IMF Working Papers

The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads

By Sangyup Choi, Yuko Hashimoto

March 28, 2017

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Sangyup Choi, and Yuko Hashimoto. The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads, (USA: International Monetary Fund, 2017) accessed November 7, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

We find that data transparency policy reforms, reflected in subscriptions to the IMF’s Data Standards Initiatives (SDDS and GDDS), reduce the spreads of emerging market sovereign bonds. To overcome endogeneity issues regarding a country’s decision to adopt such reforms, we first show that the reform decision is largely independent of its macroeconomic development. By using an event study, we find that subscriptions to the SDDS or GDDS leads to a 15 percent reduction in the spreads one year following such reforms. This finding is robust to various sensitivity tests, including careful consideration of the interdependence among the structural reforms.

Subject: Economic and financial statistics, Emerging and frontier financial markets, Financial institutions, Financial markets, Financial services, Sovereign bonds, Special Data Dissemination Standard (SDDS), Yield curve

Keywords: Data transparency, Data transparency policy reform, Emerging and frontier financial markets, Event study, GDDS, Global, IMF Data standards initiatives, Inflation rate, Reform, Reform decision, SDDS, Sovereign bond, Sovereign bond spread, Sovereign bond spreads, Sovereign bonds, Special Data Dissemination Standard (SDDS), Structural reforms, Transparency policy reform, WP, Yield curve

Publication Details

  • Pages:

    33

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2017/074

  • Stock No:

    WPIEA2017074

  • ISBN:

    9781475589603

  • ISSN:

    1018-5941