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The Sovereign Ceiling and Emerging Market Corporate Bond Spreads

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Cited by:

  1. Dähler, Timo, 2020. "Bias or ignorance? The politics and economics behind sovereign credit ratings," MPRA Paper 103965, University Library of Munich, Germany.
  2. Junye Li & Gabriele Zinna, 2014. "How much of bank credit risk is sovereign risk? Evidence from the eurozone," Temi di discussione (Economic working papers) 990, Bank of Italy, Economic Research and International Relations Area.
  3. Nidhaleddine Ben Cheikh & Oussama Ben Hmiden & Younes Ben Zaied & Sabri Boubaker, 2021. "Do sovereign credit ratings matter for corporate credit ratings?," Annals of Operations Research, Springer, vol. 297(1), pages 77-114, February.
  4. Salvatore Dell’Erba & Emanuele Baldacci & Tigran Poghosyan, 2013. "Spatial spillovers in emerging market spreads," Empirical Economics, Springer, vol. 45(2), pages 735-756, October.
  5. Suk-Joong Kim & Eliza Wu, 2018. "International Bank Flows to Emerging Markets: Influence of Sovereign Credit Ratings and Their Regional Spillover Effects," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 14, pages 467-515, World Scientific Publishing Co. Pte. Ltd..
  6. Prati, Alessandro & Schindler, Martin & Valenzuela, Patricio, 2012. "Who benefits from capital account liberalization? Evidence from firm-level credit ratings data," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1649-1673.
  7. Mizen, Paul & Tsoukas, Serafeim, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3048-3059.
  8. El-Shagi, Makram & Schweinitz, Gregor von, 2018. "The joint dynamics of sovereign ratings and government bond yields," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 198-218.
  9. Eduardo A. Cavallo & Patricio Valenzuela, 2010. "The determinants of corporate risk in emerging markets: an option-adjusted spread analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 59-74.
  10. Gabriel Cuadra & Juan Sanchez & Horacio Sapriza, 2010. "Fiscal Policy and Default Risk in Emerging Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 452-469, April.
  11. Giancarlo Corsetti & Keith Kuester & André Meier & Gernot J. Müller, 2013. "Sovereign Risk, Fiscal Policy, and Macroeconomic Stability," Economic Journal, Royal Economic Society, vol. 0, pages 99-132, February.
  12. Bevilaqua, Julia & Hale, Galina B. & Tallman, Eric, 2020. "Corporate yields and sovereign yields," Journal of International Economics, Elsevier, vol. 124(C).
  13. Bedendo, Mascia & Colla, Paolo, 2015. "Sovereign and corporate credit risk: Evidence from the Eurozone," Journal of Corporate Finance, Elsevier, vol. 33(C), pages 34-52.
  14. Saleem Bahaj, 2014. "Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area," Discussion Papers 1406, Centre for Macroeconomics (CFM).
  15. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  16. Jennie Bai & Shang-Jin Wei, 2017. "Property Rights and CDS Spreads: When Is There a Strong Transfer Risk from the Sovereigns to the Corporates?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-36, December.
  17. Hill, Paula & Bissoondoyal-Bheenick, Emawtee & Faff, Robert, 2018. "New evidence on sovereign to corporate credit rating spill-overs," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 209-225.
  18. Luigi Bocola, 2016. "The Pass-Through of Sovereign Risk," Journal of Political Economy, University of Chicago Press, vol. 124(4), pages 879-926.
  19. Di Tommaso, Caterina & Perdichizzi, Salvatore & Vigne, Samuel & Zaghini, Andrea, 2024. "Is the government always greener?," CFS Working Paper Series 718, Center for Financial Studies (CFS).
  20. Andreas Fuchs & Kai Gehring, 2017. "The Home Bias in Sovereign Ratings," Journal of the European Economic Association, European Economic Association, vol. 15(6), pages 1386-1423.
  21. Warnes, Ignacio & Warnes, Pablo E., 2014. "Country risk and the cost of equity in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 15-27.
  22. Ho, Amy Yueh-Fang & Liang, Hsin-Yu & Jian, Jhih-Shan, 2023. "How does national culture affect the spillover effects of sovereign ratings on corporate ratings?," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 671-691.
  23. Aysun, Uluc & Brady, Ryan & Honig, Adam, 2013. "Financial frictions and the strength of monetary transmission," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 1097-1119.
  24. Rui Esteves & João Tovar Jalles, 2016. "Like Father Like Sons? The Cost of Sovereign Defaults in Reduced Credit to the Private Sector," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1515-1545, October.
  25. Mr. Marcel Peter & Martín Grandes, 2005. "How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa," IMF Working Papers 2005/217, International Monetary Fund.
