Sovereign debt and corporate borrowing costs in emerging markets

• 成果类型: Article
• 署名作者: Agca, Senay; Celasun, Oya
• 署名单位: International Monetary Fund; George Washington University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.02.009
• 发表日期: 2012
• 页码: 198-208
• 关键词: sovereign debt; Corporate debt; syndicated loans; Yield spreads; Creditor rights

摘要

We document that the corporate sector faces higher borrowing costs when the external debt of the public sector is higher. By contrast, no significant relationship is found between domestic public debt and corporate borrowing costs. An increase in sovereign debt by one standard deviation from its sample mean is associated with 9% higher loan yield spreads. The correlation is considerably higher in countries with weak creditor rights and past sovereign default episodes. Overall, these findings suggest substantial adverse linkages between public external debt and private financing costs. (c) 2012 Elsevier B.V. All rights reserved.