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Sovereign Borrowing Cost and the IMF's Data Standards Initiatives

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  • John Cady
  • Anthony J. Pellechio
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    Abstract

    The effects of the IMF''s data standards initiatives on sovereign borrowing costs in private capital markets are investigated for 26 emerging market and developing countries. Stable and significant panel econometric estimates indicate that subscription to the Special Data Dissemination Standard (SDDS) reduces launch spreads by an average of 20 percent while participation in the General Data Dissemination System (GDDS) reduces spreads for those countries with access to capital markets by an average of 8 percent. These estimates correspond to discounts of some 50 and 20 basis points, respectively. Evidence of similar discounts is also found when launch yields are analyzed.

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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 06/78.

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    Length: 26
    Date of creation: 01 Mar 2006
    Date of revision:
    Handle: RePEc:imf:imfwpa:06/78

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    Keywords: Sovereign debt; Public debt; Special Data Dissemination Standard; General Data Dissemination System; Economic models; bonds; capital markets; bond; international capital markets; credit rating; international capital; access to international capital; access to international capital markets; financial stability; bond issuance; denominated bonds; financial markets; private capital markets; sovereign bonds; international finance; currency of denomination; international country risk guide; bond issues; bond market; market bond; international standards; international financial statistics; access to capital markets; private capital; credit rating agencies; financial globalization; debt stocks; government bond; sovereign bond; international financial system; emerging market bond; international financial architecture; secondary bond markets; inflation rate; bond markets; financial system; secondary bond market; bond indices;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Yongseok Shin & Rachel Glennerster, 2003. "Is Transparency Good for You, and Can the IMF Help?," IMF Working Papers 03/132, International Monetary Fund.
    2. Eichengreen, Barry & Kletzer, Kenneth & Mody, Ashoka, 2005. "The IMF in a World of Private Capital Markets," Santa Cruz Department of Economics, Working Paper Series qt84s7r0jf, Department of Economics, UC Santa Cruz.
    3. Andrew Tiffin & Christian B. Mulder & Charalambos Christofides, 2003. "The Link Between Adherence to International Standards of Good Practice, Foreign Exchange Spreads, and Ratings," IMF Working Papers 03/74, International Monetary Fund.
    4. Christian B. Mulder & Brieuc Monfort, 2000. "Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies," IMF Working Papers 00/69, International Monetary Fund.
    5. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53.
    6. John Cady, 2005. "Does SDDS Subscription Reduce Borrowing Costs for Emerging Market Economies?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 6.
    7. Shang-Jin Wei & Gaston Gelos, 2002. "Transparency and International Investor Behavior," IMF Working Papers 02/174, International Monetary Fund.
    8. Barry Eichengreen & Ashoka Mody, 1998. "What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment?," NBER Working Papers 6408, National Bureau of Economic Research, Inc.
    9. Stanley Fischer, 2002. "Financial Crises and Reform of the International Financial System," NBER Working Papers 9297, National Bureau of Economic Research, Inc.
    10. Sebastian Edwards, 1983. "LDC's Foreign Borrowing and Default Risk: An Empirical Investigation," NBER Working Papers 1172, National Bureau of Economic Research, Inc.
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