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Preferential Credit Treatment, Bond Valuations, and Distressed Exchanges 优惠信贷待遇、债券估值和不良交易
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-11-18 DOI: 10.2139/ssrn.3286586
C. Sarmiento
{"title":"Preferential Credit Treatment, Bond Valuations, and Distressed Exchanges","authors":"C. Sarmiento","doi":"10.2139/ssrn.3286586","DOIUrl":"https://doi.org/10.2139/ssrn.3286586","url":null,"abstract":"This paper uses Duffie and Singleton (1999) discount model for defaultable bonds to infer the presence of a preferential credit treatment (PCT) for Multilateral Development Banks (MDBs) in loss given default (LGD) space. The main inferences from the paper are twofold. -1- Lower lending fees in MDBs loans relative to private lenders generate a significant PCT. That is, a refinancing of a loan would be less severe for loans that already encompass a subsidized coupon. -2- Non-concessional loans have lower LGDs than concessional loans. This is consistent with the premise that non-concessional lending help financing concessional loans. Overall, our conceptualization of the problem supports an explanation for the preferential treatment of MDBs, even under the assumption of no seniority for MDBs loans relative to private loans.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132693904","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sovereign Credit Ratings under Fiscal Uncertainty 财政不确定性下的主权信用评级
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-11-12 DOI: 10.2139/ssrn.3288102
Arno Hantzsche
{"title":"Sovereign Credit Ratings under Fiscal Uncertainty","authors":"Arno Hantzsche","doi":"10.2139/ssrn.3288102","DOIUrl":"https://doi.org/10.2139/ssrn.3288102","url":null,"abstract":"This paper studies the response of credit rating agencies to an increase in uncertainty about a government's fiscal position. To that end, a measure of the uncertainty around official forecasts of the public budget deficit is constructed that is comparable across time and a range of advanced economies. To estimate the effect of fiscal uncertainty on sovereign credit ratings, an empirical framework is developed that accounts for the high stability of ratings over time. Results suggest that fiscal uncertainty increases the predictive power of a model of rating changes and can explain why sovereign ratings are often changed more frequently during crises.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115909810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Currency Risk and Equity Allocations by International Mutual Funds 国际共同基金的货币风险和股票配置
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-11-02 DOI: 10.2139/ssrn.3277702
T. Dyakov, Evert Wipplinger
{"title":"Currency Risk and Equity Allocations by International Mutual Funds","authors":"T. Dyakov, Evert Wipplinger","doi":"10.2139/ssrn.3277702","DOIUrl":"https://doi.org/10.2139/ssrn.3277702","url":null,"abstract":"We show that international equity mutual funds underweight equity markets with risky currencies and overweight equity markets with less risky ones. This risk-management practice is an important determinant for allocations among foreign equities and can also help explain levels of home bias for individual funds. On average, this leads to a reduction of fund volatility but puts a constraint on stock-picking and performance. Our findings stress the importance of currency risk in explaining equity allocations by professional asset managers around the world.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115184182","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
A Behavioral Model of the Credit Cycle 信贷周期的行为模型
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-10-30 DOI: 10.2139/ssrn.3275525
Barbara Annicchiarico, Silvia Surricchio, R. Waldmann
{"title":"A Behavioral Model of the Credit Cycle","authors":"Barbara Annicchiarico, Silvia Surricchio, R. Waldmann","doi":"10.2139/ssrn.3275525","DOIUrl":"https://doi.org/10.2139/ssrn.3275525","url":null,"abstract":"In a behavioral variant of a New Keynesian model, in which individuals use simple heuristic rules to forecast future in ation and output gap, if there are limits on the amount of debt that economic agents are allowed to bear, we observe occasionally severe downturns. Differences in beliefs combined with borrowing constraints tend to dampen expansions, but give rise to a chain reaction that exacerbates the recessions. The model is an example of endogenous credit cycles with expansions, severe recessions, and persistent inequality in the distribution of wealth. Monetary policy can both stabilize the economy and cause increased average output.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122797192","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Soft Information Production and Investment in Specific Assets 软信息生产与特定资产投资
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-10-27 DOI: 10.2139/ssrn.3273974
S. Gangopadhyay, Radhika Lunawat, C. Wihlborg
{"title":"Soft Information Production and Investment in Specific Assets","authors":"S. Gangopadhyay, Radhika Lunawat, C. Wihlborg","doi":"10.2139/ssrn.3273974","DOIUrl":"https://doi.org/10.2139/ssrn.3273974","url":null,"abstract":"We analyse how soft information acquired at a cost by a lender affects the debt contract between the lender and a project manager, and the manager’s incentive to invest in a specific asset. Under certain conditions, the lender chooses to acquire soft information about the profitability of the manager’s specific investment. The lender can increase the accuracy of the soft information by incurring greater costs. The project requires a debt financed general asset about which hard information is revealed. This information allows for a debt covenant, which allows the lender to terminate the project early. This ability contributes under specific conditions to the total return on the project, which is divided between the lender and the manager in a manner that depends on competitive condition in the loan market. We show how the manager’s incentive to invest in the specific asset is increasing in the accuracy of the soft information for a range of parameters. Under different conditions, the manager chooses a debt contract that does not rely on soft information and does not incorporate a debt covenant.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"2012 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130964536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Global Long-run Risk and International Business Cycles: A Factor-Stochastic Volatility Approach 全球长期风险与国际经济周期:一个因素随机波动方法
