Replication Package: Sovereign Ratings as Sufficient Statistics — Testing the Incremental Value of Institutional Quality in Pricing Emerging Market Country Risk

This repository contains the replication data and analysis code for the manuscript "Sovereign Ratings as Sufficient Statistics: Testing the Incremental Value of Institutional Quality in Pricing Emerging Market Country Risk." The study tests whether a composite institutional quality index (constructed via principal component analysis of the six World Bank Worldwide Governance Indicators) provides incremental explanatory power over sovereign credit ratings when pricing country risk, using cross-sectional data on up to 167 countries. Contents:- sovereign_ratings_full_sample.csv — merged dataset, full country sample (N=165)- sovereign_ratings_regression_sample.csv — regression-ready dataset with PCA governance index (N=145)- sovereign_ratings_cds_sample.csv — CDS-based robustness subsample (N=76)- analysis.py — Python script reproducing all reported regression models and F-tests- README.md — full variable dictionary and data provenance Data sources: Aswath Damodaran's Country Risk Premium dataset (NYU Stern, January 2026 update) and the World Bank's Worldwide Governance Indicators (2024 vintage).