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Record Nr. |
UNINA9910825893303321 |
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Autore |
Gupta Sanjeev |
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Titolo |
Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets / / Sanjeev Gupta, Amine Mati, Emanuele Baldacci |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-8303-3 |
1-4527-1880-6 |
9786612842108 |
1-282-84210-2 |
1-4518-7117-1 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (25 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/259 |
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Altri autori (Persone) |
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MatiAmine |
BaldacciEmanuele |
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Disciplina |
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Soggetti |
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Corporate bonds - Developing countries - Econometric models |
State bonds - Developing countries - Econometric models |
Finance: General |
Macroeconomics |
Public Finance |
Debt |
Debt Management |
Sovereign Debt |
National Government Expenditures and Related Policies: Infrastructures |
Other Public Investment and Capital Stock |
General Financial Markets: General (includes Measurement and Data) |
Fiscal Policy |
Public Administration |
Public Sector Accounting and Audits |
Public finance & taxation |
Finance |
Public debt |
Public investment spending |
Emerging and frontier financial markets |
Fiscal stance |
Fiscal risks |
Fiscal policy |
Debts, Public |
Public investments |
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Financial services industry |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Contents; I. Introduction; II. Literature Review; III. Sovereign Spreads: A Simple Theoretical Framework; IV. Empirical Model Specification; V. Data and Estimation Results; Tables; 1. Descriptive Statistics; 2. Correlation Between (log) Spreads, Political Risk and Fiscal Variables; Charts; 1. Emerging Market Risk (log) Spreads and Various Political Risk Indices; 2. Emerging Market Risk (log) Spreads and Fiscal Variables; 3. Random Effects Estimates; VI. Robustness Analysis; 4. Alternative Estimations: Whole Sample; VII. Conclusions; 5. Effects of Different Political Variables on Spreads |
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Sommario/riassunto |
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Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging markets. Lower levels of political risk are associated with tighter spreads, while efforts at fiscal consolidation narrow credit spreads, especially in countries that experienced prior defaults. The composition of fiscal policy matters: spending on public investment contributes to lower spreads as long as the fiscal position remains sustainable and the fiscal deficit does not worsen. |
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