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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Chan-Lau, Jorge A. - 2004
equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various …
Persistent link: https://www.econbiz.de/10014404117
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Feeling the heat : climate shocks and credit ratings
Cevik, Serhan; Jalles, João Tovar - 2020
Climate change is an existential threat to the world economy like no other, with complex, evolving and nonlinear dynamics that remain a source of great uncertainty. There is a bourgeoning literature on the economic impact of climate change, but research on how climate change affects sovereign...
Persistent link: https://www.econbiz.de/10012486104
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The nonlinear relationship between public debt and sovereign credit ratings
Hadzi-Vaskov, Metodij; Ricci, Luca Antonio - 2019
This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii)...
Persistent link: https://www.econbiz.de/10012102166
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The COVID-19 impact on corporate leverage and financial fragility
Haque, Sharjil Muktafi; Varghese, Richard - 2021
We study the impact of the COVID-19 recession on capital structure of publicly listed U.S. firms. Our estimates suggest leverage (Net Debt/Asset) decreased by 5.3 percentage points from the pre-shock mean of 19.6 percent, while debt maturity increased moderately. This de-leveraging effect is...
Persistent link: https://www.econbiz.de/10012796218
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Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk
Chan-Lau, Jorge A. - 2021
This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...
Persistent link: https://www.econbiz.de/10012613371
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Changes in the global investor base and the stability of portfolio flows to emerging markets
Brandao Marques, Luis; Gelos, Gaston; Ichiue, Hibiki; … - 2015
An analysis of mutual-fund-level flow data into EM bond and equity markets confirms that different types of funds behave differently. Bond funds are more sensitive to global factors and engage more in return chasing than equity funds. Flows from retail, open-end, and offshore funds are more...
Persistent link: https://www.econbiz.de/10011445594
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The long-run impact of sovereign yields on corporate yields in emerging markets
Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021
bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued …
Persistent link: https://www.econbiz.de/10012612337
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Determinants of and prospects for market access in frontier economies
Silva, Victor Hugo C. Alexandrino da; Almeida, Luiza … - 2021
PPG bond stock, as well as sovereign spreads, we employ panel data analysis to examine factors related to the increase in … issuance by these economies as well as the reduction in their spreads over time. Our empirical study shows that both country … (such as US growth and the VIX index) play a role in explaining the increased amount of issuance and the decline in spreads …
Persistent link: https://www.econbiz.de/10012613401
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How green are green debt issuers?
Schmittmann, Jochen Markus; Teng, Chua Han - 2021
Green debt markets are rapidly growing while product design and standards are evolving. Many policymakers and investors view green debt as an important component in the policy mix to achieve the transition to a low carbon economy and ensure the pricing of climate risks. Our analysis contributes...
Persistent link: https://www.econbiz.de/10012605577
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Effects of emerging market asset purchase program announcements on financial markets during the COVID-19 pandemic
Sever, Can; Goel, Rohit; Drakopoulos, Dimitris; … - 2020
The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets using both event studies and local projections...
Persistent link: https://www.econbiz.de/10012487164