Winners and losers from sovereign debt inflows

• 成果类型: Article
• 署名作者: Broner, Fernando; Martin, Alberto; Pandolfi, Lorenzo; Williams, Tomas
• 署名单位: Pompeu Fabra University; Barcelona School of Economics; Centre de Recerca en Economia Internacional (CREI); Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; University of Naples Federico II; George Washington University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2021.103446
• 发表日期: 2021
• 关键词: sovereign debt; Capital inflows; Exchange rate; Government yields; Stock prices; Emerging markets

摘要

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. (c) 2021 Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).