Sovereign Borrowing Cost and the Imf's Data Standards Initiatives

26 Pages Posted: 17 May 2006

See all articles by John Cady

John Cady

International Monetary Fund (IMF) - Statistics Department

Anthony J. Pellechio

International Monetary Fund (IMF) - Statistics Department; National Bureau of Economic Research (NBER)

Date Written: March 2006

Abstract

The effects of the IMF's data standards initiatives on sovereign borrowing costs in private capital markets are investigated for 26 emerging market and developing countries. Stable and significant panel econometric estimates indicate that subscription to the Special Data Dissemination Standard (SDDS) reduces launch spreads by an average of 20 percent while participation in the General Data Dissemination System (GDDS) reduces spreads for those countries with access to capital markets by an average of 8 percent. These estimates correspond to discounts of some 50 and 20 basis points, respectively. Evidence of similar discounts is also found when launch yields are analyzed.

Keywords: Sovereign debt, yield spreads, credit ratings, capital markets, transparency, SDDS, GDDS

JEL Classification: C22, F33, F34

Suggested Citation

Cady, John and Pellechio, Anthony J., Sovereign Borrowing Cost and the Imf's Data Standards Initiatives (March 2006). IMF Working Paper No. 06/78, Available at SSRN: https://ssrn.com/abstract=901869

John Cady (Contact Author)

International Monetary Fund (IMF) - Statistics Department ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Anthony J. Pellechio

International Monetary Fund (IMF) - Statistics Department ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
110
Abstract Views
1,110
rank
305,967
PlumX Metrics