The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?
AbstractThis 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.
Keywords Sovereign spreads, quantile regressions, Macroeconomic Imbalance Procedure
How to Cite
Arahuetes García, A., & Gómez Bengoechea, G. (2018). The Macroeconomic Imbalance Procedure: A useful tool for predicting sovereign crises?. Estudios de Economía, 45(1), 79-111. Retrieved from https://estudiosdeeconomia.uchile.cl/index.php/EDE/article/view/49266/51796