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Displaying results 1 to 16 of 16.

  1. Searching for yield abroad
    risk-taking through foreign investment in U.S. bonds
    Author: Ammer, John; Claessens, Stijn; Tabova, Alexandra; Wroblewski, Caleb
    Published: March 19, 2018
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

    The risk-taking effects of low interest rates, now prevailing in many advanced countries, "search-for-yield," can be hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment... more

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    The risk-taking effects of low interest rates, now prevailing in many advanced countries, "search-for-yield," can be hard to analyze due to both a paucity of data and challenges in identification. Unique, security-level data on portfolio investment into the United States allow us to overcome both problems. Analyzing holdings of investors from 36 countries in close to 15,000 unique U.S. corporate bonds between 2003 and 2016, we show that declining home-country interest rates lead investors to shift their portfolios toward riskier U.S. corporate bonds, consistent with "search-for-yield". We estimate even stronger effects when home interest rates reach a low level, suggesting that risk-taking further accelerates

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: International finance discussion papers ; number1224 (March 2018)
    FRB International Finance Discussion Paper ; No. 1224
    Subjects: low interest rates; risk-taking; search for yield; portfolio choice; corporate debt; United States
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  2. Debt and financial fragility
    Italian non-financial companies after the pandemic
    Author: Fattouh, Bassam; Pisicoli, Beniamino; Scaramozzino, Pasquale
    Published: [2023]
    Publisher:  CEIS Tor Vergata, [Rom]

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: CEIS Tor Vergata research paper series ; vol. 21, issue 1 = no. 551 (February 2023)
    Subjects: leverage; corporate debt; debt ratio; quantile regression
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. High-yield debt covenants and their real effects
    Author: Bräuning, Falk; Ivashina, Victoria; Ozdagli, Ali
    Published: August 2023
    Publisher:  Federal Reserve Bank of Dallas, Research Department, Dallas

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    Series: Working paper / Federal Reserve Bank of Dallas, Research Department ; 2311
    Subjects: High-yield debt; corporate debt; covenants; incurrence covenants; cov-lite; amplification mechanisms; contracts; contingent contracting
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  4. Rising temperatures, falling ratings
    the effect of climate change on sovereign creditworthiness
    Author: Klusak, Patrycja; Agarwala, Matthew; Burke, Matt; Kraemer, Moritz; Mohaddes, Kamiar
    Published: [2021]
    Publisher:  University of Cambridge, Faculty of Economics, Cambridge

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    Series: Cambridge working paper in economics ; 2127
    Cambridge-INET working paper series ; 2021, 13
    Subjects: Sovereign credit rating; climate change; counterfactual analysis; climate-economy models; corporate debt; sovereign debt
    Scope: 1 Online-Ressource (circa 52 Seiten)
  5. State ownership and corporate leverage around the world
    Author: Haas, Ralph de; Guriev, Sergej; Stepanov, Alexander
    Published: May 2022
    Publisher:  European Bank for Reconstruction and Development, [London, United Kingdom]

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    Series: Working paper / European Bank for Reconstruction and Development ; no. 266
    Subjects: state ownership; privatisation; corporate debt; state banks
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  6. International pecking order
    Author: Eren, Egemen; Malamud, Semyon; Zhou, Haonan
    Published: [2022]
    Publisher:  Swiss Finance Institute, Geneva

    We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the... more

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    We document that corporates in emerging markets borrow more in foreign currency when the local currency provides a better hedge in downturns. We develop an international corporate finance model in which firms facing adverse selection choose the foreign currency share of their debt. In the unique separating equilibrium, good firms optimally expose themselves to currency risk to signal their type. The nature of this equilibrium crucially depends on the co-movement between cash flows and the exchange rate. We provide extensive empirical evidence for this signalling channel using micro data for firms in multiple emerging markets and event studies of local currency depreciation episodes

     
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    Series: Research paper series / Swiss Finance Institute ; no 22, 15
    Subjects: Foreign currency debt; corporate debt; signalling; exchange rates; pecking order
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  7. High-yield debt covenants and their real effects
    Author: Bräuning, Falk; Ivashina, Victoria; Ozdagli, Ali
    Published: [2022]
    Publisher:  [Federal Reserve Bank of Boston], [Boston]

