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

Westerlund, Joakim LU and Thuraisamy, Kannan (2016) In Emerging Markets Review 28. p.44-60
Abstract
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.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Panel data, Predictive regression, Multiple predictors, Sovereign credit risk, Credit default swap
in
Emerging Markets Review
volume
28
pages
17 pages
publisher
Elsevier
external identifiers
  • scopus:84978427165
  • wos:000386417800003
ISSN
1566-0141
DOI
10.1016/j.ememar.2016.06.003
language
English
LU publication?
yes
id
80186de0-b0eb-412b-9da7-c6f03d1b2188
date added to LUP
2016-10-28 11:45:53
date last changed
2017-01-01 08:37:53
@article{80186de0-b0eb-412b-9da7-c6f03d1b2188,
  abstract     = {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.},
  author       = {Westerlund, Joakim and Thuraisamy, Kannan},
  issn         = {1566-0141},
  keyword      = {Panel data,Predictive regression,Multiple predictors,Sovereign credit risk,Credit default swap},
  language     = {eng},
  month        = {06},
  pages        = {44--60},
  publisher    = {Elsevier},
  series       = {Emerging Markets Review},
  title        = {Panel Multi-Predictor Test Procedures with an Application to Emerging Market Sovereign Risk},
  url          = {http://dx.doi.org/10.1016/j.ememar.2016.06.003},
  volume       = {28},
  year         = {2016},
}