The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?

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 beh...

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Autores principales:	Arahuetes García,Alfredo, Gómez Bengoechea,Gonzalo
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2018
Materias:	Sovereign spreads quantile regressions Macroeconomic Imbalance Procedure
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862018000100079
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spelling	oai:scielo:S0718-528620180001000792018-07-12The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?Arahuetes García,AlfredoGómez Bengoechea,Gonzalo Sovereign spreads quantile regressions Macroeconomic Imbalance Procedure 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.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.45 n.1 20182018-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862018000100079en10.4067/S0718-52862018000100079
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Sovereign spreads quantile regressions Macroeconomic Imbalance Procedure
spellingShingle	Sovereign spreads quantile regressions Macroeconomic Imbalance Procedure Arahuetes García,Alfredo Gómez Bengoechea,Gonzalo The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
description	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.
author	Arahuetes García,Alfredo Gómez Bengoechea,Gonzalo
author_facet	Arahuetes García,Alfredo Gómez Bengoechea,Gonzalo
author_sort	Arahuetes García,Alfredo
title	The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
title_short	The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
title_full	The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
title_fullStr	The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
title_full_unstemmed	The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
title_sort	macroeconomic imbalance procedure: a useful tool for predicting sovereign crises?
publisher	Universidad de Chile. Departamento de Economía
publishDate	2018
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862018000100079
work_keys_str_mv	AT arahuetesgarciaalfredo themacroeconomicimbalanceprocedureausefultoolforpredictingsovereigncrises AT gomezbengoecheagonzalo themacroeconomicimbalanceprocedureausefultoolforpredictingsovereigncrises AT arahuetesgarciaalfredo macroeconomicimbalanceprocedureausefultoolforpredictingsovereigncrises AT gomezbengoecheagonzalo macroeconomicimbalanceprocedureausefultoolforpredictingsovereigncrises
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The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?

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