    High-yield debt, including leveraged loans, is characterized by incurrence financial covenants, or "cov-lite" provisions. Unlike, traditional, maintenance covenants, incurrence covenants preserve equity control rights but trigger pre-specified... more

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    High-yield debt, including leveraged loans, is characterized by incurrence financial covenants, or "cov-lite" provisions. Unlike, traditional, maintenance covenants, incurrence covenants preserve equity control rights but trigger pre-specified restrictions on the borrower's actions once the covenant threshold is crossed. We show that restricted actions impose significant constraints on investments: Similar to the effects of the shift of control rights to creditors in traditional loans, the drop in investment under incurrence covenants is large and sudden. This evidence suggests a new shock amplification mechanism through contractual restrictions that are at play for a highly levered corporate sector long before default or bankruptcy.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    hdl: 10419/273026
    Edition: This version: March 2022
    Series: Working papers / Federal Reserve Bank of Boston ; no. 22, 5
    Subjects: high-yield debt; corporate debt; covenants; incurrence covenants; cov-lite; amplification mechanisms; contracts; contingent contracting
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  8. The COVID-19 pandemic and ASEAN+3 corporate debt-at-risk
    Author: Ho, Yin Fai; Ong, Li Lian
    Published: April 2022
    Publisher:  ASEAN+3 Macroeconomic Research Office, Singapore

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    Series: Working paper / ASEAN+3 Macroeconomic Research Office ; WP/22, 04
    Subjects: corporate debt; COVID-19 pandemic; debt-at-risk; debt service ratio; financial stability; interest coverage ratio; listed firms; policy support
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  9. Signaling with debt currency choice
    Author: Eren, Egemen; Malamud, Semyon; Zhou, Haonan
    Published: January 2023
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 1067
    Subjects: Foreign currency debt; corporate debt; signaling; exchange rates
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  10. Corporate stress and bank nonperforming loans
    evidence from Pakistan
    Author: Choudhary, Ali M.; Jain, Anil
    Published: 2021
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Source: Union catalogues
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    Series: International finance discussion papers ; number 1327 (August 2021)
    Subjects: Credit markets; banks; corporate debt; evergreening; nonperforming loans
    Scope: 1 Online-Ressource (circa 32 Seiten)
  11. The macroeconomics of carry, trade cone wrong: corporate and consumer losses in emerging Europe
    Author: Jakučionytė, Eglė; Wijnbergen, Sweder van
    Published: 2021
    Publisher:  Lietuvos Bankas, Vilnius

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    Series: Working papers series / Lietuvos Bankas ; No.2021,89
    Subjects: Currency mismatch; household debt; corporate debt; leveraged banks; small open economy,Bayesian estimation
    Scope: 1 Online-Ressource (circa 81 Seiten), Illustrationen
  12. The visible hand when revenues stop
    evidence from loan and stock markets during Covid19
    Author: Koulischer, François; Pierret, Diane; Steri, Roberto
    Published: April 9, 2021
    Publisher:  [University of Luxembourg, Faculty of Law, Economics and Finance, Luxembourg School of Finance], [Luxembourg]

    We document that public interventions in the corporate sector during the COVID-19 pandemic help firms access bank loans, cushion liquidity shortfalls, and boost their market valuations. We use firm-level data on COVID-19-related news to trace firms’... more

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    We document that public interventions in the corporate sector during the COVID-19 pandemic help firms access bank loans, cushion liquidity shortfalls, and boost their market valuations. We use firm-level data on COVID-19-related news to trace firms’ liquidity shocks in several European countries, which differ in public spending for fiscal stimulus and debt guarantees to corporations. As market valuations rebound in spite of the deterioration of firms’ revenues, interventions drive a part of the disconnect between markets and the real economy. Remarkably, the financial sector internalizes part of the benefits of interventions targeting non-financial firms. To interpret these results, we lay out a moral hazard model of corporate borrowing and public interventions. The model suggests that interventions in the corporate sector are effective to mitigate incentive problems leading to credit market failures. Lenders benefit from loan guarantees as a compensation to finance firms with severe debt overhang problems

