Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/194261
Authors: 
Arahuetes García, Alejandro
Gómez Bengoechea, Gonzalo
Year of Publication: 
2018
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 45 [Year:] 2018 [Issue:] 1 [Pages:] 79-111
Abstract: 
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.
Subjects: 
Sovereign spreads
quantile regressions
Macroeconomic Imbalance Procedure
JEL: 
H63
G15
C31
N2
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-sa/4.0/
Document Type: 
Article
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