| Description |
1 online resource (23 pages) |
| Series |
IMF Working Papers, 2227-8885 ; Working Paper No. 08/259 |
|
IMF Working Papers ; Working Paper no. 08/259
|
| Contents |
I. Introduction; II. Literature Review; III. Sovereign Spreads: A Simple Theoretical Framework; IV. Empirical Model Specification; V. Data and Estimation Results; Tables; 1. Descriptive Statistics; 2. Correlation Between (log) Spreads, Political Risk and Fiscal Variables; Charts; 1. Emerging Market Risk (log) Spreads and Various Political Risk Indices; 2. Emerging Market Risk (log) Spreads and Fiscal Variables; 3. Random Effects Estimates; VI. Robustness Analysis; 4. Alternative Estimations: Whole Sample; VII. Conclusions; 5. Effects of Different Political Variables on Spreads |
| Summary |
Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging markets. Lower levels of political risk are associated with tighter spreads, while efforts at fiscal consolidation narrow credit spreads, especially in countries that experienced prior defaults. The composition of fiscal policy matters: spending on public investment contributes to lower spreads as long as the fiscal position remains sustainable and the fiscal deficit does not worsen |
| Notes |
Available in PDF, ePUB, and Mobi formats on the Internet |
| Subject |
Corporate bonds -- Developing countries -- Econometric models
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State bonds -- Developing countries -- Econometric models
|
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Developing countries
|
| Form |
Electronic book
|
| Author |
Baldacci, Emanuele
|
|
Gupta, Sanjeev
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Mati, Amine
|
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International Monetary Fund.
|
| ISBN |
1451915705 |
|
9781451915709 |
|
9781451871173 |
|
1451871171 |
|
