地震与新兴市场主权债券利差

Earthquakes andEmerging MarketSovereign Bond Spreads Rabah Arezki, Patrick A. Imam, Kangni Kpodar and Dao Le-Van WP/25/218 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers arethose of the author(s) and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2025OCT IMF Working Paper Strategy, Policy and Review Department Earthquakes and Emerging Market Sovereign Bond SpreadsPrepared by Rabah Arezki, Patrick A. Imam, Kangni Kpodar, and Dao Le-Van Authorized for distribution by Pritha MitraOctober2025 IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthor(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We study how sovereign bond markets respond to earthquakes in emerging markets, using datafrom 96 countries between 2012 and 2023. While earthquakes raise spreads on average, the effect dependscritically on state capacity. In low-capacity countries, spreads rise sharply and persist; in high-capacity states,they remain stable or fall. These effects appear immediately, last several months, and are robust to multiplecontrols and placebo tests. Our findings suggest that markets interpret disasters not simply as economicshocks but as institutional stress tests, penalizing fragile states. Institutional quality, in this context, acts asdisaster insurance. Earthquakes and Emerging MarketSovereign Bond Spreads Prepared by Rabah Arezki, Patrick A. Imam, Kangni Kpodar, and Dao Le-Van1 Contents Introduction............................................................................................................................................4 A. Economic Impacts of Natural Disasters .....................................................................................................6B. State Capacity and Sovereign Risk ...........................................................................................................7 A. Sovereign Spread ......................................................................................................................................8B. The State CapacityandExternal Debt.......................................................................................................8C. Earthquake Disasters ................................................................................................................................9 A. Benchmark regression .............................................................................................................................12B. Unanticipated shock measurement..........................................................................................................13 A. Benchmark Results..................................................................................................................................15B. Heterogeneous effects (Thresholds)........................................................................................................18C. The role of State Capacity .......................................................................................................................20 6. Robustness Checks ......................................................................................................................................24 A. Robustness Checks: Controlling for Crisis...............................................................................................24B. Additional Robustness Checks: Tripple Interactions................................................................................26 FIGURES Figure 1.Earthquake Evolution and Magnitude Histogram................................................................................. 10Figure 2.Earthquake Frequency by Country ...................................................................................................... 11Figure 3.Earthquake Disaster on Sovereign Spread: New DID Techniques...................................................... 17 TABLES Table 1. Benchmark Result: Earthquake Disaster on Sovereign Spread ........................................................... 16Table 2. The Effect of Earthquake Disaster on Sovereign Spread: Heterogeneity-Robust Difference-In-Differences .......................................................................................................................................................... 18Table 3.The Heterogeneous Effect of Earthquake Disaster on Sovereign Spread ............................................ 20Table 4. The Effect of Earthquake on Sovereign Spread: State Capacity (SC).................................................. 21Table 5. Unanticipated Earthquake Disaster On Sovereign Spread ...........................