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

Sangyup Choi and Yuko Hashimoto

No 2017/074, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; sovereign bond; reform; data transparency policy reform; sovereign bond spread; data transparency; structural reforms; sovereign bond spreads; GDDS; SDDS; event study; transparency policy reform; reform decision; IMF Data standards initiatives; inflation rate; Sovereign bonds; Yield curve; Special Data Dissemination Standard (SDDS); Emerging and frontier financial markets; Global (search for similar items in EconPapers)
Pages: 33
Date: 2017-03-28
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Citations: View citations in EconPapers (3)

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Working Paper: The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads (2017)
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