Panel multi-predictor test procedures with an application to emerging market sovereign risk

Joakim Westerlund and Kannan Thuraisamy

Emerging Markets Review, 2016, vol. 28, issue C, 44-60

Abstract: As a response to the inefficient practices and possibly misleading inferences resulting from the unit-by-unit application mostly found in the literature, the current paper develops a block bootstrap based panel predictability test procedure that accommodates multiple predictors. As an empirical illustration we consider emerging market sovereign risk where data are usually available across multiple countries, and local and global predictors. The results, which are in agreement with the existing literature on the determinants of sovereign risk, suggest that the global predictors are best and that the predictive ability of the local predictors is limited, at best.

Keywords: Panel data; Predictive regression; Multiple predictors; Sovereign credit risk; Credit default swap (search for similar items in EconPapers)
JEL-codes: C15 C22 C23 G1 G12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:28:y:2016:i:c:p:44-60

DOI: 10.1016/j.ememar.2016.06.003

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