Foreign perception of sovereign risk : an event study of the colombian armed conflict
Summary
Este paper estudia la relación entre algunos de los eventos más importantes del conflicto colombiano con la percepción extranjera de riesgo soberano, medido por los Credit Default Swaps (CDS) de los bonos del Gobierno Colombiano. Usando dos metodologías relativamente recientes, yo estimo el efecto causal de los eventos de conflicto ampliamente cubierto por los medios internacionales. En primer lugar construyo un grupo de control sintético que funciona como contra factual de la serie real de los CDS colombianos pero en ausencia de eventos de conflicto. Segundo, estimo el efecto acumulado del evento bajo la metodología de retornos anormales acumulados. Los resultados sugieren que los efectos de los eventos de conflicto sobre la percepción extranjera de riesgo soberano dependen de las especificaciones de cada evento.
Abstract
This paper studies the relationship between some of the most
important recent events of the Colombian armed conflict and the foreign
perception of risk of investment, as measured by the Credit Default Swap
(CDS) for the Colombian government. Combining two recent methodologies I
estimate the causal effect of conflict events widely publicized by
the international media on the CDS. I construct a synthetic control group to
use as the non-conflict counterfactual of the actual Colombian CDS and
compare its behavior around conflict-event days with that of the actual
(conflict-affected) Colombian CDS. Results suggest that the impact of
conflict on the foreign perception of risk depend on on the specifics of
each event: Some events are perceived as good and some other as bad
investment signals by foreign investors.
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- Maestría en Economía [135]
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