G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w29526
来源IDWorking Paper 29526
Sources and Transmission of Country Risk
Tarek Alexander Hassan; Jesse Schreger; Markus Schwedeler; Ahmed Tahoun
发表日期2021-11-29
出版年2021
语种英语
摘要We use textual analysis of earnings conference calls held by listed firms around the world to measure the amount of risk managers and investors at each firm associate with each country at each point in time. Flexibly aggregating this firm-country-quarter-level data allows us to systematically identify spikes in perceived country risk (“crises”) and document their source and pattern of transmission to foreign firms. While this pattern usually follows a gravity structure, it often changes dramatically during crises. For example, while crises originating in developed countries propagate disproportionately to foreign financial firms, emerging market crises transmit less financially and more to traditionally exposed countries. We apply our measures to show that (i) elevated perceptions of a country's riskiness, particularly those of foreign and financial firms, are associated with significant falls in local asset prices, capital outflows, and reductions in firm-level investment and employment. (ii) Risk transmitted from foreign countries affects the investment decisions of domestic firms. (iii) Heterogeneous currency loadings on perceived global risk can help explain the cross-country pattern of interest rates and currency risk premia.
主题Microeconomics ; Households and Firms ; International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Financial Markets
URLhttps://www.nber.org/papers/w29526
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/587200
推荐引用方式
GB/T 7714
Tarek Alexander Hassan,Jesse Schreger,Markus Schwedeler,et al. Sources and Transmission of Country Risk. 2021.
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
w29526.pdf(999KB)智库出版物 限制开放CC BY-NC-SA浏览
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
[Tarek Alexander Hassan]的文章
[Jesse Schreger]的文章
[Markus Schwedeler]的文章
百度学术
百度学术中相似的文章
[Tarek Alexander Hassan]的文章
[Jesse Schreger]的文章
[Markus Schwedeler]的文章
必应学术
必应学术中相似的文章
[Tarek Alexander Hassan]的文章
[Jesse Schreger]的文章
[Markus Schwedeler]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w29526.pdf
格式: Adobe PDF
此文件暂不支持浏览

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。