Winners and Losers from Sovereign Debt Inflows

Fernando Broner, Alberto Martin, Lorenzo Pandolfi and Tomas Williams

No 27772, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study the transmission of sovereign debt inflow shocks on domestic firms. We exploit episodes of large sovereign debt inflows in six emerging countries that are due to the announcements of these countries' inclusion in two major local-currency sovereign debt indexes. We show that these episodes significantly reduce government bond yields and appreciate the domestic currency, and have heterogeneous stock market effects on domestic firms. Firms operating in tradable industries experience lower abnormal returns than firms in non-tradable industries. In addition, financial, government-related, and firms that rely more on external financing experience relatively higher abnormal returns. The effect on financial and government-related firms is stronger in countries that display larger reductions in government bond yields. The effect on tradable firms is stronger in countries where the domestic currency appreciates more. We provide a stylized model that rationalizes these results. Our findings shed novel light on the channels through which sovereign debt inflows affect firms in emerging economies.

JEL-codes: F3 F31 F32 F34 G15 G23 (search for similar items in EconPapers)
Date: 2020-09
New Economics Papers: this item is included in nep-opm
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as Winners and Losers from Sovereign Debt Inflows , Fernando Broner, Alberto Martin, Lorenzo Pandolfi. in NBER International Seminar on Macroeconomics 2020 , Tesar. 2021
Published as Broner, Fernando & Martin, Alberto & Pandolfi, Lorenzo & Williams, Tomas, 2021. "Winners and losers from sovereign debt inflows," Journal of International Economics, Elsevier, vol. 130(C).

Downloads: (external link)
http://www.nber.org/papers/w27772.pdf (application/pdf)

Related works:
Journal Article: Winners and losers from sovereign debt inflows (2021)
Chapter: Winners and Losers from Sovereign Debt Inflows (2020)
Working Paper: Winners and Losers from Sovereign Debt Inflows (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:27772

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w27772

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().