EconPapers    
Economics at your fingertips  
 

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

Jair Ojeda-Joya and José E. Gómez-González ()
Authors registered in the RePEc Author Service: Jose Gomez-Gonzalez

No 9603, Borradores de Economia from Banco de la Republica

Abstract: 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)
Pages: 16
Date: 2012-05-21
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)
http://www.banrep.gov.co/docum/ftp/be_709.pdf

Related works:
Working Paper: The Term-Structure of Sovereign Default Risk in Colombia and its Determinants (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().

 
Page updated 2024-01-26
Handle: RePEc:col:000094:009603