  26. Michael Bleaney & Veronica Veleanu, 2017. "Currency risk in corporate bond spreads in the eurozone," Discussion Papers 2017/07, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  27. Dennis Bonam & Jasper Lukkezen, 2013. "Government Spending Shocks, Sovereign Risk and the Exchange Rate Regime," Tinbergen Institute Discussion Papers 13-212/VI, Tinbergen Institute, revised 09 Jan 2013.
  28. Grant, Everett, 2016. "Exposure to international crises: trade vs. financial contagion," ESRB Working Paper Series 30, European Systemic Risk Board.
  29. P. Hammer & A. Kogan & M. Lejeune, 2011. "Reverse-engineering country risk ratings: a combinatorial non-recursive model," Annals of Operations Research, Springer, vol. 188(1), pages 185-213, August.
  30. Yu-Li Huang & Chung-Hua Shen, 2015. "The Sovereign Effect on Bank Credit Ratings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(3), pages 341-379, June.
  31. Aysun Uluc, 2011. "An Alternative Method for Measuring Financial Frictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, April.
  32. Paul Mizen & Serafeim Tsoukas, 2006. "Evidence on the external finance premium from the US and emerging Asian corporate bond markets," Discussion Papers 06/04, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
  33. Dennis Bonam & Jasper Lukkezen, 2013. "Government Spending Shocks, Sovereign Risk and the Exchange Rate Regime," Tinbergen Institute Discussion Papers 13-212/VI, Tinbergen Institute, revised 09 Jan 2013.
  34. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 686-697, October.
  35. Kose John & Mahsa S Kaviani & Lawrence Kryzanowski & Hosein Maleki, 2021. "Do Country-Level Creditor Protections Affect Firm-Level Debt Structure Concentration? [Why not a political Coase theorem? Social conflict, commitment, and politics]," Review of Finance, European Finance Association, vol. 25(6), pages 1677-1725.
  36. Brown, M. & Kirschenmann, K. & Ongena, S., 2009. "Foreign Currency Loans - Demand or Supply Driven?," Discussion Paper 2009-78, Tilburg University, Center for Economic Research.
  37. World Bank, 2017. "Demystifying Forest Bonds," World Bank Publications - Reports 28587, The World Bank Group.
  38. Mohapatra,Sanket & Nose,Manabu & Ratha,Dilip K., 2016. "Impacts of sovereign rating on sub-sovereign bond ratings in emerging and developing economies," Policy Research Working Paper Series 7618, The World Bank.
  39. Williams, Gwion & Alsakka, Rasha & ap Gwilym, Owain, 2013. "The impact of sovereign rating actions on bank ratings in emerging markets," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 563-577.
  40. Borensztein, Eduardo & Cowan, Kevin & Valenzuela, Patricio, 2013. "Sovereign ceilings “lite”? The impact of sovereign ratings on corporate ratings," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4014-4024.
  41. Düll, Robert & König, Felix & Ohls, Jana, 2017. "On the exposure of insurance companies to sovereign risk—Portfolio investments and market forces," Journal of Financial Stability, Elsevier, vol. 31(C), pages 93-106.
  42. Grandes, Martin & Panigo, Demian T. & Pasquini, Ricardo A., 2010. "On the estimation of the cost of equity in Latin America," Emerging Markets Review, Elsevier, vol. 11(4), pages 373-389, December.
  43. Jennie Bai & Shang-Jin Wei, 2012. "When is there a strong transfer risk from the sovereigns to the corporates? Property rights gaps and CDS spreads," Staff Reports 579, Federal Reserve Bank of New York.
  44. Juan J. Cruces & Christoph Trebesch, 2013. "Sovereign Defaults: The Price of Haircuts," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 85-117, July.
  45. Md Abdul Wasi & Thu Phuong Pham & Ralf Zurbruegg, 2023. "Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 50(1-2), pages 411-440, January.
  46. Uluc Aysun & Ryan Brady & Adam Honig, 2009. "Financial Frictions and Monetary Transmission Strength: A Cross-Country Analysis," Working papers 2009-24, University of Connecticut, Department of Economics, revised Jun 2010.
  47. Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020. "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
  48. Garay, Urbi & González, Maximiliano & Rosso, John, 2019. "Country and industry effects in corporate bond spreads in emerging markets," Journal of Business Research, Elsevier, vol. 102(C), pages 191-200.
  49. Wasi, Md Abdul & Pham, Thu Phuong & Zurbruegg, Ralf, 2021. "The non-pecuniary determinants of sovereign and bank rating changes," Finance Research Letters, Elsevier, vol. 41(C).
