|DOWNLOAD FILE IN:|
This study explores the determinants of corporate bond spreads in emerging market economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global factors. A variance decomposition analysis shows that firm-level characteristics account for the larger share of the variance. In addition, the paper finds two asymmetries. The first is in line the sovereign ceiling “lite” hypothesis which states that the transfer of risk from the sovereign to the private sector is less than 1 to 1. The second is consistent with the popular notion that panics are common in emerging markets where investors are less informed and more prone to herding.
Deeper financial integration is expected to enable low-saving countries to increase domestic investment but also to increase crisis risks by facilitating the accumulation of risky foreign liabilities. This paper explores the connections between financial integration, investment and crisis risk to assess this tradeoff. It confirms expectations but also finds that the accumulation of safe foreign as ... (View publication)
This paper shows, using probit analysis, that low national savings increase the risk of macroeconomic crisis. Foreign savings are a poor substitute of national savings not only for domestic investment (Feldstein-Horioka result), but also for stability. It is found that deeper financial integration does not cure low investment and can improve the situation only to the extent that the risks of t ... (View publication)
This paper shows that exchange rate depreciation has a negative effect on the balance sheet of Brazilian companies with foreign indebtedness; this effect stems mainly from the negative correlation between the exchange rate and international commodity prices. While the face value of liabilities increased in proportion to the exchange rate during the period studied, revenues from exporting compa ... (View publication)
Hello, Welcome to the IDB!
Please join our mailing list by simply entering your email below.
Show inline popup 1
Show inline popup 2
Show inline popup 3
Show inline popup 4