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The impact of debt sustainability and the level of debt on emerging markets spreads

Author: Nazim Belhocine; Salvatore Dell'Erba; International Monetary Fund. Fiscal Affairs Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2013.
Series: IMF working paper, WP/13/93.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
"How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability - the difference between the debt stabilizing primary balance and the primary balance-in an otherwise standard spread regression model applied to a panel of 26 emerging market economies. We find that debt sustainability is an important determinant of  Read more...
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Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nazim Belhocine; Salvatore Dell'Erba; International Monetary Fund. Fiscal Affairs Department.
ISBN: 9781484335888 1484335880
OCLC Number: 841416231
Notes: Title from PDF title page (IMF Web site, viewed May 1, 2013).
"Fiscal Affairs Department"--Page 2 of pdf.
"May 2013"--Page 2 of pdf.
Description: 1 online resource (31 pages) : color illustrations.
Contents: Cover; Abstract; Contents; Tables; Figures; I. Introduction; II. Literature Review; III. Empirical Model; IV. Data Description; V. Impact of Debt Sustainability on Spreads; TABLES; Table 1. Summary Statistics of the Variables Considered; VI. Exploring the Role of the Debt Level in the Response of Spreads to Debt Sustainability; Table 2. Spread Regressions With and Without the Debt Sustainability Term; Table 3. Logistic Smooth Transition Regression Results; VII. Discussion And Contribution; FIGURES. Figure 1. Elasticity of Spreads with Respect to the Debt Stabilizing Primary Balance as the Debt Varies Around its Identified ThresholdTable 4. Summary of Debt Thresholds Identified in the Literature for Emerging Market Economies; Figure 2. Gross Debt Ratios in G20 Countries (PPP-Weighted Averages); VIII. Extensions and Robustness; Table 5. Logistic Smooth Transition Regression Results; Figure 3. Elasticity of Spreads with Respect to the Debt Consolidating Primary Balance as the Debt Varies Around its Identified Threshold; IX. Conclusion; Table 6. Logistic Smooth Transition Regression Results. Table 7. Impact of Removing One Country at a Time on the Regression ResultsAppendix; References.
Series Title: IMF working paper, WP/13/93.
Responsibility: Nazim Belhocine and Salvatore Dell'Erba,

Abstract:

"How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability - the difference between the debt stabilizing primary balance and the primary balance-in an otherwise standard spread regression model applied to a panel of 26 emerging market economies. We find that debt sustainability is an important determinant of spreads. In addition, using a panel smooth transition regression model, we find that the sensitivity of spreads to debt sustainability doubles as public debt increases above 45 percent of GDP. These results suggest that market interest rates react more to debt sustainability concerns in a country with a high level of debt compared to a country with a low level of debt"--Abstract.

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