{"type":"script","doc_desc":{"producers":[{"name":"Reproducibility WBG","abbr":"DECDI","affiliation":"World Bank - Development Impact Department","role":"Verification and preparation of metadata"}],"prod_date":"2026-11-04","version":"1"},"project_desc":{"authoring_entity":[{"name":"Reina Eskimez","affiliation":"World Bank","email":"rkawai@worldbank.org"},{"name":"Dana Vorisek","affiliation":"World Bank","email":"dvorisek@worldbank.org"}],"title_statement":{"title":"Reproducibility package for Decomposing Global Fear: Expected Uncertainty, Risk Aversion, And Sovereign Spreads In Emerging Market Economies","idno":"RR_WLD_2026_798"},"data_statement":"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.","software":[{"name":"Stata","version":"19.5 MP"}],"scripts":[{"title":"Reproducibility package for Decomposing Global Fear: Expected Uncertainty, Risk Aversion, And Sovereign Spreads In Emerging Market Economies","date":"2026-11","notes":"Computational reproducibility verified by Development Impact (DECDI) Analytics team, World Bank.","instructions":"See README in reproducibility package.","file_name":"RR_WLD_2026_798","zip_package":"RR_WLD_2026_798.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":"2026-11-04","abstract":"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\u20132024. Expected-uncertainty and risk aversion shocks generate nearly identical peak increases in EMBI spreads of about 28\u201329 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.","geographic_units":[{"name":"World","code":"WLD"}],"keywords":[{"name":"Vix Decomposition"},{"name":"Financial Shocks"},{"name":"Sovereign Spreads"},{"name":"External Balance Sheets"},{"name":"Risk Premium"},{"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":" F36","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Financial Aspects of Economic Integration","parent_id":"F3"},{"id":" G12","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Asset Pricing \u2022 Trading Volume \u2022 Bond Interest Rates","parent_id":"G1"},{"id":" E44","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Financial Markets and the Macroeconomy","parent_id":"E4"},{"id":" E52","uri":"https:\/\/www.aeaweb.org\/econlit\/jelCodes.php?view=jel","vocabulary":"Journal of Economic Literature (JEL)","name":"Monetary Policy","parent_id":"E5"},{"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"}],"output":[{"type":"Working Paper","description":"Policy Research Working Paper (PRWP)","title":"Decomposing Global Fear: Expected Uncertainty, Risk Aversion, And Sovereign Spreads In Emerging Market Economies"}],"language":[{"name":"English","code":"EN"}],"technology_requirements":"Run time: ~ 3.5 hours","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":"Emerging Market Bond Index Global (EMBIG) and Monthly Country Panel","note":"File location: data\/EMBI_monthly_vix_merged_1223.dta. Monthly country panel keyed by ifscode and date, 1970m1-2024m12, assembled by the authors. Columns and sources: EMBI stripped spreads in basis points (embi; J.P. Morgan EMBIG, monthly end of month, January 1990 to December 2024, via J.P. Morgan Markets DataQuery); ICRG political, financial and economic risk ratings (vPolitical_Risk, vFinancial_Risk, vEconomic_Risk_R; PRS Group ICRG Researchers Dataset); external debt in percent of GDP and short-term debt to reserves (xtdebty, stdebtres; World Bank Fiscal Space Database, Kose et al. 2022); real GDP per capita in constant 2015 US dollars (rgdpcap2015; World Bank WDI NY.GDP.PCAP.KD); import cover (y_IMPCOV; World Bank WDI NE.IMP.GNFS.CD, obtained through Haver Analytics); US industrial production growth (DlnIP, FRED INDPRO), federal funds rate (fedfunds, FRED FEDFUNDS), VIX (VIXCLS, FRED) and broad trade-weighted US dollar index (USDIndex, FRED); and ISO3 codes (iso3c). The EMBIG spreads, ICRG ratings and import-cover series are proprietary (J.P. Morgan Markets, PRS Group and Haver Analytics subscriptions), so the panel is not included in the reproducibility package. Step-by-step instructions to rebuild the file are in the README. Sources: https:\/\/markets.jpmorgan.com\/; https:\/\/www.prsgroup.com\/; https:\/\/www.worldbank.org\/en\/research\/brief\/fiscal-space; https:\/\/data.worldbank.org\/indicator\/NY.GDP.PCAP.KD; https:\/\/fred.stlouisfed.org\/.","access_type":"Data access requires purchase or human approval and is not included in the reproducibility package.","license":"Custom","uri":"https:\/\/markets.jpmorgan.com\/","citation":"Authors' compilation. 2026. \"Emerging Market Bond Index Global (EMBIG) and Monthly Country Panel\" [dataset]. Based on J.P. Morgan EMBIG; PRS Group International Country Risk Guide (ICRG); World Bank Fiscal Space Database (Kose et al. 2022); World Bank World Development Indicators; Haver Analytics; and FRED."},{"name":"S&P 500 Index (SPX) Intraday 5-Minute Bars","note":"File location: data\/SPX_full_5min.txt. Five-minute S&P 500 index prices (date-time, open, high, low, close; no header row), 2 January 2008 to 17 April 2026, US Eastern time. Used in PART 1 to build monthly realized variance from squared five-minute returns for the post-2008 part of the expected-uncertainty series. Vendor-supplied: purchased as a one-off full-history download from FirstRate Data. Use and redistribution are governed by the FirstRate Data license terms; the S&P 500 index is the property of S&P Dow Jones Indices. ","access_type":"Data access requires purchase or human approval and is not included in the reproducibility package.","license":"FirstRate Data license terms","uri":"https:\/\/firstratedata.com\/about\/license","citation":"FirstRate Data. 2026. \"S&P 500 Index (SPX) Intraday 5-Minute Bars\" [dataset]. https:\/\/firstratedata.com\/i\/index\/SPX."},{"name":"Expected Stock Returns and Variance Risk Premia","note":"File location: data\/feds200711.xls (sheet volDataMonthly). Monthly implied variance (ImpVar, the squared VIX) and realized variance from five-minute returns (RelVar), January 1990 to December 2008. Used, following Bekaert, Hoerova and Lo Duca (2013), for the pre-2009 part of the decomposition. Publicly available research data; the Federal Reserve notes that it is not an official statistical release and is provided for research purposes only. Saved unchanged from the Federal Reserve website. Direct file: https:\/\/www.federalreserve.gov\/econresdata\/researchdata\/feds200711.xls.","access_type":"Data is publicly available and included in the reproducibility package.","license":"Public Domain","license_uri":"https:\/\/www.federalreserve.gov\/disclaimer.htm","uri":"https:\/\/www.federalreserve.gov\/econres\/feds\/expected-stock-returns-and-variance-risk-premia.htm","citation":"Bollerslev, T., and Zhou, H. 2007. \"Expected Stock Returns and Variance Risk Premia.\" Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System; data file feds200711.xls. Published as Bollerslev, T., Tauchen, G., and Zhou, H. 2009. Review of Financial Studies 22(11): 4463-4492. https:\/\/doi.org\/10.1093\/rfs\/hhp008."