The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets /

The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets /

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bond...

詳細記述

書誌詳細
第一著者: Li, Delong
その他の著者: Magud, Nicolas, Werner, Alejandro, Witte, Samantha
フォーマット: 雑誌
言語:English
出版事項: Washington, D.C. : International Monetary Fund, 2021.
シリーズ:IMF Working Papers; Working Paper ; No. 2021/155
主題:
Foreign Exchange
Informal Economy
Underground Econom
オンライン･アクセス:Full text available on IMF
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100 1 |a Li, Delong. 
245 1 4 |a The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets /  |c Delong Li, Nicolas Magud, Alejandro Werner, Samantha Witte. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2021. 
300 |a 1 online resource (51 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs. 
538 |a Mode of access: Internet 
650 7 |a Foreign Exchange  |2 imf 
650 7 |a Informal Economy  |2 imf 
650 7 |a Underground Econom  |2 imf 
700 1 |a Magud, Nicolas. 
700 1 |a Werner, Alejandro. 
700 1 |a Witte, Samantha. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2021/155 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2021/155/001.2021.issue-155-en.xml  |z IMF e-Library 

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