Front Matter Page
Western Hemisphere Department
Contents
Abstract
I. Introduction
II. Literature Review
III. Methodology
A. Data on net debt
B. Overall dataset
C. Empirical strategy
IV. Results
A. Preview
B. Baseline
C. Robustness checks
D. Impact of official reserves and primary balance
E. Effect of distress episodes
F. Nonlinearities
V. Additional explorations: advanced economies and local interest rates
A. Advanced economies
B. Emerging markets
VI. Conclusion
VII. References
Tables
1. Summary Statistics
2. Country Groups
3. A Preview Without Controls
4. Baseline Results
5. Robustness: Different Country Groups and Methods
6. Robustness: Credit Default Swaps (Instead of EMBI)
7. Results with Other Determinants
8. Distress Episodes
9. Nonlinearities
10. Additional Explorations: Credit Default Swaps in Advanced Economies
11. Additional Explorations: Local Currency Interest Rates in Advanced
12. Additional Explorations: Local Currency Interest Rates in Emerging Markets
13. Additional Explorations: Spreads in Emerging Markets (Restricted Sample)
Figures
1. Government Debt and Sovereign Spreads (2014): Gross or Net Debt?
2. Example: Debt, Assets, and Spreads in Brazil and Colombia (2003–2012)
3. Evolution of Gross Debt and Net Debt
Annexes
Annex I, Figure 1. Evolution of Gross Debt and Net Debt in Regional Groupings
Annex II, Figure 1. Evolution of Gross Debt and Net Debt, by Country