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Is it (Still) Mostly Fiscal? : Determinants of Sovereign Spreads in Emerging Markets

Author: Sanjeev Gupta; Emanuele Baldacci; Amine Mati; International Monetary Fund.
Publisher: Washington, D.C. : International Monetary Fund, 2008.
Series: IMF Working Papers, Working Paper no. 08/259.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
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  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: Sanjeev Gupta; Emanuele Baldacci; Amine Mati; International Monetary Fund.
ISBN: 1451915705 9781451915709 9781451871173 1451871171
OCLC Number: 1044394996
Notes: Available in PDF, ePUB, and Mobi formats on the Internet.
Description: 1 online resource (23 pages).
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
Series Title: IMF Working Papers, Working Paper no. 08/259.
Responsibility: Gupta, Sanjeev.

Abstract:

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.

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