Panel multi-predictor test procedures with an application to emerging market sovereign risk

Westerlund, Joakim and Thuraisamy, Kannan 2016, Panel multi-predictor test procedures with an application to emerging market sovereign risk, Emerging markets review, vol. 28, pp. 44-60, doi: 10.1016/j.ememar.2016.06.003.

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Title Panel multi-predictor test procedures with an application to emerging market sovereign risk
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Thuraisamy, KannanORCID iD for Thuraisamy, Kannan orcid.org/0000-0001-5164-5456
Journal name Emerging markets review
Volume number 28
Start page 44
End page 60
Total pages 17
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2016-09
ISSN 1566-0141
1873-6173
Keyword(s) panel data
predictive regression
multiple predictors
sovereign credit risk
credit default swap
Summary As a response to the inefficient practices and possibly misleading inferences resulting from the unit-by-unit application mostly found in the literature, the current paper develops a block bootstrap based panel predictability test procedure that accommodates multiple predictors. As an empirical illustration we consider emerging market sovereign risk where data are usually available across multiple countries, and local and global predictors. The results, which are in agreement with the existing literature on the determinants of sovereign risk, suggest that the global predictors are best and that the predictive ability of the local predictors is limited, at best.
Language eng
DOI 10.1016/j.ememar.2016.06.003
Field of Research 150202 Financial Econometrics
1402 Applied Economics
Socio Economic Objective 900101 Finance Services
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30085330

Document type: Journal Article
Collection: Faculty of Business and Law
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