Good-bye original sin, hello risk on-off, financial fragility, and crises?

Joshua Aizenman, Yothin Jinjarak, Donghyun Park and Huanhuan Zheng

Journal of International Money and Finance, 2021, vol. 117, issue C

Abstract: We analyze the sovereign bond issuance data of eight major emerging markets (EMs) - Brazil, China, India, Indonesia, Mexico, Russia, South Africa and Turkey from 1970 to 2018. Our analysis suggests that (i) EM local currency bonds tend to be smaller in size, shorter in maturity, or lower in coupon rate than foreign currency bonds; (ii) EMs are more likely to issue local-currency sovereign bonds if their currencies appreciated before the global financial crisis of 2008 (GFC); (iii) inflation-targeting policy increases the likelihood of issuing local-currency debt before GFC but not after; and (iv) EMs that offer higher sovereign yields are more likely to issue local-currency bonds after GFC. Future data will allow us to test and identify structural changes associated with the COVID-19 pandemic and its aftermath.

Keywords: Original sin; Emerging market; Sovereign bond; Local-currency bond; Financial crisis (search for similar items in EconPapers)
JEL-codes: F21 F31 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: Good-Bye Original Sin, Hello Risk On-Off, Financial Fragility, and Crises? (2022)
Working Paper: Good-Bye Original Sin, Hello Risk On-Off, Financial Fragility, and Crises? (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621000930

DOI: 10.1016/j.jimonfin.2021.102442

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