Corporate debt, firm size and financial fragility in emerging markets

• 成果类型: Article
• 署名作者: Alfaro, Laura; Asis, Gonzalo; Chari, Anusha; Panizza, Ugo
• 署名单位: Harvard University; University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.01.002
• 发表日期: 2019
• 页码: 1-19
• 关键词: emerging markets; Corporate debt; financial fragility; Firm-level data; Large Firms

摘要

The post-Global Financial Crisis period shows a surge in corporate leverage in emerging markets and a number of countries with deteriorated corporate financial fragility indicators (Altman's Z-score). Firm size plays a critical role in the relationship between leverage, firm fragility and exchange rate movements in emerging markets. While the relationship between firm-leverage and distress scores varies over time, the relationship between firm size and corporate vulnerability is relatively time-invariant. All else equal, large firms in emerging markets are more financially vulnerable and also systemically important. Consistent with the granular origins of aggregate fluctuations in Gabaix (2011), idiosyncratic shocks to the sales growth of large firms are positively and significantly correlated with GDP growth in our emerging markets sample. Relatedly, the negative impact of exchange rate shocks has a more acute impact on the sales growth of the more highly levered large firms. (C) 2019 Elsevier B.V. All rights reserved.