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The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads
Author:
Sangyup Choinull

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and
Ms. Yuko Hashimoto
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Series:
IMF Working Papers
Volume/Issue:
Volume 2017: Issue 074
Language:
English
Publication Date:
28 Mar 2017
DOI:
https://doi.org/10.5089/9781475589603.001
ISBN:
9781475589603
ISSN:
1018-5941
Pages:
33
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
Legal-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.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2017: Issue 074