Predictability of secondary-market developing-country debt prices

Abstract

This paper examines the predictability of secondary-market prices for sovereign debt instruments issued by Colombia, Ecuador and Venezuela. Monthly time series observations for each economy are utilized in a seemingly unrelated regression framework. Econometric analysis includes both in-sample and out-of-sample modelling and forecasting results. Only data available to financial markets are included in the extrapolation analysis. Theil inequality coefficients are reported for the simulation tests.