Winners and losers from sovereign debt inflows
| Autor: | Fernando Broner, Alberto Martin, Tomas Williams, Lorenzo Pandolfi |
|---|---|
| Přispěvatelé: | Broner, Fernando, Martin, Alberto, Pandolfi, Lorenzo, Williams, Tomas |
| Rok vydání: | 2021 |
| Předmět: |
Sovereign debt
Capital inflows Exchange rate Government yields Stock prices Emerging markets Economics and Econometrics Stylized fact 050208 finance Emerging markets 05 social sciences 1. No poverty Exchange rate Monetary economics Stock prices Government yields Currency Sovereign debt 8. Economic growth 0502 economics and business Economics Government bond External financing 050207 economics Capital inflows Finance 050205 econometrics |
| Zdroj: | Journal of International Economics. 130:103446 |
| ISSN: | 0022-1996 |
| Popis: | We study the effects of sovereign debt inflows on domestic firms. To do so, we exploit episodes of large sovereign debt inflows, which follow the announcements of the inclusion of six emerging countries into major sovereign debt indexes. We find that these events reduce government bond yields, appreciate the domestic currency, and have heterogeneous stock-market effects on domestic firms. Firms operating in tradable industries experience lower returns than firms in non-tradable industries. In addition, financial firms, government-related firms, and firms that rely more on external financing experience higher returns. The effect on financial and government-related firms is stronger in countries that display larger reductions in government bond yields. The effect on tradable firms is stronger in countries that display stronger appreciations. We provide a stylized model that rationalizes these results. Our findings shed novel light on the channels through which sovereign debt inflows affect firms in emerging countries. Pandolfiand Williams acknowledge support from the Einaudi Institute for Economics and Finance (2017 EIEF research grant) and the Columbian College Facilitating Fund from George Washington University. Broner and Martin acknowledge support from the Spanish Ministry of Economy, Industry, and Competitiveness through the I + D Excelencia grant (ECO2016–79823-P), the Spanish Ministry of Science and Innovation through the Severo Ochoa Programme for Centers of Excellence in R&D grant (CEX2019–000915-S), the Generalitat de Catalunya (AGAUR grant 2017-SGR0–1393), the CERCA Programme/Generalitat de Catalunya, and the Barcelona GSE Research Network. Martin also acknowledges support from the European Research Council under EU Seventh Frame-work Programme (FP7/2007–2013) ERC Consolidator Grant (615651-MacroColl). |
| Databáze: | OpenAIRE |
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