市场准入与高息差发行

Market Access and HighSpread Issuances Raphael Espinoza, Metodij Hadzi-Vaskov, Luis Carlos Ibanez-Thomae, and Flora Lutz WP/26/10 IMF Working Papersdescribe research in progressby the authors and are published to elicit commentsand to encourage debate.The views expressed in IMF Working Papers arethose of the authors and do not necessarilyrepresent the views of the IMF, its Executive Board,or IMF management. 2026JAN IMF Working Paper Western Hemisphere Department Market Access and High Spread Issuances Prepared by Raphael Espinoza, Metodij Hadzi-Vaskov, Luis Carlos Ibanez-Thomae, and Flora Lutz Authorized for distribution by Fabian ValenciaJanuary 2026 IMF Working Papersdescribe research in progress by the authors and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of theauthors and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. ABSTRACT:We investigate the factors determining emerging markets’ likelihood to access internationalcapital markets. First, we develop a simple model to outline the theoretical foundations of market access,highlighting the role of risk, spreads, net worth, and the cost of repaying debt. The model also shows a trade-offbetween risk insurance and moral hazard and underscores the relevance of unconventional instruments suchas guarantees and macro-contingent debt. Second, we estimate a random forest model to assess the keypredictors of market access. We find that outstanding obligations, reserves, short-term external debt, EMBIGspreads and the size of the economy are key predictors of market access. Important non-linear effects includean inverted U-curve for the effect of spreads on likelhood of issuance; a positive relationship between likelihoodof issuance and external debt at low spreads that turns negative at high spreads; and a high sensitivity togovernance only for high spreads. Finally, we collect a novel dataset and examine the characteristics of highspread issuances, which are often unconventional and include guarantees, contingencies or collateral, in linewith what theory predicts. Market Access and High SpreadIssuances Prepared by Raphael Espinoza, Metodij Hadzi-Vaskov, Luis Carlos Ibanez-Thomae, and Flora Lutz1 Contents Introduction__________________________________________________________________5 Stylized Model of Credit Rationing Based on Moral Hazard __________________________8 Empirical Results ____________________________________________________________16 6.Model Performance __________________________________________________________26 7.High Spread Issuances _______________________________________________________27 8.Conclusion _________________________________________________________________29 References________________________________________________________________________30 FIGURES 1. Emerging Market Sovereign Issuances under International Law_______________________________5 3. Estimation Procedure_______________________________________________________________14 4. Expanding Window Approach Here ____________________________________________________15 5. Random Forest Shapley Feature Importance ____________________________________________17 6. Partial Dependence Plots - Top Features _______________________________________________19 7. Partial Dependence Plots - Additional Features __________________________________________20 8. Feature Importance for Low, Medium vs. High Spread Observations __________________________23 9. Partial Dependence Plot for Low, Medium vs High Spread Observations _______________________25 10. ROC Curve and Actual Positive vs Actual Negative Predictions _____________________________26 11. High Spread Issuances ____________________________________________________________28 12. High Spread Issuances with Unconventional Features ____________________________________28 ANNEXES I. Proofs Omitted in the Main Text _______________________________________________________35II. Data ____________________________________________________________________________37III. Estimation and Training Process _____________________________________________________44IV. Estimation Results ________________________________________________________________45 1.Introduction Access to international capital markets for emerging market and developing economies (EMDEs) grewsubstantially during the pre-pandemic period. As illustrated in Figure 1, net international issuances by EMDEsovereigns surged, leading to a threefold increase in the nominal value of outstanding international securities.At the same time, the average cost of debt has remained elevated and has increased further since 2019.Notably, the share of issuances with spreads above 500 bps reached a record of 20 percent in 2020 and hasremained above 25 percent thereafter. That said, the weighted EMBIG spread, calculated using net issuances,has declined, as high spread issuances focus