Impact of External Sector Indicators on Sovereign Debt Yield Spread: Case of Morocco


  • Mohamed EL-QASEMY


Yield-Spread, Sovereign Debt, External Sector, Morocco


The yield spread of sovereign debt securities is one of the indicators most watched by investors. Many factors impact the spread of a country’s sovereign debt. Those factors are whether domestic or external, or both. In view of the structural approach, the probability of default of an issuer depends on its domestic economic fundamentals. Indicators related to external sector are among those fundamentals. This paper analyzes the impact of Morocco's external sector on the yield spread of its sovereign debt issued on international financial markets.

Using an ARDL model and data covering the period of 1998-2019, we investigated the relationship of eight explanatory variables representing domestic factors related to the external sectors and global factors with the EMBI+ spread index of Morocco, as a dependent variable.

Our results have shown the significant and simultaneous impact of global factors and some other external sector indicators, meaning that sovereign risk of Morocco is determined by the conditions of risk and liquidity on the international market and the situation of some indicators linked to the external sector, such as public debt services/exchange reserves ratio, external public debt/GDP and the term of trade. 


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2021-10-07 — Updated on 2021-10-09


How to Cite

EL-QASEMY, . M. ., & OMARI ALAOUI, Z. (2021). Impact of External Sector Indicators on Sovereign Debt Yield Spread: Case of Morocco. Revue Du contrôle, De La Comptabilité Et De l’audit , 5(3). Retrieved from (Original work published October 7, 2021)