IMF-地震与新兴市场主权债券利差（英）

Earthquakes and Emerging Market Sovereign Bond Spreads Rabah Arezki, Patrick A. Imam, Kangni Kpodar and Dao Le-Van WP/25/218 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management. 2025 OCT © 2025 International Monetary Fund WP/25/09 IMF Working Paper Strategy, Policy and Review Department Earthquakes and Emerging Market Sovereign Bond Spreads Prepared by Rabah Arezki, Patrick A. Imam, Kangni Kpodar, and Dao Le-Van Authorized for distribution by Pritha Mitra October 2025 IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(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 data from 96 countries between 2012 and 2023. While earthquakes raise spreads on average, the effect depends critically 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 multiple controls and placebo tests. Our findings suggest that markets interpret disasters not simply as economic shocks but as institutional stress tests, penalizing fragile states. Institutional quality, in this context, acts as disaster insurance. JEL Classification Numbers: C33; D73; D74; D72; H21 Keywords: Earthquakes; Sovereign Bond Spread; State Capacity Author’s E-Mail Address: Rabah.arezki@uca.fr; pimam@imf.org; kkpodar@imf.org; daolv@vnuis.edu.vn WORKING PAPERS Earthquakes and Emerging Market Sovereign Bond Spreads Prepared by Rabah Arezki, Patrick A. Imam, Kangni Kpodar, and Dao Le-Van1 1 Rabah Arezki is a Director of Research at CNRS, a Senior Fellow at FERDI and Harvard’s Kennedy School of Government. Patrick Imam is Senior Economist at the International Monetary Fund (IMF). Kangni Kpodar is Deputy Division Chief at the IMF and Senior Fellow at FERDI. Dao Van Le is affiliated with the International School at Vietnam National University. We thank Baoping Shang, Patrick Guillaumont for insightful comments. This research is part of a Macroeconomic Research in Low-Income Countries project [Project ID: 60925] supported by the UK’s Foreign, Commonwealth and Development Office (FCDO).The findings, interpretations, and conclusions expressed in this paper do not necessarily reflect the views of IMF, the Executive Directors of IMF or the governments they represent, and the FCDO. IMF does not guarantee the accuracy of the data included in this work. IMF WORKING PAPERS Shocks and Shields: Macroeconomic Institutions During Commodity Price Swings