| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9252 |
| DP9252 When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads | |
| Shang-Jin Wei; Jennie Bai | |
| 发表日期 | 2012-12-09 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate default risks may be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default swaps (CDS) dataset covering both government and corporate entities across 30 countries, this paper studies both the average strength of the transfer risks and the role of institutions in mitigating such risks. We find that (1) sovereign risk on average has a statistically and economically significant influence on corporate credit risks. All else equal, a 100 basis points increase in the sovereign CDS spread leads to an increase in corporate CDS spreads by 71 basis points. (2) The sovereign-corporate relation varies across corporations, with state-owned companies exhibiting a stronger relation. (3) However, strong property rights institutions tend to weaken the connection. In contrast, contracting institutions (protection of creditor rights or minority shareholder rights) do not appear to matter much in this context. |
| 主题 | Development Economics ; Financial Economics |
| 关键词 | Sovereign risk Cds Property rights institutions Contracting institutions Transfer risk |
| URL | https://cepr.org/publications/dp9252 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538088 |
| 推荐引用方式 GB/T 7714 | Shang-Jin Wei,Jennie Bai. DP9252 When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Shang-Jin Wei]的文章 |
| [Jennie Bai]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Shang-Jin Wei]的文章 |
| [Jennie Bai]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Shang-Jin Wei]的文章 |
| [Jennie Bai]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
