2011年-IMF国际货币组织全球_Former_Yugoslav_Republic_of_Macedonia_Selected_Issues_25页_583kb

Summary of "Former Yugoslav Republic of Macedonia: Selected Issues"

Core Content

This document analyzes the role of external sovereign debt, particularly Eurobonds, in Macedonia's medium-term fiscal financing strategy and evaluates the electricity sector's challenges and opportunities in the context of European integration. It is prepared by the IMF staff and outlines both theoretical considerations and empirical findings to guide Macedonia's debt management and policy decisions.

Main Conclusions

1. Role of External Sovereign Debt

• Eurobond Financing Justification: Macedonia's reliance on Eurobond financing for fiscal deficits in 2011 and 2012 is justified in the short term, but the country should aim to develop domestic debt markets as a complementary source over the medium term.
• Higher Borrowing Costs: Current Eurobond spreads are higher than what fundamentals suggest, indicating potential for future cost reductions as global conditions normalize.
• Trade-Offs: While Eurobond financing offers benefits such as building international reserves, reducing rollover risks, and broadening the investor base, it also exposes the country to external volatility and foreign exchange risk.
• Domestic Debt Development: Macedonia should focus on creating longer-term domestic debt instruments to support domestic investment and reduce dependence on external financing.

2. Electricity Sector

• Reforms Driven by European Integration: The electricity sector is undergoing reforms due to the country's integration into the European Union, which has led to changes in supply and demand structures.
• Subsidy Reduction: Subsidies in the electricity sector are declining, which is expected to improve fiscal sustainability.
• Longer Term Outlook: Macedonia should continue reforming the electricity sector, focusing on improving efficiency, reducing subsidies, and increasing private participation. The development of domestic long-term debt instruments can also support private investment in this sector.

Key Findings

1. Cross-Country Stylized Facts on Eurobond Debt

• Macedonia's outstanding Eurobond debt is moderate, at around 4.5% of GDP, compared to other emerging market (EM) countries.
• Smaller countries and those with exchange rate pegs tend to have higher Eurobond debt stocks as a share of GDP.
• Macedonia's 2009 Eurobond issuance was unusually expensive, with a spread of 6.3% over German yields, significantly higher than the 1.2% observed in 2005.
• The 2009 spread was not fully explained by domestic fundamentals, suggesting that global financial conditions played a major role.

2. Empirical Determinants of Eurobond Costs

• Annual Panel Model:
  • Higher public debt and fiscal deficit are associated with higher spreads.
  • Lower reserves coverage and weaker current account positions increase spreads.
  • Lower economic growth and higher inflation also lead to higher spreads.
  • The EMBI spread is a strong determinant, with a 1% increase in EMBI leading to a 16–23 basis point increase in Macedonian spreads.
  • The first Eurobond issuance is associated with a 70 basis point reduction in spreads.
  • Larger issuance amounts lead to lower spreads (a 30 basis point reduction for doubling the issue size).
  • The model predicts that future spreads could be in the range of 2.5–2.7%, but with significant uncertainty and risk.
• Monthly Secondary Market Model:
  • Macedonia's spreads are highly sensitive to global shocks, with a strong transmission of EMBI changes into Macedonian spreads.
  • The spread on Greek bonds is not significantly correlated with Macedonian spreads, as both are influenced by the broader EM trend.
  • The European VIX (volatility index) is negatively correlated with Macedonian spreads, indicating that EMs are substitutes for advanced economies in times of crisis.

Key Risks and Considerations

• External Volatility: Eurobond spreads are volatile and influenced by global credit conditions, as seen in the 2008 and 2010 crises.
• Foreign Exchange Risk: External debt exposure can increase the cost of exchange rate adjustment.
• Uncertainty in Borrowing Costs: Even with improved fundamentals, Macedonia's borrowing costs may remain high due to external factors and market sentiment.
• Need for Domestic Market Development: Macedonia should work towards developing domestic debt markets to reduce reliance on external financing and enhance financial stability.

Policy Recommendations

• Diversify Financing Sources: While Eurobonds are useful for short-term deficit financing, the country should seek to develop domestic debt markets as a long-term alternative.
• Improve Domestic Financial Infrastructure: The development of long-term domestic debt instruments should be supported by financial deepening, including the pension fund's assets.
• Enhance Fiscal Sustainability: Reducing subsidies in the electricity sector and improving the current account and reserves position can help lower borrowing costs.
• Monitor Global Conditions: Macedonia should remain vigilant about global credit conditions and their impact on borrowing costs and market access.

References and Data

• Data Sources: Dealogic, Bloomberg, Datastream, and IMF staff estimates.
• Country Sample: Includes all EMs that have issued Eurobonds, with a specific comparator group for Macedonia.
• Models Used: Annual cross-country panel model and monthly single-country model to analyze spread determinants.