development Finance Journal, Chartered Institute of Development Finance, vol. 8(1), pages 49-62.
- Christian Senga & Danny Cassimon & Dennis Essers, 2018. "Sub-Saharan African Eurobond yields: What really matters beyond global factors?," BeFinD Working Papers 0123, University of Namur, Department of Economics.
- Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla‐Bourdillon, 2023.
"Forecasting sovereign risk in the Euro area via machine learning,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 657-684, April.
- Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla-Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Post-Print hal-04459577, HAL.
- Dachraoui, Hajer & Smida, Mounir & Sebri, Maamar, 2020.
"Role of capital flight as a driver of sovereign bond spreads in Latin American countries,"
International Economics, Elsevier, vol. 162(C), pages 15-33.
- Hajer Dachraoui & Mounir Smida & Maamar Sebri, 2020. "Role of capital flight as a driver of sovereign bond spreads in Latin American countries," International Economics, CEPII research center, issue 162, pages 15-33.
- 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.
- Taguchi, Hiroyuki, 2021. "Determinants of country risk premium revisit: Evidence for emerging market and developing economies," MPRA Paper 107078, University Library of Munich, Germany.
- Boonman, Tjeerd M., 2023. "Portfolio capital flows before and after the Global Financial Crisis," Economic Modelling, Elsevier, vol. 127(C).
- Iván M. Rodríguez & Krishnan Dandapani & Edward R. Lawrence, 2019. "Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?," Financial Management, Financial Management Association International, vol. 48(1), pages 229-256, March.
- Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
- Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
- Karol Szafranek & Marek Kwas & Grzegorz Szafrański & Zuzanna Wośko, 2020. "Common Determinants of Credit Default Swap Premia in the North American Oil and Gas Industry. A Panel BMA Approach," Energies, MDPI, vol. 13(23), pages 1-23, November.
- Menna Bizuneh & Menelik Geremew, 2021. "Assessing the Impact of Covid-19 Pandemic on Emerging Market Economies’ (EMEs) Sovereign Bond Risk Premium and Fiscal Solvency," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 47(4), pages 519-545, October.
- Boonman, Tjeerd, 2023. "Have drivers of portfolio capital flows changed since the Global Financial Crisis?," MPRA Paper 116507, University Library of Munich, Germany.
- Markus Eller & Thomas Reininger, 2016. "The influence of sovereign bond yields on bank lending rates: the pass-through in Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 54-78.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maltritz, Dominik & Molchanov, Alexander, 2014. "Country credit risk determinants with model uncertainty," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 224-234.
- Maltritz, Dominik, 2012. "Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 657-672.
- 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.
- Dominik Maltritz & Andreas Buehn & Stefan Eichler, 2011. "Modeling country default risk as a latent variable: a Multiple Indicators Multiple Causes (MIMIC) approach," Post-Print hal-00730230, HAL.
- Hajer Dachraoui & Mounir Smida & Maamar Sebri, 2020.
"Role of capital flight as a driver of sovereign bond spreads in Latin American countries,"
International Economics, CEPII research center, issue 162, pages 15-33.
- Dachraoui, Hajer & Smida, Mounir & Sebri, Maamar, 2020. "Role of capital flight as a driver of sovereign bond spreads in Latin American countries," International Economics, Elsevier, vol. 162(C), pages 15-33.
- María Lorena Mari del Cristo & Marta Gómez-Puig, 2017.
"Dollarization and the relationship between EMBI and fundamentals in Latin American Countries,"
Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 40(112), pages 14-30, Enero.
- María Lorena Mari del Cristo & Marta Gómez-Puig, 2014. "Dollarization and the relationship between EMBI and fundamentals Latin American countries," Working Papers 14-05, Asociación Española de Economía y Finanzas Internacionales.
- María Lorena Mari del Cristo & Marta Gómez-Puig, 2014. "“Dollarization and the Relationship Between EMBI and Fundamentals Latin American Countries”," IREA Working Papers 201406, University of Barcelona, Research Institute of Applied Economics, revised Mar 2014.
