IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812770745_0025.html
   My bibliography  Save this book chapter

Does Macroeconomic Transparency Help Governments Be Solvent?: Evidence From Recent Data

In: Risk Management And Value Valuation and Asset Pricing

Author

Listed:
  • Ramzi Mallat

    (EM Lyon Business School & University of Lyon 2, 88 Rue Pasteur, 69007 Lyon, France)

  • Duc Khuong Nguyen

    (ISC Paris School of Management, 22 Boulevard du Fort de Vaux, 75848 Paris, cedex 17, France)

Abstract

AbstractThis chapter investigates whether macroeconomic and data transparency standards lead to lower borrowing costs in sovereign bond markets. We essentially show that emerging market countries which subscribed to the Special Data Dissemination Standard (SDDS) experienced a significant decline in borrowing cost proxied by sovereign yield spreads on secondary markets. However, the adherence of these markets to the Code of Good Practices on Transparency in Monetary and Financial Policies caused a significant increase in the yield spreads. There is no impact of the adherence to the Code of Good Practices in Fiscal Transparency on the changes of sovereign spreads. In addition, the results suggest that a debtor country's internal liquidity factor (measured by the total reserves to total external debt service ratio) and external liquidity conditions (measured by the yield on US long-term bond) are the most important determinants of emerging market spreads.

Suggested Citation

  • Ramzi Mallat & Duc Khuong Nguyen, 2008. "Does Macroeconomic Transparency Help Governments Be Solvent?: Evidence From Recent Data," World Scientific Book Chapters,in: Risk Management And Value Valuation and Asset Pricing, chapter 25, pages 615-631 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812770745_0025
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/pdf/10.1142/9789812770745_0025
    Download Restriction: Ebook Access is available upon purchase.

    File URL: http://www.worldscientific.com/doi/abs/10.1142/9789812770745_0025
    Download Restriction: Ebook Access is available upon purchase.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    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. Shang-Jin Wei & R. G Gelos, 2002. "Transparency and International Investor Behavior," IMF Working Papers 02/174, International Monetary Fund.
    3. Sebastian Edwards, 1983. "LDC's Foreign Borrowing and Default Risk: An Empirical Investigation," NBER Working Papers 1172, National Bureau of Economic Research, Inc.
    4. John Cady, 2005. "Does SDDS Subscription Reduce Borrowing Costs for Emerging Market Economies?," IMF Staff Papers, Palgrave Macmillan, vol. 52(3), pages 1-6.
    5. Andritzky, Jochen R. & Bannister, Geoffrey J. & Tamirisa, Natalia T., 2007. "The impact of macroeconomic announcements on emerging market bonds," Emerging Markets Review, Elsevier, vol. 8(1), pages 20-37, March.
    6. Juttner, D. Johannes & Chung, David & Leung, Wayne, 2006. "Emerging market bond returns--An investor perspective," Journal of Multinational Financial Management, Elsevier, vol. 16(2), pages 105-121, April.
    7. Edwards, Sebastian, 1984. "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, American Economic Association, vol. 74(4), pages 726-734, September.
    8. Barry Eichengreen & Ashoka Mody, 2000. "What Explains Changing Spreads on Emerging Market Debt?," NBER Chapters,in: Capital Flows and the Emerging Economies: Theory, Evidence, and Controversies, pages 107-134 National Bureau of Economic Research, Inc.
    9. Gianluigi Ferrucci, 2003. "Empirical determinants of emerging market economies' sovereign bond spreads," Bank of England working papers 205, Bank of England.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Risk; Value; Management; Derivatives;

    JEL classification:

    • G19 - Financial Economics - - General Financial Markets - - - Other
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812770745_0025. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.