Sovereign Risk, Currency Risk, and Corporate Balance Sheets

• 成果类型: Article
• 署名作者: Du, Wenxin; Schreger, Jesse
• 署名单位: University of Chicago; Federal Reserve System - USA; Federal Reserve Bank - New York; National Bureau of Economic Research; Centre for Economic Policy Research - UK; Columbia University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhac001
• 发表日期: 2022
• 页码: 4587
• 关键词: monetary-policy; equilibrium-model; exchange-rate; default risk; debt; credit; countries; maturity; rates

摘要

We provide a comprehensive account of the evolution of the currency composition of sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We show that a higher reliance on foreign currency debt by the corporate sector is associated with higher sovereign default risk. We introduce local currency sovereign debt and private sector currency mismatch into a standard sovereign debt model to examine how the currency composition of corporate borrowing affects the sovereign's incentive to inflate or default. A calibration of the model generates the empirical patterns of sovereign credit risk.