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Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets

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  • Emanuele Baldacci
  • Sanjeev Gupta
  • Amine Mati

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  • Emanuele Baldacci & Sanjeev Gupta & Amine Mati, 2011. "Political and Fiscal Risk Determinants of Sovereign Spreads in Emerging Markets," Review of Development Economics, Wiley Blackwell, vol. 15(2), pages 251-263, May.
  • Handle: RePEc:bla:rdevec:v:15:y:2011:i:2:p:251-263 DOI: j.1467-9361.2011.00606.x
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    References listed on IDEAS

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    1. Axel Dreher & Bernhard Herz & Volker Karb, 2006. "Is there a causal link between currency and debt crises?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 305-325.
    2. Bauer, Christian & Herz, Bernhard & Karb, Volker, 2007. "Are twin currency and debt crises special?," Journal of Financial Stability, Elsevier, pages 59-84.
    3. Graciela Kaminsky & Saul Lizondo & Carmen M. Reinhart, 1998. "Leading Indicators of Currency Crises," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 1-48, March.
    4. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, pages 529-546.
    5. Benigno, Pierpaolo & Missale, Alessandro, 2004. "High public debt in currency crises: fundamentals versus signaling effects," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 165-188, March.
    6. Carmen M. Reinhart, 2002. "Default, Currency Crises, and Sovereign Credit Ratings," World Bank Economic Review, World Bank Group, vol. 16(2), pages 151-170, August.
    7. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, pages 473-500.
    8. Connor, Gregory & Flavin, Thomas & O’Kelly, Brian, 2012. "The U.S. and Irish credit crises: Their distinctive differences and common features," Journal of International Money and Finance, Elsevier, pages 60-79.
    9. Bauer, Christian & Herz, Bernhard & Karb, Volker, 2007. "Are twin currency and debt crises special?," Journal of Financial Stability, Elsevier, pages 59-84.
    10. Ronald McKinnon & Gunther Schnabl, 2004. "The East Asian Dollar Standard, Fear of Floating, and Original Sin," Review of Development Economics, Wiley Blackwell, pages 331-360.
    11. Douglas W. Diamond & Philip H. Dybvig, 2000. "Bank runs, deposit insurance, and liquidity," Quarterly Review, Federal Reserve Bank of Minneapolis, pages 14-23.
    12. Broome, Simon & Morley, Bruce, 2004. "Stock prices as a leading indicator of the East Asian financial crisis," Journal of Asian Economics, Elsevier, pages 189-197.
    13. Bernhard Herz & Hui Tong, 2008. "Debt and Currency Crises-Complements or Substitutes?," Review of International Economics, Wiley Blackwell, pages 955-970.
    14. Ronald McKinnon & Gunther Schnabl, 2003. "The East Asian Dollar Standard, Fear of Floating, and Original Sin," Working Papers 112003, Hong Kong Institute for Monetary Research.
    15. Nagayasu, Jun, 2001. "Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand," Journal of Asian Economics, Elsevier, pages 529-546.
    16. Miller, Victoria, 2000. "Central bank reactions to banking crises in fixed exchange rate regimes," Journal of Development Economics, Elsevier, pages 451-472.
    17. Samir Jahjah & Peter Montiel, 2007. "Devaluation, Debt, and Default in Emerging Economies," Open Economies Review, Springer, pages 77-93.
    18. Shigeto Kitano, 2005. "The Government's Foreign Debt in the Argentine Crisis," Review of Development Economics, Wiley Blackwell, vol. 9(3), pages 368-379, August.
    19. Burkart, Oliver & Coudert, Virginie, 2002. "Leading indicators of currency crises for emerging countries," Emerging Markets Review, Elsevier, vol. 3(2), pages 107-133, June.
    20. Faini, Riccardo & Gressani, Daniela, 1998. "Exchange Rate Management and the External Debt Burden: The Case of the Philippines," Review of Development Economics, Wiley Blackwell, pages 123-139.
    21. Ronald McKinnon & Gunther Schnabl, 2003. "The East Asian Dollar Standard, Fear of Floating, and Original Sin," Working Papers 03001, Stanford University, Department of Economics.
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    Citations

