Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction

Jose Gomez-Gonzalez, Jorge Uribe and Oscar Valencia ()

No 202315, IREA Working Papers from University of Barcelona, Research Institute of Applied Economics

Abstract: We investigate how a country’s economic complexity influences its sovereign yield spread with respect to the US. We analyze various maturities across 28 countries, consisting of 16 emerging and 12 advanced economies. Notably, a one-unit increase in the economic complexity index is associated to a reduction of about 87 basis points in the 10-year yield spread (p

Keywords: Sovereign Credit Risk; Convenience Yields; Yield Curve; Government Debt; Double-Machine-Learning; XGBoost. JEL classification: F34; G12; G15; H63; O40. (search for similar items in EconPapers)
Pages: 38 pages
Date: 2023-11, Revised 2023-11
New Economics Papers: this item is included in nep-big, nep-cmp, nep-eur and nep-fdg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ira:wpaper:202315

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