Artikel
The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
This paper provides an empirical analysis of the Macroeconomic Imbalance Procedure (MIP). It explores the relationship between sovereign bond yields spreads and the variables contained in the MIP scoreboard using quantile regressions. Results suggest that MIP indicators can explain the behavior of sovereign spreads two, three and four quarters in advance. The scoreboard can't capture strong non-variant country effects that affect the evolution of spreads as well as the different impact that each indicator has on different countries. The introduction of employment indicators has reduced the aggregate effect that country effects have on sovereign spreads.
- Sprache
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Englisch
- Erschienen in
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Journal: Estudios de Economía ; ISSN: 0718-5286 ; Volume: 45 ; Year: 2018 ; Issue: 1 ; Pages: 79-111 ; Santiago de Chile: Universidad de Chile, Departamento de Economía
- Klassifikation
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Wirtschaft
National Debt; Debt Management; Sovereign Debt
International Financial Markets
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
- Thema
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Sovereign spreads
quantile regressions
Macroeconomic Imbalance Procedure
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Arahuetes García, Alejandro
Gómez Bengoechea, Gonzalo
- Ereignis
-
Veröffentlichung
- (wer)
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Universidad de Chile, Departamento de Economía
- (wo)
-
Santiago de Chile
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Arahuetes García, Alejandro
- Gómez Bengoechea, Gonzalo
- Universidad de Chile, Departamento de Economía
Entstanden
- 2018
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