},{"name":"SPX Index and VIX Index, Daily (PX_LAST)","note":"File location: data\/S&P_and_VIX_apr26.xlsx (Sheet1, range A6:C9471; headers in row 6). Daily closing values of the S&P 500 (column B) and the VIX (column C), 2 January 1990 to 10 April 2026, retrieved from a Bloomberg Terminal (field PX_LAST). The squared VIX divided by 12 supplies implied variance from 2009 onward. Governed by the applicable Bloomberg subscription agreement; the VIX is copyrighted by Cboe Global Markets and the S&P 500 by S&P Dow Jones Indices, whose terms apply to any redistribution or commercial reuse. The VIX alone is public at https:\/\/fred.stlouisfed.org\/series\/VIXCLS and https:\/\/www.cboe.com\/tradable_products\/vix\/vix_historical_data\/.","access_type":"Data access requires purchase or human approval and is not included in the reproducibility package.","license":"Custom","citation":"Bloomberg L.P. 2026. \"SPX Index and VIX Index, Daily (PX_LAST)\" [dataset]. Bloomberg Terminal. Underlying data: S&P Dow Jones Indices (S&P 500) and Cboe Global Markets (VIX)."},{"name":"Consumer Price Index for All Urban Consumers: All Items in U.S. City Average (CPIAUCSL)","note":"File location: data\/CPIAUCSL.csv (columns observation_date, CPIAUCSL). Monthly, seasonally adjusted, January 1947 to May 2026. Used to compute annual inflation and hence the real US federal funds rate that enters the structural VAR as the monetary-policy variable. US federal government series in the public domain; FRED requests that users provide the suggested source citation. Direct CSV: https:\/\/fred.stlouisfed.org\/graph\/fredgraph.csv?id=CPIAUCSL.","access_type":"Data is publicly available and included in the reproducibility package.","license":"Public domain (US federal government series)","license_uri":"https:\/\/fred.stlouisfed.org\/legal\/#full-fred-terms","uri":"https:\/\/fred.stlouisfed.org\/series\/CPIAUCSL","citation":"U.S. Bureau of Labor Statistics. 2026. \"Consumer Price Index for All Urban Consumers: All Items in U.S. City Average (CPIAUCSL)\" [dataset]. FRED, Federal Reserve Bank of St. Louis. https:\/\/fred.stlouisfed.org\/series\/CPIAUCSL."},{"name":"World Development Indicators","note":"File location: data\/API_FI.RES.TOTL.MO_DS2_en_csv_v2_2776.csv. Annual, wide by country (ISO3), last updated 1 July 2026. The numeric suffix in the file name changes with each WDI release; the code reads the file under the name given here. The reserve-adequacy measure used in Table 1, Table 2 column (6), the Figure 4 state and the exposure diagnostics. Direct download: https:\/\/api.worldbank.org\/v2\/en\/indicator\/FI.RES.TOTL.MO?downloadformat=csv.","access_type":"Data is publicly available and included in the reproducibility package.","license":"Creative Commons Attribution 4.0 International (CC BY 4.0)","license_uri":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/","uri":"https:\/\/data.worldbank.org\/indicator\/FI.RES.TOTL.MO","citation":"World Bank. 2026. \"World Development Indicators\" [dataset]. https:\/\/data.worldbank.org\/indicator\/FI.RES.TOTL.MO. Last updated July 1, 2026."}],"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: 16.0 GB","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. **Run the Package:**\n  - Update the working directory in line 167 of the script `Eskimez_Vorisek_JME_Replication.do`, and run it.\n\nSince 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."},"datacite":{"creators":[{"givenName":"Reina","familyName":"Eskimez","nameType":"Personal","affiliation":[{"name":"World Bank","affiliationIdentifier":"https:\/\/ror.org\/00ae7jd04","affiliationIdentifierScheme":"ROR","schemeUri":"https:\/\/ror.org"}]},{"givenName":"Dana","familyName":"Vorisek","nameType":"Personal","affiliation":[{"name":"World Bank","affiliationIdentifier":"https:\/\/ror.org\/00ae7jd04","affiliationIdentifierScheme":"ROR","schemeUri":"https:\/\/ror.org"}]}],"titles":[{"lang":"en","title":"Reproducibility package for Decomposing Global Fear: Expected Uncertainty, Risk Aversion, And Sovereign Spreads In Emerging Market Economies"},{"title":"RR_WLD_2026_798","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_798","language":"en"},"tags":[{"tag":"DOI"},{"tag":"Limited-access Data"},{"tag":"Open Code"}],"schematype":"script"}