{"type":"script","doc_desc":{"producers":[{"name":"Reproducibility WBG","abbr":"DECDI","affiliation":"World Bank - Development Impact Department","role":"Verification and preparation of metadata"}],"prod_date":"2026-09-04","version":"1"},"project_desc":{"authoring_entity":[{"name":"Reina Eskimez","affiliation":"World Bank","email":"rkawai@worldbank.org"},{"name":"Jiwon Lee","affiliation":"World Bank","email":"jlee70@worldbank.org"},{"name":"Franz Ulrich Ruch","affiliation":"World Bank","email":"fruch@worldbank.org"}],"title_statement":{"title":"Reproducibility package for Sovereign Risk Repricing After Hidden-Debt Revelations","idno":"RR_WLD_2026_737"},"data_statement":"Some data is limited-access and has not been included in the reproducibility package. For more details, refer to the README file.(Limited-access\/Accessible data)","software":[{"name":"Stata","version":"19.5 MP"}],"scripts":[{"title":"Reproducibility package for Sovereign Risk Repricing After Hidden-Debt Revelations","date":"2026-09","notes":"Computational reproducibility verified by Development Impact (DECDI) Analytics team, World Bank.","instructions":"See README in reproducibility package.","file_name":"RR_WLD_2026_737","zip_package":"RR_WLD_2026_737.zip","dependencies":"Stata dependencies are listed in the ado folder."}],"repository_uri":[{"name":"Reproducible Research Repository (World Bank)","uri":"https:\/\/reproducibility.worldbank.org"}],"production_date":"2026-09-04","abstract":"Hidden government debt\u2014liabilities that governments incurred but did not fully disclose\u2014can undermine fiscal sustainability. This paper identifies seven hidden-debt revelations during 2005\u201325 and measures the response of daily sovereign risk spreadsfollowing revelations. It finds that sovereign risk spreads rise gradually but persistently in response to a revelation. The pooled sovereign risk spread for the seven countries rises substantially, by 108 basis points (bps) on average during the first 30 days after revelation (with 66 bps of that in the first 10 days), and an additional 98 bps during days 31\u201360. The baseline results are robust to various alternative specifications. Additional exercises show that when debt reconciliation is delayed or contested, sovereign spreads rise roughly 200 basis points more over 60 days than when reconciliation is prompt and credible, although, with only seven episodes, this finding is suggestive. ","geographic_units":[{"name":"World","code":"WLD"}],"keywords":[{"name":"Hidden Debt"},{"name":"Sovereign Spreads"},{"name":"Embi Global"},{"name":"Event Study"},{"name":"Debt Transparency"},{"name":"Emerging Markets"}],"topics":[{"id":"F34","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"International Lending and Debt Problems","parent_id":"F3"},{"id":" G14","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Information and Market Efficiency \u2022 Event Studies \u2022 Insider Trading","parent_id":"G1"},{"id":" H63","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Debt \u2022 Debt Management \u2022 Sovereign Debt","parent_id":"H6"},{"id":" G15","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"International Financial Markets","parent_id":"G1"},{"id":" F65","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Finance","parent_id":"F6"}],"output":[{"type":"Working Paper","description":"Policy Research Working Papers (PRWP)","title":"Sovereign Risk Repricing After Hidden-Debt Revelations"}],"language":[{"name":"English","code":"EN"}],"technology_requirements":"Runtime ~ 3 minutes","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.","license":[{"name":"MIT License","uri":"https:\/\/opensource.org\/license\/mit"},{"name":"World Bank IGO Rider","uri":"https:\/\/github.com\/worldbank\/metadata-editor\/blob\/main\/WB-IGO-RIDER.md"}],"contacts":[{"name":"Reina Eskimez","affiliation":"World Bank","email":"rkawai@worldbank.org"},{"name":"Reproducibility WBG","affiliation":"World Bank","email":"reproducibility@worldbank.org"}],"datasets":[{"name":"J.P. Morgan Emerging Markets Bond Index Global (EMBIG)","note":"Data accessed in 2026. Daily closing country- and regional-level stripped spreads from the J.P. Morgan Emerging Markets Bond Index Global (EMBIG). Spreads are reported in basis points. The EMBIG data are proprietary and are not publicly downloadable without an appropriate J.P. Morgan Markets subscription or institutional authorization. Replicators must obtain access independently from J.P. Morgan. Access instructions: (1) Go to https:\/\/markets.jpmorgan.com\/; (2) sign in using an authorized J.P. Morgan Markets account \u2014 users without access should use the Request Access option or contact their institution's data-services representative; (3) navigate to the data and analytics section and open DataQuery; (4) search for EMBI Global or EMBIG; (5) select the country- and regional-level stripped spread series used in the analysis; (6) set the frequency to daily and