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    Cited by:

    1. Geert Bekaert & Campbell R Harvey & Christian T Lundblad & Stephan Siegel, 2014. "Political risk spreads," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, pages 471-493.
    2. Balima, Wenéyam Hippolyte & Combes, Jean-Louis & Minea, Alexandru, 2017. "Sovereign debt risk in emerging market economies: Does inflation targeting adoption make any difference?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 360-377.
    3. Christian H Ebeke & Yinqiu Lu, 2014. "Emerging Market Local Currency Bond Yields and Foreign Holdings in the Post-Lehman Period - a Fortune or Misfortune?," IMF Working Papers 14/29, International Monetary Fund.
    4. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, pages 10-21.
    5. Metodij Hadzi-Vaskov & Luca A Ricci, 2016. "Does Gross or Net Debt Matter More for Emerging Market Spreads?," IMF Working Papers 16/246, International Monetary Fund.
    6. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, pages 1-23.
    7. Alexandru MINEA & Jean-Louis COMBES & Weneyam Hippolyte BALIMA, 2015. "Sovereign Debt Risk in Emerging Countries: Does Inflation Targeting Adoption Make Any Difference?," Working Papers 201504, CERDI.
    8. Jaramillo, Laura & Weber, Anke, 2013. "Bond yields in emerging economies: It matters what state you are in," Emerging Markets Review, Elsevier, vol. 17(C), pages 169-185.
    9. Ebeke, Christian & Lu, Yinqiu, 2015. "Emerging market local currency bond yields and foreign holdings – A fortune or misfortune?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 203-219.
    10. Huang, Tao & Wu, Fei & Yu, Jing & Zhang, Bohui, 2015. "International political risk and government bond pricing," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 393-405.
    11. Florian Berg & Paula Margaretic & Sébastien Pouget, 2016. "Sovereign Bond Spreads and Extra-Financial Performance: An Empirical Analysis of Emerging Markets," Working Papers Central Bank of Chile 789, Central Bank of Chile.
    12. Bouri, Elie & de Boyrie, Maria E. & Pavlova, Ivelina, 2017. "Volatility transmission from commodity markets to sovereign CDS spreads in emerging and frontier countries," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 155-165.
    13. Airaudo, Marco, 2012. "Endogenous Dollarization, Sovereign Risk Premia and the Taylor Principle," School of Economics Working Paper Series 2012-11, LeBow College of Business, Drexel University.
    14. Airaudo, Marco, 2014. "Currency substitution, risk premia and the Taylor principle," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 202-217.
    15. Alberto Behar & Armand Fouejieu, 2016. "External Adjustment in Oil Exporters; The Role of Fiscal Policy and the Exchange Rate," IMF Working Papers 16/107, International Monetary Fund.
    16. Pietro Alessandrini & Michele Fratianni & Andrew Hughes Hallett & Andrea Presbitero, 2014. "External Imbalances and Fiscal Fragility in the Euro Area," Open Economies Review, Springer, pages 3-34.
    17. Andrea Presbitero & Dhaneshwar Ghura & Olumuyiwa S Adedeji & Lamin Njie, 2015. "International Sovereign Bonds by Emerging Markets and Developing Economies; Drivers of Issuance and Spreads," IMF Working Papers 15/275, International Monetary Fund.
    18. Martinez, Lisana B. & Terceño, Antonio & Teruel, Mercedes, 2013. "Sovereign bond spreads determinants in Latin American countries: Before and during the XXI financial crisis," Emerging Markets Review, Elsevier, vol. 17(C), pages 60-75.
    19. Clark, Ephraim & Kassimatis, Konstantinos, 2015. "Macroeconomic effects on emerging-markets sovereign credit spreads," Journal of Financial Stability, Elsevier, pages 1-13.

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