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A structural model of sovereign debt issuance: assessing the role of financial factors

Listed author(s):
  • Aitor Erce

    ()

    (Banco de España)

The role that domestic and international financial conditions have in shaping developing countries’ governments’ debt structure is structurally estimated using data on individual bond issuance. The structural model, which uses financial and demographic conditions to achieve identification, is used to estimate three key characteristics of sovereign bonds: issue size, maturity and spread. To minimize sample selection concerns, in a first step, the issuance decision is studied by means of a probit model. Results show that better developed domestic financial markets and looser international financial conditions raise developing countries ability to tap international markets and, mainly through their effect on the spreads, are important determinants of the observed debt structure. We find evidence of complementarities between domestic financial deepening and financing conditions in global markets.

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File URL: http://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/08/Fic/dt0809e.pdf
File Function: First version, June 2008
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Paper provided by Banco de España & Working Papers Homepage in its series Working Papers with number 0809.

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Length: 39 pages
Date of creation: Jun 2008
Handle: RePEc:bde:wpaper:0809
Contact details of provider: Web page: http://www.bde.es/

Web page: http://www.bde.es/bde/en/secciones/informes/Publicaciones_se/docs/
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  1. Carlos Thomas, 2007. "Search Frictions, Real Rigidities and Inflation Dynamics," CEP Discussion Papers dp0822, Centre for Economic Performance, LSE.
  2. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España;Working Papers Homepage.
  3. Mario Izquierdo & Juan Jimeno & Juan Rojas, 2010. "On the aggregate effects of immigration in Spain," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(4), pages 409-432, September.
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  5. Paloma López-García & Sergio Puente & Ángel Luis Gómez, 2007. "Firm productivity dynamics in Spain," Working Papers 0739, Banco de España;Working Papers Homepage.
  6. Juan Ruiz & Josep M. Vilarrubia, 2007. "The wise use of dummies in gravity models: export potentials in the Euromed region," Working Papers 0720, Banco de España;Working Papers Homepage.
  7. Andres, Javier & Domenech, Rafael & Fatas, Antonio, 2008. "The stabilizing role of government size," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 571-593, February.
  8. Philip Vermeulen & Daniel A. Dias & Maarten Dossche & Erwan Gautier & Ignacio Hernando & Roberto Sabbatini & Harald Stahl, 2012. "Price Setting in the Euro Area: Some Stylized Facts from Individual Producer Price Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1631-1650, December.
  9. Donato Masciandaro & María J. Nieto & Henriëtte Prast, 2007. "Financial governance of banking supervision," Working Papers 0725, Banco de España;Working Papers Homepage.
  10. Juan Ayuso & Juan F. Jimeno & Ernesto Villanueva, 2007. "The effects of the introduction of tax incentives on retirement savings," Working Papers 0724, Banco de España;Working Papers Homepage.
  11. Enrique Alberola & José María Serena, 2007. "Global financial integration, monetary policy and reserve accumulation. Assessing the limits in emerging economies," Working Papers 0706, Banco de España;Working Papers Homepage.
  12. Paloma Acevedo & Enrique Alberola & Carmen Broto, 2007. "Local debt expansion... vulnerability reduction? An assessment for six crises-prone countries," Working Papers 0733, Banco de España;Working Papers Homepage.
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