Central bank independence (CBI) is a central institutional feature for price stability, but its role in sovereign debt markets is less understood. Using panel data for up to 40 emerging and developing economies with local-currency bond markets over 2005–2024, we find that the credibility premium embedded in sovereign yields is state-contingent. In normal times (2010–2020), a 0.1-point increase (on a 0–1 scale) in CBI is associated with a 0.6–0.7 percentage-point reduction in five-year local-currency sovereign yields, operating through lower near-term risk compensation and a compressed term premium. Once the sample incorporates systemic global crises, this relationship weakens and loses statistical significance, as synchronized global risk repricing dominates cross-country variation in domestic institutional design. […]