Inferences from Portfolio Theory and Efficient Market Hypothesis to the Impact of Social Media on Sovereign Debt: Colombia, Ecuador, and Peru

Abstract

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a proxy of risk I call endogenous risk that analyzes the quarterly variability of economic activity, and second, by calculating a variable of sentiment from Twitter activity. I gauge the impact of both on the country risk metric in addition to variables in existing research about the determinants of country risk. Foreign exchange variables are the most significant determinants of risk for the countries of Colombia and Peru, which actively manage their currency, while Ecuador’s country risk is mostly affected by endogenous risk and macroeconomic fundamentals.

To Be, or Not to Be: The Role of Self-Perception in European Countries’ Performance Assessment

“…It is an absolute score that allows for comparisons over time, for whatever indicator, of a country's performance against the best and worst performance. DTF scores are widely used in the economic literature for country comparisons in different contexts (e.g., [38][39][40][41]). DTF scores range from a minimum score of zero (worst performance) to a maximum score of 100 (best performance, the frontier).…”