Do sovereign bond spreads in inflation targeting economies reflect creditworthiness and anticipate stress scenarios?
Date
2012-09
Authors
Hatcherian, Georges
relationships.isContributorOfPublication
Warnes, Ignacio
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Escuela de Administración y Negocios.
Abstract
When successfully executed, inflation targeting (IT) has managed to
prevent situations of fiscal dominance and to anchor inflation
expectations. This has helped enhance the information content of the
price of government bonds and the perception of sovereign risk, thus
adding resiliency to sovereign spreads. The paper assesses the resilience
of sovereign spreads of IT economies to shocks and compares with
those of countries with other policy frameworks. I conclude that, while
in the short term sovereign spreads of IT economies are more resilient
to macroeconomic volatilities, they tend to widen in the long run after
the shock occurs anyway, independently of the monetary policy
framework.
Description
Fil: Hatcherian, Georges. Universidad de San Andrés. Escuela de Administración y Negocios; Argentina.
Keywords
Government securities -- Econometric models. , Inflation (Finance) -- Econometric models. , Títulos públicos -- Modelos econométricos. , Inflación (Finanzas) -- Modelos econométricos.