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• W2128760242 abstract "This study addresses the counterintuitive result produced by the Duffie and Lando (2001) incomplete information model by remodelling its asset density function with added positive bias. We call this new model biased information model. The theory is then applied to study the effect of fiscal opacity on the levels and term structure of sovereign credit spreads. We make use of new panel datasets sourced from Open Budget Survey and IMF World Economic Outlook Database. Using panel data tests, we show that higher fiscal opacity leads to higher credit spreads, and that this relationship is nonlinear. Moreover, we show that fiscal opacity premium exists across the whole credit spread curve. These results have implications for policy setting in economies that are emerging from the debt crisis, since investors demand higher premium when there is high fiscal opacity." @default.
• W2128760242 created "2016-06-24" @default.
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• W2128760242 date "2012-01-01" @default.
• W2128760242 modified "2023-09-27" @default.
• W2128760242 title "Fiscal Opacity and Sovereign Credit Spreads" @default.
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