Winners and losers from sovereign debt inflows

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• dc.contributor.author Broner, Fernando
• dc.contributor.author Martin, Alberto, 1974-
• dc.contributor.author Pandolfi, Lorenzo
• dc.contributor.author Williams, Tomas
• dc.date.accessioned 2021-10-25T08:28:24Z
• dc.date.available 2021-10-25T08:28:24Z
• dc.date.issued 2021
• dc.description.abstract We study the effects of sovereign debt inflows on domestic firms. To do so, we exploit episodes of large sovereign debt inflows, which follow the announcements of the inclusion of six emerging countries into major sovereign debt indexes. We find that these events reduce government bond yields, appreciate the domestic currency, and have heterogeneous stock-market effects on domestic firms. Firms operating in tradable industries experience lower returns than firms in non-tradable industries. In addition, financial firms, government-related firms, and firms that rely more on external financing experience higher returns. The effect on financial and government-related firms is stronger in countries that display larger reductions in government bond yields. The effect on tradable firms is stronger in countries that display stronger appreciations. We provide a stylized model that rationalizes these results. Our findings shed novel light on the channels through which sovereign debt inflows affect firms in emerging countries.
• dc.description.sponsorship Pandolfiand Williams acknowledge support from the Einaudi Institute for Economics and Finance (2017 EIEF research grant) and the Columbian College Facilitating Fund from George Washington University. Broner and Martin acknowledge support from the Spanish Ministry of Economy, Industry, and Competitiveness through the I + D Excelencia grant (ECO2016–79823-P), the Spanish Ministry of Science and Innovation through the Severo Ochoa Programme for Centers of Excellence in R&D grant (CEX2019–000915-S), the Generalitat de Catalunya (AGAUR grant 2017-SGR0–1393), the CERCA Programme/Generalitat de Catalunya, and the Barcelona GSE Research Network. Martin also acknowledges support from the European Research Council under EU Seventh Frame-work Programme (FP7/2007–2013) ERC Consolidator Grant (615651-MacroColl).
• dc.format.mimetype application/pdf
• dc.identifier.citation Broner F, Martin A, Pandolfi L, Williams T. Winners and losers from sovereign debt inflows. J Int Econ. 2021 May;130:103446. DOI:10.1016/j.jinteco.2021.103446
• dc.identifier.doi http://dx.doi.org/10.1016/j.jinteco.2021.103446
• dc.identifier.issn 0022-1996
• dc.identifier.uri http://hdl.handle.net/10230/48797
• dc.language.iso eng
• dc.publisher Elsevier
• dc.relation.ispartof J Int Econ. 2021 May;130:103446
• dc.relation.projectID info:eu-repo/grantAgreement/ES/1PE/ECO2016-79823-P
• dc.relation.projectID info:eu-repo/grantAgreement/ES/2PE/CEX2019-000915-S
• dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/615651
• dc.rights This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/4.0/
• dc.subject.keyword Sovereign debt
• dc.subject.keyword Capital inflows
• dc.subject.keyword Exchange rate
• dc.subject.keyword Government yields
• dc.subject.keyword Stock prices
• dc.subject.keyword Emerging markets
• dc.title Winners and losers from sovereign debt inflows
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/publishedVersion