Sovereign debt cost and economic complexity
研究发现，经济复杂性指数每提高一个单位，十年期主权收益率利差下降约61个基点，但对短期债券影响不显著，经济复杂性是预测利差的关键因素。
• Economic complexity reduces 10-year yield spreads by about 61 basis points. • Short-term yields (<3 years) show no significant impact from economic complexity. • Economic complexity is a top predictor of sovereign yield spreads. • Economic complexity impacts long-term productivity and fiscal stability. • Advanced causal machine learning tools are used to better control for a large set of variables. This paper investigates how a country’s economic complexity impacts its sovereign yield spread relative to the U.S. A one-unit increase in the Economic Complexity Index reduces the 10-year yield spread by about 61 basis points, though this effect is non-significant for maturities under three years, affecting the spread curve slope. Using causal machine learning and predictive models, economic complexity is a top predictor alongside inflation and institutional factors. The paper explores mechanisms through which economic complexity reduces sovereign risk, emphasizing its role in productivity, output, income stability, and the likelihood of fiscal crises.