  50. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  51. Herrera Dappe,Matias & Melecky,Martin & Turkgulu,Burak, 2022. "Fiscal Risks from Early Termination of Public-Private Partnerships in Infrastructure," Policy Research Working Paper Series 9972, The World Bank.
  52. Uluc Aysun & Ryan Brady & Adam Honig, 2011. "Financial Frictions and the Credit Channel of Monetary Transmission," Working Papers 2011-03, University of Central Florida, Department of Economics.
  53. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
  54. Surach Tanboon & Suchot Piamchol & Tanawat Ruenbanterng & Paiboon Pongpaichet, 2009. "Impacts of Financial Factors on Thailand's Business Cycle Fluctuations," Working Papers 2009-01, Monetary Policy Group, Bank of Thailand.
  55. Danish Ahmed & Yasir Shahab & Farid Ullah & Zhiwei Ye, 2020. "Investor sentiment and insurers’ financial stability: do sovereign ratings matter?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(2), pages 281-312, April.
  56. Mr. Sanjeev Gupta & Mr. Carlos Mulas-Granados & Mr. Emanuele Baldacci, 2009. "How Effective is Fiscal Policy Response in Systemic Banking Crises?," IMF Working Papers 2009/160, International Monetary Fund.
  57. Gadatsch, Niklas, 2015. "Real effects of sovereign bond market spillovers in the euro area," Working Papers 01/2015, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung.
  58. Mr. Eduardo Borensztein & Mr. Patricio A Valenzuela & Kevin Cowan, 2007. "Sovereign Ceilings “Lite”? The Impact of Sovereign Ratings on Corporate Ratings in Emerging Market Economies," IMF Working Papers 2007/075, International Monetary Fund.
  59. Nazim Belhocine & Mr. Salvatore Dell'Erba, 2013. "The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads," IMF Working Papers 2013/093, International Monetary Fund.
  60. Bhatta, Bibek & Marshall, Andrew & Thapa, Chandra, 2017. "Cost of sovereign debt and foreign bias in bond allocations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 75-91.
  61. Zócimo Campos & Juan Tapia Gertosio & Paulina Natalia Gudaris, 2021. "Country Risk Premium: The Case of Chile," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(2), pages 317-344, September.
  62. Li, Delong & Magud, Nicolas E. & Werner, Alejandro, 2023. "The long-run impact of sovereign yields on corporate yields in emerging markets," Journal of International Money and Finance, Elsevier, vol. 130(C).
  63. Mizenand, Paul & Tsoukasy, Serafeim, 2012. "The response of the external finance premium in Asian corporate bond markets to financial characteristics, financial constraints and two financial crises," SIRE Discussion Papers 2012-42, Scottish Institute for Research in Economics (SIRE).
  64. Herrera Dappe,Matias & Melecky,Martin & Turkgulu,Burak, 2022. "PPP Distress and Fiscal Contingent Liabilities in South Asia," Policy Research Working Paper Series 10137, The World Bank.
  65. Bahaj, Saleem, 2020. "Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 116-135.
  66. Diego J. Perez, 2015. "Sovereign Debt, Domestic Banks and the Provision of Public Liquidity," Discussion Papers 15-016, Stanford Institute for Economic Policy Research.
  67. Christian Klein & Christoph Stellner, 2014. "Does sovereign risk matter? New evidence from eurozone corporate bond ratings and zero‐volatility spreads," Review of Financial Economics, John Wiley & Sons, vol. 23(2), pages 64-74, April.
  68. Boris Hofmann & Nikhil Patel & Steve Pak Yeung Wu, 2022. "Original sin redux: a model-based evaluation," BIS Working Papers 1004, Bank for International Settlements.
  69. Zixi Liu, 2015. "Do debt and growth dance together? A DSGE model of a small open economy with sovereign debt," Working Papers 2015.05, International Network for Economic Research - INFER.
  70. Ricardo Sabbadini, 2017. "Overcoming the Original Sin: Gains from Local Currency External Debt," Working Papers, Department of Economics 2017_27, University of São Paulo (FEA-USP).
  71. Ms. Sonja Keller & Mr. Ashoka Mody, 2010. "International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?," IMF Working Papers 2010/026, International Monetary Fund.
  72. Sanket Mohapatra & Manabu Nose & Dilip Ratha, 2018. "Determinants of the distance between sovereign credit ratings and sub-sovereign bond ratings: Evidence from emerging markets and developing economies," Applied Economics, Taylor & Francis Journals, vol. 50(9), pages 934-956, February.
  73. Düll, Robert & König, Felix & Ohls, Jana, 2017. "On the exposure of insurance companies to sovereign risk − portfolio investments and market forces 1," LSE Research Online Documents on Economics 83195, London School of Economics and Political Science, LSE Library.
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