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Business and Economics > Investments: Stocks

You are looking at 1 - 2 of 2 items for :

  • Type: Journal Issue x
  • Econometric and Statistical Methods: General x
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Cover IMF Working Papers
Stress Testing U.S. Leveraged Corporates in a COVID-19 World
Carlos Caceres
,
Dan Pan
, and
Suchanan Tambunlertchai
This paper analyzes a group of 755 firms, with aggregate indebtedness of US$6.2 trillion, to assess the solvency risks and liquidity needs facing the U.S. corporate sector based on projections of net income, availability and cost of funding, and debt servicing flows under different stress test scenarios. The paper finds that leveraged corporates account for most of the potential losses arising from the macroeconomic stresses associated with the COVID-19 crisis, with a concentration of these losses in the oil and gas, auto, and capital and durable goods manufacturing sectors. However, potential losses from corporate debt write-downs appear to be a fraction of banks’ capital buffers and, given the size of the leveraged segment and the relatively long duration of that sector’s debt, the near-term liquidity needs of these corporates appear modest. Corporate stresses could, however, amplify the current economic downturn—as firms cut investment spending and reduce employment—potentially giving rise to significant indirect losses for the financial system.
Keywords:
corporate; firm value; leverage; solvency; liquidity.; WP; cash inflow; equity position metrics; liquidity need; need Lt; net equity position; stress testing; liquidity; leverage ratio; revenue flow; revenue-to-assets ratio; rollover needs; amortization profile; maturing bond debt; maturing debt; Stocks; Corporate sector; Currencies; Loans; Global
Cover IMF Working Papers
Extreme Contagion in Equity Markets
Mr. James Y. Yao
,
Mr. Jorge A Chan-Lau
, and
Mr. Donald J Mathieson
This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for negative returns than for positive returns; (b) a secular increase in contagion in Latin America not matched in other regions; (c) global increases in contagion following the 1998 financial crises; and (d) that the use of simple correlations as a proxy for contagion could be misleading, as the former exhibit low correlation with extremal dependence measures of contagion.
Keywords:
WP; bull market contagion; bear market contagion; transmission mechanism; Contagion; equity markets; extreme value theory; mature market; contagion pattern; market crash; Stock markets; Emerging and frontier financial markets; Stocks; Financial integration; East Asia; Global