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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Panel Multi-Predictor Test Procedures with an Application to Emerging Market Sovereign Risk

Author

  • Joakim Westerlund
  • Kannan Thuraisamy

Summary, in English

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.

Department/s

  • Department of Economics

Publishing year

2016-06-21

Language

English

Pages

44-60

Publication/Series

Emerging Markets Review

Volume

28

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics and Business

Keywords

  • Panel data
  • Predictive regression
  • Multiple predictors
  • Sovereign credit risk
  • Credit default swap

Status

Published

ISBN/ISSN/Other

  • ISSN: 1566-0141