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-10-22 DOI: 10.2139/ssrn.3272447
Calebe Figueiredo
{"title":"Global Long-run Risk and International Business Cycles: A Factor-Stochastic Volatility Approach","authors":"Calebe Figueiredo","doi":"10.2139/ssrn.3272447","DOIUrl":"https://doi.org/10.2139/ssrn.3272447","url":null,"abstract":"We extract a global factor from cross-country output growth since 1960. We find that the fluctuations of the global factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of the 2008 financial crisis). We provide evidence that the exposure to the global factor is not homogeneous across countries and that countries share global long-run risk and propose a theoretical framework that rationalizes the dynamics of macroeconomic quantities and prices observed in the data.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124663553","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Leverage Dynamics with Reputation 利用声誉撬动动态
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-10-16 DOI: 10.2139/ssrn.3533611
Xuyuanda Qi
{"title":"Leverage Dynamics with Reputation","authors":"Xuyuanda Qi","doi":"10.2139/ssrn.3533611","DOIUrl":"https://doi.org/10.2139/ssrn.3533611","url":null,"abstract":"This work analyzes the classic trade-off theory of capital structure in a dynamic model where the firm does not have any commitment power. The equilibrium analyzed in this paper depends on the firm's whole history (reputation) instead of the firm's current income and debt level. This paper proves that under this non-Markov structure, the firm may repurchase its outstanding debt, which breaks the Leverage Ratchet effect discussed in Admati, DeMarzo, Hellwig, and Pfleiderer (2018). This paper also proves that under mild conditions, the equity value in a non-Markov equilibrium can be higher than the equity value in the Markov equilibrium, the one depicted in DeMarzo and He (2021). Interestingly, with some conditions, the firm can achieve the first best equity value as if the firm has commitment power. In this case, reputation is a perfect substitute for commitment power.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127792134","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Cross-Border Credit Intermediation and Domestic Liquidity Provision in a Small Open Economy 小型开放经济中的跨境信贷中介与国内流动性供给
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-09-01 DOI: 10.5089/9781484373354.001
T. Olafsson
{"title":"Cross-Border Credit Intermediation and Domestic Liquidity Provision in a Small Open Economy","authors":"T. Olafsson","doi":"10.5089/9781484373354.001","DOIUrl":"https://doi.org/10.5089/9781484373354.001","url":null,"abstract":"This paper develops a small open economy model where global and domestic liquidity is intermediated to the corporate sector through two financial processes. Investment banks intermediate cross-border credit through interlinked debt contracts to entrepreneurs and commercial banks intermediate domestic savings to liquidity constrained final good producers. Both processes are needed to facilitate development of key production inputs. The model captures procyclical investment bank leverage dynamics, global liquidity spillovers, domestic money market pressures, and macrofinancial linkages through which shocks propagate across the two processes, affecting spreads and balance sheets, as well as the real economy through investment and working capital channels.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"216 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"113988568","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Revisiting the Determinants of Capital Flows to Emerging Markets--A Survey of the Evolving Literature 重新审视资本流向新兴市场的决定因素——不断发展的文献综述
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-09-01 DOI: 10.2139/ssrn.3267238
Swarnali Ahmed Hannan
{"title":"Revisiting the Determinants of Capital Flows to Emerging Markets--A Survey of the Evolving Literature","authors":"Swarnali Ahmed Hannan","doi":"10.2139/ssrn.3267238","DOIUrl":"https://doi.org/10.2139/ssrn.3267238","url":null,"abstract":"This paper documents the evolution of gross and net capital flows to emerging market economies and surveys the large literature on the potential drivers. While the capital flow landscape has been shaped by the evolution of both global and country-specific factors, the relative importance of these factors has varied over time and differs depending on the type of capital flows. The findings from the survey of the literature thus underscores the importance of policies in both source and recipient countries in shaping capital flows.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115904095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Online Signals from the Entrepreneur and Their Implications on Perceived Organizational Support 企业家的在线信号及其对感知组织支持的影响
PSN: Other International Political Economy: Investment & Finance (Topic) Pub Date : 2018-08-28 DOI: 10.2139/ssrn.3240227
Kipp A. Krukowski, Jamie Leonard, Lawrence White
{"title":"Online Signals from the Entrepreneur and Their Implications on Perceived Organizational Support","authors":"Kipp A. Krukowski, Jamie Leonard, Lawrence White","doi":"10.2139/ssrn.3240227","DOIUrl":"https://doi.org/10.2139/ssrn.3240227","url":null,"abstract":"Entrepreneurs creating new ventures must convince stakeholders that their organizations will survive. Job candidates must perform online research about entrepreneurs due to the lack of available history of new ventures. The information that they uncover about the entrepreneur may lead to the development of an opinion of the level of perceived organizational support that the new venture will provide. This study intends to explore what causes job candidates to accept employment with new ventures by understanding what online signals from entrepreneurial owners lead to their perception that the firm will provide them with organizational support. The study intends to provide entrepreneurs with an understanding of the implications of providing too much or too little online background information for potential stakeholders to uncover and develop opinions of entrepreneurs and the perceived level of organizational support that will be provided.","PeriodicalId":367023,"journal":{"name":"PSN: Other International Political Economy: Investment & Finance (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124393351","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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