| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12038 |
| DP12038 Lessons Unlearned? Corporate Debt in Emerging Markets | |
| Ugo Panizza; Gonzalo Asis; Laura Alfaro; Anusha Chari | |
| 发表日期 | 2017-05-10 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | This paper documents a set of stylized facts about leverage and financial fragility in the nonfinancial corporate sector in emerging markets since the Global Financial Crisis (GFC). Corporate debt vulnerability indicators prior to the Asian Financial Crisis (AFC) attributed to corporate financial roots provide a benchmark for comparison. The firm-level data suggest that emerging markets post-GFC have lower leverage ratios than the five Asian crisis countries (Asian Five) in the run-up to the AFC. However, a broader set of emerging market countries show weaker liquidity, solvency, and profitability indicators. More countries are also in the Altman Z-score's “grey zone”, that is, at risk for corporate distress. Regression estimates confirm that leading up to the AFC and in the aftermath of the GFC, firms with higher leverage have Zscores that are closer to the financial distress range. The data also corroborate two macro-related hypotheses: first, that leverage interacted with currency depreciation had a statistically significant adverse impact on Z-scores in pre-AFC; and second, that in countries with higher GDP growth leverage is correlated with less corporate financial fragility. Consistent with Gabaix (2011) the paper finds a granularity effect in that large firms are systemically important— idiosyncratic shocks to large firms significantly correlate with GDP growth in our emerging markets sample. Also, the more-levered large firms are more vulnerable to exchange rate shocks than smaller firms with comparable levels of leverage. While this result holds for the average country in our sample, there is substantial cross-country heterogeneity. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Emerging markets Corporate debt Financial fragility Firm-level data Large firms |
| URL | https://cepr.org/publications/dp12038 |
| 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/540850 |
| 推荐引用方式 GB/T 7714 | Ugo Panizza,Gonzalo Asis,Laura Alfaro,et al. DP12038 Lessons Unlearned? Corporate Debt in Emerging Markets. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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