select the required date range; (7) export the selected series in CSV or Excel format; (8) save the resulting file as EMBIG for paper_1768245733461.csv and place it in the replication package's data directory. Note: precise menu labels may vary depending on the user's institutional subscription and the current J.P. Morgan Markets interface. File location: data\/EMBIG for paper_1768245733461.csv.","access_type":"Data access requires purchase or human approval and is not included in the reproducibility package.","license":"Custom License","uri":"https:\/\/markets.jpmorgan.com\/","citation":"J.P. Morgan Securities LLC. 2026. \"J.P. Morgan Emerging Markets Bond Index Global (EMBIG): Country- and Regional-Level Stripped Spreads\" [dataset]. J.P. Morgan Markets. https:\/\/markets.jpmorgan.com\/."},{"name":"CBOE Volatility Index (VIX) and 10-Year U.S. Treasury Yield","note":"Data accessed January 21, 2026. Downloaded through Haver Analytics on January 21, 2026. The underlying series are also available from their original providers and through the Federal Reserve Bank of St. Louis FRED database. Includes two series: (1) Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Quoted on an Investment Basis (DGS10): original source is the U.S. Department of the Treasury and Board of Governors of the Federal Reserve System, H.15 Selected Interest Rates. This federal-government series is in the public domain. Direct CSV download: https:\/\/fred.stlouisfed.org\/graph\/fredgraph.csv?id=DGS10. (2) CBOE Volatility Index: VIX (VIXCLS), daily close: copyrighted by CBOE Global Markets, publicly accessible through CBOE and FRED but not a public-domain series. Users must cite CBOE; any redistribution or commercial reuse is subject to CBOE applicable terms and permissions. Official CBOE historical-data page: https:\/\/www.cboe.com\/tradable_products\/vix\/vix_historical_data\/. Direct CSV download: https:\/\/fred.stlouisfed.org\/graph\/fredgraph.csv?id=VIXCLS. Both series can be downloaded together from https:\/\/fred.stlouisfed.org\/graph\/fredgraph.csv?id=DGS10,VIXCLS. Replicators without Haver access can download the corresponding DGS10 and VIXCLS series from these public links. File location: data\/VIX_US_Treasury10yr.xlsx.","access_type":"Data is publicly available but does not allow redistribution and is not included in the reproducibility package.","license":"Custom License","uri":"https:\/\/fred.stlouisfed.org\/graph\/fredgraph.csv?id=DGS10,VIXCLS","citation":"Board of Governors of the Federal Reserve System (US). 2026. \"Market Yield on U.S. Treasury Securities at 10-Year Constant Maturity, Quoted on an Investment Basis\" [DGS10] [dataset]. FRED, Federal Reserve Bank of St. Louis. https:\/\/fred.stlouisfed.org\/series\/DGS10. Accessed January 21, 2026. \nChicago Board Options Exchange. 2026. \"CBOE Volatility Index: VIX\" [VIXCLS] [dataset]. FRED, Federal Reserve Bank of St. Louis. https:\/\/fred.stlouisfed.org\/series\/VIXCLS. Accessed January 21, 2026."}],"reproduction_instructions":"To reproduce the findings in this paper, a replicator must:\n1. Secure Access to Data: Access the datasets not included in the package. See the Datasets section for more details\n2. Open the do file \"For_Journal_Submission_Revised_Latest\", update the directory on line 37, install the required packages and run the file\n\nSince all of the data is restricted, the package includes the outputs produced by the replicators, which can be used to review the results presented in the paper","technology_environment":"Paper exhibits were reproduced on a computer with the following specifications:\n\u2022 OS: Windows 11 Enterprise\n\u2022 Processor: Intel(R) Xeon(R) Gold 5218 CPU @ 2.30GHz (2.30 GHz) (2 processors)\n\u2022 Memory available: 16 GB"},"datacite":{"creators":[{"givenName":"Reina","familyName":"Eskimez","nameType":"Personal","affiliation":[{"name":"World Bank","affiliationIdentifier":"https:\/\/ror.org\/00ae7jd04","affiliationIdentifierScheme":"ROR","schemeUri":"https:\/\/ror.org"}]},{"givenName":"Jiwon","familyName":"Lee","nameType":"Personal","affiliation":[{"name":"World Bank","affiliationIdentifier":"https:\/\/ror.org\/00ae7jd04","affiliationIdentifierScheme":"ROR","schemeUri":"https:\/\/ror.org"}]},{"givenName":"Franz Ulrich","familyName":"Ruch","nameType":"Personal","affiliation":[{"name":"World Bank","affiliationIdentifier":"https:\/\/ror.org\/00ae7jd04","affiliationIdentifierScheme":"ROR","schemeUri":"https:\/\/ror.org"}]}],"titles":[{"lang":"en","title":"Reproducibility package for Sovereign Risk Repricing After Hidden-Debt Revelations"},{"title":"RR_WLD_2026_737","titleType":"Other"}],"publisher":"World Bank","publicationYear":"2026","types":{"resourceType":"Reproducibility package","resourceTypeGeneral":"Other"},"url":"https:\/\/reproducibility.worldbank.org\/index.php\/catalog\/study\/RR_WLD_2026_737","language":"en"},"tags":[{"tag":"DOI"},{"tag":"Limited Access"},{"tag":"Open Code"}],"schematype":"script"}