- Lorena Mari del Cristo & Marta Gómez-Puig, 2014. "Dollarization and the relationship between EMBI and fundamentals in Latin American countries," Working Papers 2014-02, Universitat de Barcelona, UB Riskcenter.
- Jaramillo, Laura & Weber, Anke, 2013.
"Bond yields in emerging economies: It matters what state you are in,"
Emerging Markets Review, Elsevier, vol. 17(C), pages 169-185.
- Laura Jaramillo & Miss Anke Weber, 2012. "Bond Yields in Emerging Economies: It Matters What State You Are In," IMF Working Papers 2012/198, International Monetary Fund.
- 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.
- 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.
- Peter Rowland, 2004. "The Colombian Sovereign Spread and its Determinants," Borradores de Economia 315, Banco de la Republica de Colombia.
- Kalotychou, Elena & Staikouras, Sotiris K., 2006. "An empirical investigation of the loan concentration risk in Latin America," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 363-384, October.
- Aristei, David & Martelli, Duccio, 2014. "Sovereign bond yield spreads and market sentiment and expectations: Empirical evidence from Euro area countries," Journal of Economics and Business, Elsevier, vol. 76(C), pages 55-84.
- Peter Rowland, 2004. "The Colombian Sovereign Spread And Its Determinants," Borradores de Economia 3572, Banco de la Republica.
- Diaz Weigel, Diana & Gemmill, Gordon, 2006. "What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements," Journal of International Money and Finance, Elsevier, vol. 25(3), pages 476-502, April.
- Mr. Sanjeev Gupta & Mr. Amine Mati & Mr. Emanuele Baldacci, 2008. "Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets," IMF Working Papers 2008/259, International Monetary Fund.
- Andrea Pescatori & Amadou N R Sy, 2007. "Are Debt Crises Adequately Defined?," IMF Staff Papers, Palgrave Macmillan, vol. 54(2), pages 306-337, June.
- Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013.
"Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
- Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
- Miss Zhanwei Z. Yue & Mr. Samir Jahjah, 2004. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," IMF Working Papers 2004/210, International Monetary Fund.
- Samir Jahjah & Bin Wei & Vivian Z. Yue, 2012. "Exchange rate policy and sovereign bond spreads in developing countries," International Finance Discussion Papers 1049, Board of Governors of the Federal Reserve System (U.S.).
- Jahjah, Samir & Wei, Bin & Yue, Zhanwei, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," MPRA Paper 74924, University Library of Munich, Germany.
- Combes, Jean-Louis & Minea, Alexandru & Sawadogo, Pegdéwendé Nestor, 2021.
"Does the composition of government spending matter for government bond spreads?,"
Economic Modelling, Elsevier, vol. 96(C), pages 409-420.
- Jean-Louis Combes & Alexandru Minea & Pegdéwendé Nestor Sawadogo, 2021. "Does the composition of government spending matter for government bond spreads?," Post-Print hal-02887274, HAL.
- Jean-Louis Combes & Alexandru Minea & Pegdéwendé Nestor Sawadogo, 2021. "Does the composition of government spending matter for government bond spreads?," Post-Print hal-03136159, HAL.
- Laura Jaramillo & Miss Anke Weber, 2013. "Global Spillovers into Domestic Bond Markets in Emerging Market Economies," IMF Working Papers 2013/264, International Monetary Fund.
- Peter Rowland, 2005. "Buyback of Colombian Sovereign Debt," Borradores de Economia 331, Banco de la Republica de Colombia.
- Luis Catão & Sandeep Kapur, 2006. "Volatility and the Debt-Intolerance Paradox," IMF Staff Papers, Palgrave Macmillan, vol. 53(2), pages 1-1.
More about this item
Keywords
Sovereign bond yield spreads; Country default risk; Bayesian Model Averaging;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
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jbfina:v:37:y:2013:i:12:p:5275-5284. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.