**Table A3. Robustness checks for sovereign risk regressions**

||(1)|(2)|(3)|(4)|(5)|(6)|(7)|(8)|
|---|---|---|---|---|---|---|---|---|
|_Model_<br>Dependent variable:|_M-C_<br>_CRE_<br>CDS spread|_M-C_<br>_CRE_<br>Sov. Rating|_POLS_<br>_Outlier check_<br>CDS<br>|_POLS_<br>_Outlier check_<br>Sov.<br>|_POLS_<br>EMBI<br>|_POLS_<br>EMBI<br>|_Ordered_<br>_logit_<br>Sov.<br>|_Ordered_<br>_probit_<br>Sov.<br>|
||||spread|rating|spread|spread|rating|rating|
|Public investment (share of GDP)|-5.833|-6.133**|-3.053**|-9.755|-1.045|1.659|-8.065|-4.496*|
||(4.071)|(3.027)|(1.494)|(6.969)|(1.118)|(1.273)|(5.285)|(2.697)|
|PIQ-F|-2.096***|-2.851**|-1.918***|-4.570***|-1.230**||-3.894***|-2.397***|
||(0.393)|(1.375)|(0.343)|(1.566)|(0.559)||(1.244)|(0.632)|
|PIQ-F × Public investment (share of GDP)|-41.523***|-14.239|-41.983***|-102.677***|-26.720**||-83.873**|-48.997***|
||(8.232)|(15.740)|(7.200)|(38.585)|(10.271)||(37.017)|(17.149)|
|General government gross debt, percent of GDP|0.014|0.034***|0.009***|0.027***|0.005***|0.005***|0.026***|0.014***|
||(0.009)|(0.008)|(0.002)|(0.008)|(0.002)|(0.002)|(0.008)|(0.004)|
|Total reserves (percent of GDP)|-0.001|-0.030*|-0.002|-0.012|-0.006|-0.006*|-0.014|-0.008|
||(0.008)|(0.018)|(0.004)|(0.015)|(0.005)|(0.004)|(0.015)|(0.008)|
|Exchange rate (LCU per USD)|0.836|1.042**|-0.023|0.017|-0.010|0.002|0.029|0.010|
||(0.647)|(0.439)|(0.020)|(0.085)|(0.021)|(0.015)|(0.069)|(0.041)|
|Inflation, consumer prices (percent)|0.010|0.030**|0.034***|0.090***|0.023***|0.032***|0.086***|0.042***|
||(0.007)|(0.013)|(0.009)|(0.017)|(0.004)|(0.011)|(0.017)|(0.010)|
|Real GDP growth (percent)|-0.027*|-0.007|-0.025*|-0.047|-0.022*|-0.033***|-0.050|-0.032*|
||(0.016)|(0.013)|(0.013)|(0.036)|(0.011)|(0.012)|(0.036)|(0.017)|
|Real GDP per capita, log|-0.241|-4.202***|-0.528***|-2.232***|-0.323***|-0.226**|-1.907***|-1.060***|
||(0.583)|(0.862)|(0.132)|(0.299)|(0.096)|(0.092)|(0.300)|(0.163)|
|Current account balance (percent of GDP)|-0.007|0.021*|-0.005|-0.056***|-0.005|-0.030***|-0.053**|-0.030***|
||(0.010)|(0.013)|(0.009)|(0.021)|(0.011)|(0.009)|(0.022)|(0.011)|
|Systemic banking crisis DV|0.998***|0.126|0.594***|0.488|0.567**|0.443**|0.545|0.302|
||(0.374)|(0.439)|(0.174)|(0.594)|(0.225)|(0.209)|(0.627)|(0.311)|
|Currency crisis DV|0.060|0.492**|0.153|0.272|0.210**|0.101|0.003|0.104|
||(0.217)|(0.203)|(0.168)|(0.405)|(0.096)|(0.103)|(0.345)|(0.209)|
|Debt crisis DV|1.187|0.732|-|1.015|0.131|0.424|3.000**|1.690***|
||(0.842)|(0.721)|-|(0.903)|(0.584)|(0.556)|(1.215)|(0.455)|
|Debt restructuring DV|1.040***|0.745|1.043***|2.840***|0.287|-0.678|2.548***|1.137**|
||(0.288)|(0.532)|(0.281)|(0.783)|(0.329)|(0.658)|(0.936)|(0.519)|
|PIQ-D||||||-1.248***|||
|||||||(0.333)|||
|PIQ-D × Public investment (share of GDP)||||||-20.604**<br>(9.005)|||
|X**:**matrix of panel-level means of time-varying<br>explanatory variables|yes|yes|no|no|no|no|no|no|
|Year FE|yes|yes|yes|yes|yes|yes|yes|yes|
|Observations|508|1,072|463|1,024|602|283|1,072|1,072|
|Adj. R-sq (col.1-4, 6-7),|0.678|0.550|0.531|0.530|0.500|0.530|0.169|0.162|
|pseudo R-sq (col. 5-6)|||||||||

# _Source:_ Authors’ estimates.

_Note:_ Columns 1-2 (M-C CRE): Mundlak-Chamberlain correlated random effects model. Columns 3-4 (POLS Outlier check): POLS dropping outlier countries. Columns 5-6: POLS with EMBI spread as the dependent variable. Columns 7-8: ordered logit and ordered probit models. Standard errors clustered at the country level are in parentheses. *, **, *** indicate statistical significance at the 10, 5, and 1 percent levels, respectively.

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