Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)

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Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)

by Seung Jung Lee of the University of Chicago

May 10, 2006

Abstract: This is the first essay to my dissertation which explores the link between information quality of macro aggregates and sovereign risk. I establish that data quality of macro aggregates increases the repayment ratio after default but has a positive, yet insignificant, effect on the default probability. My estimation accounts for selection bias by using a cross-country panel data of 69 developing countries for 1989-2002. Results are robust to controlling for various governance factors and income levels. I conclude that good information of macro aggregates reduces sovereign risk by enhancing the repayment ratio conditional on default.

JEL Classification: F34.

Previously titled: How Data Quality of Macro Aggregates Affects Sovereign Risk: Estimating and Explaining the link (Job Market Paper)

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