Reproducibility package for Decomposing Global Fear: Expected Uncertainty, Risk Aversion, And Sovereign Spreads In Emerging Market Economies
Overview
We decompose the square of the VIX into expected uncertainty and a variance-premium component as a proxy for risk aversion and then quantify the effects of shocks to each component on EMBI sovereign spreads of 70 emerging economies over 1993–2024. Expected-uncertainty and risk aversion shocks generate nearly identical peak increases in EMBI spreads of about 28–29 basis points in the first quarter, but their subsequent propagation differs markedly. The uncertainty response remains economically and statistically significant for about a year, whereas the risk aversion response fades within six months. State-dependent estimates show that uncertainty transmission is substantially stronger in countries with low reserves and low per capita incomes, with more selective evidence of amplification by high external debt at medium horizons. A country-specific measure of exposure to adverse global risk states, constructed from sovereign-spread sensitivity to increases in the aggregate VIX, is largely distinct from debt and reserves and is especially informative for short-run transmission of risk aversion shocks, while also containing information about expected uncertainty responses. These findings show that treating the VIX as a single global-risk factor can mask shocks with similar immediate effects but very different persistence and cross-country transmission.
Reproducibility Package
| Repository name | URI |
|---|---|
| Reproducible Research Repository (World Bank) | https://reproducibility.worldbank.org |
Reproducibility
Paper exhibits were reproduced on a computer with the following specifications:
• OS: Windows 11 Enterprise
• Processor: Intel(R) Xeon(R) Gold 5218 CPU @ 2.30GHz (2.30 GHz) (2 processors)
• Memory available: 16.0 GB
Run time: ~ 3.5 hours
To reproduce the findings in this paper, a replicator must:
- Secure Access to Data: Access the datasets not included in the package. See the Datasets section for more details.
- Run the Package:
- Update the working directory in line 167 of the script
Eskimez_Vorisek_JME_Replication.do, and run it.
Since not all the data is included, the package includes the results produced by replicators. These files can be used to review the results presented in the paper.
Data
The reproducibility package relies on 2 types of data: open, and limited-access data (must be purchased). For the source, access type, file location, and citation of each dataset, refer to the Datasets section and the README file.
Description
| Author | Affiliation | |
|---|---|---|
| Reina Eskimez | World Bank | rkawai@worldbank.org |
| Dana Vorisek | World Bank | dvorisek@worldbank.org |
2026-11-04
Scope and coverage
| Location | Code |
|---|---|
| World | WLD |
Disclaimer
The materials in the reproducibility packages are distributed as they were prepared by the staff of the International Bank for Reconstruction and Development/The World Bank. The findings, interpretations, and conclusions expressed in this event do not necessarily reflect the views of the World Bank, the Executive Directors of the World Bank, or the governments they represent. The World Bank does not guarantee the accuracy of the materials included in the reproducibility package.
Access and rights
| Name | URI |
|---|---|
| MIT License | https://opensource.org/license/mit |
| World Bank IGO Rider | https://github.com/worldbank/metadata-editor/blob/main/WB-IGO-RIDER.md |
Contacts
| Name | Affiliation | |
|---|---|---|
| Reina Eskimez | World Bank | rkawai@worldbank.org |
| Reproducibility WBG | World Bank | reproducibility@worldbank.org |
Information on metadata
| Name | Abbreviation | Affiliation | Role |
|---|---|---|---|
| Reproducibility WBG | DECDI | World Bank - Development Impact Department | Verification and preparation of metadata |
2026-11-04
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