全球智库信息集成服务系统(G2TT): When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18600
来源ID	Working Paper 18600
	When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
	Jennie Bai; Shang-Jin Wei
发表日期	2012-12-06
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	International Economics ; International Finance ; Financial Economics ; Financial Markets ; Corporate Finance ; Development and Growth ; Growth and Productivity
URL	https://www.nber.org/papers/w18600
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/576273
推荐引用方式 GB/T 7714	Jennie Bai,Shang-Jin Wei. 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
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w18600.pdf（332KB）	智库出版物		限制开放	CC BY-NC-SA	浏览