Mpapalika, Jane; Malikane, Christopher - In: Journal of risk and financial management : JRFM 12 (2019) 1/29, pp. 1-20
This paper investigates the determinants of the sovereign risk premium in African countries. We employ the dynamic fixed effects model to determine the key drivers of sovereign bond spreads. Country-specific effects are fixed and the inclusion of dummy variables using the Bai-Perron multiple...