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A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance

Author

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  • Elettra Agliardi

    (Department of Economics, University of Bologna, Italy)

  • Mehmet Pinar

    (Business School, Edge Hill University, UK)

  • Thanasis Stengos

    (Department of Economics, University of Guelph, Canada)

Abstract

We propose a new method to assess sovereign risk index in Eurozone countries using an approach that relies on consistent tests for stochastic dominance efficiency. The test statistics and the estimators are computed using mixed integer programming methods. The ranking of countries is performed together with an analysis of fiscal and external trade risk.

Suggested Citation

  • Elettra Agliardi & Mehmet Pinar & Thanasis Stengos, 2013. "A Sovereign Risk Index for the Eurozone Based on Stochastic Dominance," Working Paper series 58_13, Rimini Centre for Economic Analysis.
    • Handle: RePEc:rim:rimwps:58_13
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Ben Hmiden, Oussama & Ben Cheikh, Nidhaleddine, 2016. "Debt-threshold effect in sovereign credit ratings: New evidence from nonlinear panel smooth transition models," Finance Research Letters, Elsevier, vol. 19(C), pages 273-278.
    2. Athari, Seyed Alireza & Kondoz, Mehmet & Kirikkaleli, Dervis, 2021. "Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries," Journal of Economics and Business, Elsevier, vol. 116(C).
    3. Mehmet Pinar & Thanasis Stengos & Nikolas Topaloglou, 2022. "Stochastic dominance spanning and augmenting the human development index with institutional quality," Annals of Operations Research, Springer, vol. 315(1), pages 341-369, August.
    4. Ben Hmiden, Oussama & Tatoutchoup, Didier & Nguimkeu, Pierre & Avelé, Donatien, 2024. "Discrepancy and cross-regional bias in sovereign credit ratings: Analyzing the role of public debt," Economic Modelling, Elsevier, vol. 131(C).
    5. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to Measuring Child Development," Child Indicators Research, Springer;The International Society of Child Indicators (ISCI), vol. 12(5), pages 1567-1588, October.
    6. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    7. Tahsin Mehdi, 2019. "Stochastic Dominance Approach to OECD’s Better Life Index," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 143(3), pages 917-954, June.
    8. Giovanni Bernardo & Irene Brunetti & Mehmet Pinar & Thanasis Stengos, 2021. "Measuring the presence of organized crime across Italian provinces: a sensitivity analysis," European Journal of Law and Economics, Springer, vol. 51(1), pages 31-95, February.

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    More about this item

    Keywords

    Nonparametric Stochastic Dominance; Mixed Integer Programming; Sovereign Risk; Eurozone;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G01 - Financial Economics - - General - - - Financial Crises

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