Bloodshed or Reforms? The Determinants of Sovereign Bond Spreads in 1870-1913 and Today
AbstractDrawing on a newly-collected data set on bond yields, macroeconomic variables, and news of various categories for a panel of emerging markets, we provide the first comparative analysis of the determinants of sovereign bond spreads in the first era of financial globalization and bond finance (1870-1913) and today (1994-2002). We find that news about wars or episodes of politically-motivated violence are a significant and robust determinant of spreads; fiscal variables also play a role; in contrast, news about institutional reforms seldom have a rapid and significant impact. There are also important differences between the two eras: country-specific fundamentals account for a greater share of variation in spreads during the pre-WWI period than today.
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Bibliographic InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5528.
Date of creation: Mar 2006
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Find related papers by JEL classification:
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-08 (All new papers)
- NEP-FMK-2006-04-08 (Financial Markets)
- NEP-HIS-2006-04-08 (Business, Economic & Financial History)
- NEP-HPE-2006-04-08 (History & Philosophy of Economics)
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