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

Author

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  • Sangyup Choi
  • Ms. Yuko Hashimoto

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.

Suggested Citation

  • Sangyup Choi & Ms. Yuko Hashimoto, 2017. "The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads," IMF Working Papers 2017/074, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2017/074
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    Cited by:

    1. Laurent Kemoe & Zaijin Zhan, 2018. "Fiscal Transparency, Borrowing Costs, and Foreign Holdings of Sovereign Debt," IMF Working Papers 2018/189, International Monetary Fund.
    2. Irving Fisher Committee, 2021. "Issues in Data Governance," IFC Bulletins, Bank for International Settlements, number 54.
    3. von Kalckreuth, Ulf, 2019. "Statistical governance and FDI in emerging economies," Discussion Papers 37/2019, Deutsche Bundesbank.

    More about this item

    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;
    All these keywords.

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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