Corporate yields and sovereign yields

• 成果类型: Article; Proceedings Paper
• 署名作者: Bevilaqua, Julia; Hale, Galina B.; Tallman, Eric
• 署名单位: University of Pennsylvania; Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2020.103304
• 发表日期: 2020
• 关键词: bond; debt; CRISIS

摘要

We document that positive association between corporate and sovereign cost of funds borrowed on global capital markets weakens during periods of unusually high sovereign yields, when some corporate borrowers are able to issue debt that is priced at lower rates than sovereign debt. This state-dependent sensitivity of corporate yields to sovereign yields has not been previously documented in the literature. We demonstrate that this stylized fact is observed across countries and industries as well as for a given borrower over time. It is not explained by a different composition of borrowers issuing debt during periods of high sovereign yields, by the relationship between corporate and sovereign credit ratings, and only partially explained by financial crises and IMF programs. We propose a simple information model that rationalizes our empirical observations: when sovereign yields are high, corporate yields are less sensitive to sovereign yields. (C) 2020 Elsevier B.V. All rights reserved.