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

journal contribution
posted on 2016-09-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, Kannan ThuraisamyKannan Thuraisamy
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.

History

Journal

Emerging markets review

Volume

28

Pagination

44-60

Location

Amsterdam, The Netherlands

ISSN

1566-0141

eISSN

1873-6173

Language

eng

Publication classification

C Journal article, C1 Refereed article in a scholarly journal

Copyright notice

2016, Elsevier

Publisher

Elsevier