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Boosting Data Transparency : A Shared Incentive for Borrowers and Investors
This paper shows that enhancing data transparency can help increase sovereign bond returns in countries with medium to higher levels of institutional quality. Bond returns are lower in countries with high levels of debt. However, the findings from the fixed effect instrumental variables for panel data analysis highlight that enhancing data transparency can mitigate the negative impact of debt even in a highly indebted country. The novelty of the study is that it examines the relationship between sovereign bond returns and data transparency, and then calculates the benefits accrued by external creditors from improved data transparency in the borrowing country. The determinants differ from the those of sovereign bond spreads. The paper also introduces S&P sovereign credit ratings and total reserves as additional explanatory variables. There are thresholds beyond which data transparency has a positive impact on bond returns. The estimated threshold effect levels show that a country needs to have an International Country Risk Guide score greater than 4.15 in logs for international creditors to reap the benefits from enhancing data transparency.
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