Front Matter Page
Statistics Department
Contents
Abstract
I. Introduction
II. Econometric Models and Data
A. An Event Study
B. Data Description
III. Empirical Results
A. Data Transparency Policy Reform Decisions and the Macroeconomic Conditions
B. Do Data Transparency Policy Reforms Reduce Sovereign Bond Spreads?
IV. Robustness Checks and Further Results
A. Global Control Variables and the Treatment of a Dependent Variable
B. Treatment of Outliers and Overlapping Events
C. Lagged Dependent Variable
D. Controlling for Additional Macroeconomic Factors
E. Alternative Control Variables
F. Placebo Test: False Dates of the Data Transparency Policy Reforms
G. Subscription vs. Compliance to the SDDS
H. Non-linearity in Data Transparency Policy Reforms: SDDS vs. GDDS
V. Conclusions
References
FIGURES
1. The EMBIG Spreads Prior to and After Data Transparency Policy Reforms
2. The EMBIG Spreads Prior to and After Data Transparency Policy Reforms: Placebo Test
3. Conditional Mean of Selected Variables Around Data Transparency Policy Reforms
TABLES
1. Impact of Macroeconomic Variables on Sovereign Bond Spreads
2. Impact of Data Transparency Policy Reforms on Sovereign Bond Spreads: Baseline
3. Data Transparency Policy Reforms on Sovereign Bond Spreads: Robustness Checks
4. Impact of Data Transparency Policy Reforms on Sovereign Bond Spreads: Controlling for Macroeconomic Factors
5. Impact of Data Transparency Policy Reforms on Sovereign Bond Spreads: Controlling for Additional Factors
6. Impact of Data Transparency Policy Reforms on Sovereign Bond Spreads: Placebo Test
7. Impact of Data Transparency Policy Reforms: Subscriptions vs. Compliance
8. Impact of Data Transparency Policy Reforms: SDDS vs. GDDS
Appendix Tables
A.1. Data description
A.2. SDDS Subscription and GDDS Participation Dates, and the EMBIG Coverage
A.3. Assigning Numerical Values to Fitch’s Letter Credit Ratings