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Transparency and emerging market bond spreads

  • Moretti, Laura

I investigate the effect of transparency on the borrowing costs of Emerging Markets Economies. Transparency is measured by whether or not the countries publish the IMF Article IV Staff report and the Reports on the Observance of Standards and Codes (ROSC). Using difference-in-difference estimation, I study the effect on the sovereign credit spreads for 18 Emerging Market Economies over the period 1999-2007. I show that the effect of publishing the Article IV reports is negligible while publishing the ROSC matters, leading to a reduction in the spreads of over 15% in the samples 1999-2006 and 1999-2007.

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Paper provided by Center for Financial Studies (CFS) in its series CFS Working Paper Series with number 2011/14.

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Date of creation: 2011
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Handle: RePEc:zbw:cfswop:201114
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  1. Martín González Rozada & Eduardo Levy Yeyati, 2006. "Global Factors and Emerging Market Spreads," Research Department Publications 4445, Inter-American Development Bank, Research Department.
  2. Francesco Giavazzi & Guido Tabellini, 2004. "Economic and Political Liberalizations," Working Papers 264, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  3. Forbes, Kristin J., 2010. "Why do foreigners invest in the United States?," Journal of International Economics, Elsevier, vol. 80(1), pages 3-21, January.
  4. Jens Hilscher & Yves Nosbusch, 2007. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Money Macro and Finance (MMF) Research Group Conference 2006 114, Money Macro and Finance Research Group, revised 24 Apr 2007.
  5. John Cady, 2004. "Does Sdds Subscription Reduce Borrowing Costs for Emerging Market Economies," IMF Working Papers 04/58, International Monetary Fund.
  6. Ana Fostel & Graciela Kaminsk, 2007. "Latin America's Access to International Capital Markets: Good Behavior or Global Liquidity?," Working Papers Central Bank of Chile 442, Central Bank of Chile.
  7. Judson, Ruth A. & Owen, Ann L., 1999. "Estimating dynamic panel data models: a guide for macroeconomists," Economics Letters, Elsevier, vol. 65(1), pages 9-15, October.
  8. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  9. Lee, Myoung-jae & Kang, Changhui, 2006. "Identification for difference in differences with cross-section and panel data," Economics Letters, Elsevier, vol. 92(2), pages 270-276, August.
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