Sovereign Risk Premiums in CEEC Countries: A Non-Parametric Matching Method

40 Pages Posted: 15 Aug 2012

See all articles by Frédéric Laurin

Frédéric Laurin

University of Quebec at Trois-Rivières

Date Written: March 1, 2012

Abstract

In this paper, we develop a non-parametric matching method to estimate the over or under valuation of sovereign risk in Central and Eastern European Countries (CEECs) between 2004 and 2007. CEECs are matched to other countries that are very similar with regards to macroeconomic fundamentals. This set of countries then becomes an appropriate benchmark to assess the valuation of risk premiums. Our results show that markets may have underestimated sovereign risk premiums in CEECs by an average of 2.7 percentage point in the years following accession to the European Union.

Keywords: Sovereign risk, Central and Eastern European Countries, government bonds, matching methods

JEL Classification: C14, E43, F34, F36, G12, G15

Suggested Citation

Laurin, Frédéric, Sovereign Risk Premiums in CEEC Countries: A Non-Parametric Matching Method (March 1, 2012). Available at SSRN: https://ssrn.com/abstract=2129568 or http://dx.doi.org/10.2139/ssrn.2129568

Frédéric Laurin (Contact Author)

University of Quebec at Trois-Rivières ( email )

3351, boul. des Forges, POBox 500
Trois-Rivières, Québec G9A 5H7
Canada
+1 819 376 5011 ext. 3118 (Phone)

HOME PAGE: http://www.fredericlaurin.com

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