The term-structure of sovereign default risk in Colombia and its determinants

Thumbnail
Borradores de Economía; No. 709
Date published
2012-05-13
Date of last update
2012-05-13
Author
Ojeda-Joya, Jair N.
Gómez-González, José Eduardo
Document language
spa
Metadata
Show full item record
Metrics
Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
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
JEL Codes
F34 - International Lending and Debt ProblemsG15 - International Financial MarketsF37 - International Finance Forecasting and Simulation: Models and Application
Keywords
Sovereign default risk ; Term structure ; Emerging markets ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5732
https://hdl.handle.net/20.500.12134/5732
https://doi.org/10.32468/be.709
https://ideas.repec.org/p/bdr/borrec/709.html
https://ideas.repec.org/p/col/000094/009603.html
Collections
This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit