信誉溢价：中央银行独立性与本币主权收益率

The Credibility Premium:Central Bank Independence andLocal-Currency Sovereign Yields Adrian Alter, Julia Bersch, Albert Touna Mama, Bright Quaye WP/26/58 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. 2026MAR IMF Working PaperAfrican Department The Credibility Premium: Central Bank Independence and Local-Currency Sovereign Yields Prepared by Adrian Alter, Julia Bersch, Albert Touna Mama, Bright Quaye Authorized for distribution by Haimanot TeferraMarch 2026 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:Central bank independence (CBI) is a key institutional feature for price stability, but its role insovereign debt markets is less understood. This paper examines whether CBI lowers borrowing costs in local-currency sovereign debt markets in emerging and developing economies. Using data for up to 137 countriesfrom 2000--2024, we first reaffirm that stronger CBI substantially reduces inflation and its volatility. We thenshow that, in normal times, a 0.1-point increase (on a 0–1 scale) in CBI is associated with lower five-year local-currency sovereign yields of 0.6–0.7 percentage points. A decomposition reveals two important mechanismsthrough which CBI reduces local-currency sovereign yields: lowering near-term risk compensation andcompressing the term premium. In addition, we find evidence that this relationship is stronger under inflation-targeting regimes and larger in sub-Saharan Africa, but does not hold during systemic global crises. Finally,using dominance analysis, we show that domestic fundamentals explain more of the variation in yields thanglobal factors. These findings demonstrate that debt markets directly price institutional credibility, offering clearguidance for the design of monetary frameworks. RECOMMENDED CITATION:Alter, A., J. Bersch, A. Touna Mama, B. Quaye, “The Credibility Premium:Central Bank Independence and Local-Currency Sovereign Yields”, IMF WP 26/58. The Credibility PremiumCentral Bank Independence andLocal-Currency Sovereign Yields Prepared by Adrian Alter, Albert Touna Mama, Julia Bersch, Bright Quaye1 Contents I.Introduction 1 II. Data, Measurement, and Empirical Strategy4 II.1. Measuring Sovereign Borrowing Costs and Their Components. . . . . . . . . . . .4II.2. Measuring CBI: Theoretical Foundations and Empirical Choices: . . . . . . . . . . .4II.3. The Evolution of CBI: Global Trends and Regional Heterogeneity. . . . . . . . . .6II.4. Empirical Strategy: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .10 III.Empirical Results: CBI, Inflation, and Inflation Volatility 11 III.1. Stylized Facts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .11III.2. Benchmark Results: CBI and Inflation: . . . . . . . . . . . . . . . . . . . . . . . . .11III.3. CBI and Inflation Volatility: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .14III.4. Robustness: Evidence from the Pre-2020 Period. . . . . . . . . . . . . . . . . . . .15 IV.Decomposition of Sovereign local-currency Yields15 IV.1. Conceptual Framework:. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17IV.2. Empirical Implementation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .17IV.3. Stylized Facts: Regional Heterogeneity in Borrowing Costs. . . . . . . . . . . . . .18IV.4.The Composition of Domestic Drivers . . . . . . . . . . . . . . . . . . . . . . . . . .20 V. CBI and Sovereign local-currency Bond Yields22V.0.1.Decomposing the Channels: Risk and Term premia. . . . . . . . . . . . . .26 VI.Conclusion A Appendix : Additional Figures and Tables32A1.Reform Chronology and CBI-Inflation Relationship: . . . . . . . . . . . . . . . . . .32A2.Additional Figures on Yield Decomposition and Dominance Analysis. . . . . . . .33 I.Introduction The delegation of monetary policy to an independent central bank is a cornerstone of modernmacroeconomic frameworks, designed to resolve the time-inconsistency problem inherent in dis-cretionary policy. Without a commitment mechanism, policymakers face incentives to engineersurprise inflation for short-term gains—a strategy rational agents anticipate, leading to higherinflation without sustainable output benefits (Kydland and Prescott, 1977; Barro and Gordon,1983). Central bank independence (CBI) serves as an institutional solution, insulating monetarypolicy from political cycles and providing a credible commitment to price stability (Rogoff, 1985).A robust empirical literature, focused largely on advanced