The Term-Structure of Sovereign Default Risk in Colombia and its Determinants
Jair Ojeda-Joya and
JosÃ© E. GÃ³mez-GonzÃ¡lez ()
Authors registered in the RePEc Author Service: Jose Gomez-Gonzalez
No 9603, Borradores de Economia from Banco de la Republica
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 different from those of long-run default risk. Our results show that government indebtedness indicators are important determinants of default risk for yield spreads of bonds with maturities shorter than 7 years. In contrast, increases in investment and output growth indicators lower default risk at all maturities. A lower current account balance or a higher exchange rate volatility increase default risk for maturities lower than 10 years. Finally, an openness indicator is found to have positive effects on default risk for maturities longer than 7 years. This last effect is probably due to the increasing external vulnerability that results when a country becomes more integrated to the global economy.
Keywords: Sovereign default risk; term structure; emerging markets. (search for similar items in EconPapers)
JEL-codes: C68 E32 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: The Term-Structure of Sovereign Default Risk in Colombia and its Determinants (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:col:000094:009603
Access Statistics for this paper
More papers in Borradores de Economia from Banco de la Republica
Bibliographic data for series maintained by Clorith Angelica Bahos Olivera ().