     
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    Series: LSF research working paper series ; 2020, 7
    Subjects: corporate debt; debt overhang; guarantees; market failure; public interventions; market value
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  13. Rising temperatures, falling ratings: The effect of climate change on sovereign creditworthiness
    Author: Klusak, Patrycja; Agarwala, Matthew; Burke, Matt; Kraemer, Moritz; Mohaddes, Kamiar
    Published: March 18th, 2021
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Language: English
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    Series: CAMA working paper ; 2021, 34 (March 2021)
    Subjects: Sovereign credit rating; climate change; counterfactual analysis; climate-economymodels; corporate debt; sovereign debt
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  14. Alternative financing and the non-performing loans of the corporate sector in Estonia
    Author: Kukk, Merike; Levenko, Natalia
    Published: 2020
    Publisher:  Eesti Pank, Tallinn

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789949606801
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    Series: Working paper series / Eesti Pank ; 6,2020
    Subjects: corporate debt; non-performing loans; alternative financing,Bayesian model averaging; local projection method
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  15. Rising temperatures, falling ratings: the effect of climate change on sovereign creditworthiness
    Author: Agarwala, Matthew; Burke, Matt; Klusak, Patrycja; Kraemer, Moritz; Mohaddes, Kamiar
    Published: [2021]
    Publisher:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Enthusiasm for 'greening the financial system' is welcome, but a fundamental challenge remains: financial decision makers lack the necessary information. It is not enough to know that climate change is bad. Markets need credible, digestible... more

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    Enthusiasm for 'greening the financial system' is welcome, but a fundamental challenge remains: financial decision makers lack the necessary information. It is not enough to know that climate change is bad. Markets need credible, digestible information on how climate change translates into material risks. To bridge the gap between climate science and real-world financial indicators, we simulate the effect of climate change on sovereign credit ratings for 108 countries, creating the world's first climate-adjusted sovereign credit rating. Under various warming scenarios, we find evidence of climate-induced sovereign downgrades as early as 2030, increasing in intensity and across more countries over the century. We find strong evidence that stringent climate policy consistent with limiting warming to below 2°C, honouring the Paris Climate Agreement, and following RCP 2.6 could nearly eliminate the effect of climate change on ratings. In contrast, under higher emissions scenarios (i.e., RCP 8.5), 63 sovereigns experience climate-induced downgrades by 2030, with an average reduction of 1.02 notches, rising to 80 sovereigns facing an average downgrade of 2.48 notches by 2100. We calculate the effect of climate-induced sovereign downgrades on the cost of corporate and sovereign debt. Across the sample, climate change could increase the annual interest payments on sovereign debt by US$ 22-33 billion under RCP 2.6, rising to US$ 137- 205 billion under RCP 8.5. The additional cost to corporates is US$ 7.2-12.6 billion under RCP 2.6, and US$ 35.8-62.6 billion under RCP 8.5.

     
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    Source: Union catalogues
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    hdl: 10419/233829
    Series: Working paper series / Institute for Monetary and Financial Stability ; no. 158 (2021)
    Subjects: Sovereign credit rating; climate change; counterfactual analysis; climate-economy models; corporate debt; sovereign debt
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  16. Risk spillovers between global corporations and Latin American sovereigns
    global factors matter
    Author: Gómez González, José Eduardo; Uribe, Jorge; Valencia, Oscar M.
    Published: May 2022
    Publisher:  Inter-American Development Bank, Department of Research and Chief Economist, [Washington, DC]

    This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and... more

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    This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect of global common factors on the various CDS series. Results indicate that most spillovers occur within groups-that is, within the series of sovereign CDS contracts and the price contracts of CDS issued by global corporations. However, considerable spillovers are also registered between LAC sovereigns and corporations. Interesting differences are encountered between filtered and unfiltered data. Specifically, spillovers from countries to corporations are overestimated (by about 4.3 percentage points) and spillovers from corporations to sovereigns are underestimated (by about 5.8 percentage points) when unfiltered data are used. This result calls for a revision of results obtained from studies that do not consider the role played by global common factors in system spillovers. Like in most related studies, spillovers show considerable time variation, being larger during times of financial or economic distress. When looking at total system spillovers over time, those corresponding to unfiltered series are always larger than those corresponding to filtered series. The difference between the two time series is largest in times of distress, indicating that global factors play a major role in times of crisis. Similar conclusions are derived from network analysis.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    hdl: 10419/290052
    Series: IDB working paper series ; no IDB-WP-1343
    Subjects: corporate debt; factor models; filtered and unfiltered data; LatinAmerican countries; volatility spillovers
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen