Our panel data evidence for eleven emerging economies shows that the
coefficients of interest exhibit the expectedsigns and are statistically significant.
In the restricted country sample--which excludes the two countries
with the highest country risk spreads--the results are qualitatively similar
although the estimated threshold levels for the country risk spreads
are lower. For the latter sample we find that monetary and fiscal policies
are countercyclical when country risk premiums fall below values in the
600-800 basis point range.