Winners and losers from Sovereign debt inflows: evidence from the stock market

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• dc.contributor.author Broner, Fernando
• dc.contributor.author Martin, Alberto, 1974-
• dc.contributor.author Pandolfi, Lorenzo
• dc.contributor.author Williams, Tomás
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2020-05-25T09:26:56Z
• dc.date.available 2020-05-25T09:26:56Z
• dc.date.issued 2019-12-01
• dc.date.modified 2020-05-25T09:26:18Z
• dc.description.abstract This paper analyzes the effects on firms of sovereign debt inflows in emerging countries. To deal with the endogeneity between capital inflows and economic activity, we focus on capital inflows driven by countries inclusions into well-known local currency sovereign debt market indexes. These events convey little information about the future economic prospects of countries but induce large capital flows from institutional investors tracking the indexes. We show that inclusion-driven flows significantly reduce government bond yields and appreciate the domestic currency. In turn, these flows have heterogenous impact on firms stock market returns. Government related firms, financial firms and firms with larger financial constraints experience positive abnormal returns following the announcement of these events. Instead, companies operating in export-intensive sectors have negative abnormal returns. Our findings shed novel light on the channels through which capital inflows to sovereign debt markets affect firms in the economy.
• dc.format.mimetype application/pdf*
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1693
• dc.identifier.citation
• dc.identifier.uri http://hdl.handle.net/10230/44724
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1693
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword sovereign debt; capital inflows; exchange rate; government bond yields; external financial dependence
• dc.subject.keyword Macroeconomics and International Economics
• dc.title Winners and losers from Sovereign debt inflows: evidence from the stock market
• dc.title.alternative
• dc.type info:eu-repo/semantics/workingPaper