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

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Borradores de Economía; No. 709

Date published

2012-05-13

Date

2012-05-13

Authors

Ojeda-Joya, Jair N.
Gómez-González, José Eduardo

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Document language

spa
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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.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

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

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JEL Codes

F37 - International Finance Forecasting and Simulation: Models and Application

Temática

Keywords

Keywords

Sovereign default risk , Term structure , Emerging markets

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/5732
 https://hdl.handle.net/20.500.12134/5732
 https://ideas.repec.org/p/bdr/borrec/709.html
 https://doi.org/10.32468/be.709

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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito