The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads
IMF Working Papers, March 28, 2017
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Bibliographic details
- Authors: Sangyup Choi, Yuko Hashimoto
- Published: March 28, 2017
- Series: IMF Working Papers
Key Findings
- Subscriptions to the IMF’s Data Standards Initiatives (SDDS and GDDS) reduce the spreads of emerging market sovereign bonds.
- Using an event study, subscriptions to the SDDS or GDDS lead to a 15 percent reduction in the spreads one year following such reforms.
- The reform decision is shown to be largely independent of a country’s macroeconomic development, addressing endogeneity concerns.
Methodology and Identification
- The analysis addresses endogeneity of the reform decision by first demonstrating that the decision to subscribe is largely independent of macroeconomic development.
- An event study framework is used to estimate the causal effect of subscriptions to the SDDS or GDDS on sovereign bond spreads.
Robustness and Sensitivity Tests
- The 15 percent reduction finding is robust to various sensitivity tests.
- Robustness includes careful consideration of the interdependence among the structural reforms.
Subject Areas and Keywords
- 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.