Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

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

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Year of publication:	2008
Authors:	Gupta, Sanjeev
Other Persons:	Mati, Amine (contributor) ; Baldacci, Emanuele (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Schwellenländer \| Emerging economies \| Länderrisiko \| Country risk

Extent:	Online-Ressource (25 p)
Series:	IMF Working Papers
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record 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
ISBN:	978-1-4518-7117-3 ; 978-1-4519-1570-9 ; 978-1-4518-7117-3
Source:	ECONIS - Online Catalogue of the ZBW

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