where the dependent variable i is the sovereign bond spreads for country _i_ in period _t_ . is a country effect and is a time effect. The matrix i contains information on our pull and/or push ii ΨΨ αα factors including data transparency variables while γ is its coefficient vector. Finally, captures ii the residuals. ββ ΧΧ ii εε

# **3.2 Data Description**

We gather annual data of sovereign bond spreads for 72 countries from 1995 to 2018 from Bloomberg L.P. The explanatory variables consist of pull (internal) and push (external) factors. Pull factors include the GDP per capita (in US dollars at 2010 prices), economic growth, CPI inflation (average percentage change in consumer prices), general government primary balance to GDP (in percentages), current account balance to GDP (in percentages), general government gross debt to GDP (in percentages), external debt to GDP ( in percentages) and the ratio of the sum of import and export to GDP as a proxy of trade openness from the World Bank’s World Development Indicators (WDI). Financial openness is proxied by the Chin and Ito (2006, 2008) index. The quality of institutions is proxied by the ICRG index from the PRS group, which captures the level of the quality of domestic institutions. Push factors include the VIX index (which measures the implied volatility computed from S&P 500 index options) as an indicator of global risk aversion, and the US 10-year Treasury bond yield from the Federal Reserve Bank of St. Louis’ FRED database.

Our instrumental variables are the Freedom of Information index<sup>4</sup> taken from the website of freedominfo.org, and lagged values of the ICRG index, public or external debts, the interaction terms of ICRG with the data transparency indicator and (public or external) debt with the data transparency indicator, lagged trade and financial openness variables as instrumental variables.

# _Transparency Data_

Data transparency indicators are proxied by public data transparency indices from the World Bank and IMF. The World Bank’s statistical capacity indicator (SCI) captures the availability, collection and practices in the production of official statistics by the country, and the IMF’s subscription and compliance to the Special Data Dissemination Standard (SDDS) are binary variables. We refer to the indicators of the World Bank as the WB data transparency and the indicator of the IMF as the IMF data transparency.

The World Bank’s Statistical Capacity Indicator (SCI) measures a country’s ability to collect, analyze, and disseminate high quality public data of an economy. This indicator is a composite score that evaluates the capacity of a country’s statistical system. It is based on a diagnostic framework assessing the following areas: (i) methodology, (ii) data sources, and (iii) periodicity and timeliness. Countries are scored against 25 criteria in these areas, using publicly available information and/or country input. Therefore, the overall Statistical Capacity score is calculated as a simple average of all three dimensions (i.e. practice, collection, availability) with a scale of 0- 100. Higher scores mean that a country has a stronger statistical capacity. The methodology indicator (or practice score) measures the country’s ability to adhere to internationally

> 4 Banisar (2006).

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