Front Matter
Author:
Mr. Marcel Peter
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and
Martín Grandes https://isni.org/isni/0000000404811396 International Monetary Fund

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Front Matter Page

Monetary and Financial Systems Department

Authorized for distribution by Peter Stella

Contents

  • I. Introduction

    • A. Why South Africa?

    • B. Sovereign Risk and the Country or Sovereign Ceiling Rule

  • II. Review of Related Literature

  • III. Theoretical Framework: Determinants of the Corporate Default Premium

    • A. Starting Point: The Merton (1974) Model

    • B. Adding Stochastic Interest Rates: The Shimko, Tejima, and Van Deventer (1993) Model

    • C. Adding Sovereign Risk

    • D. Other Potential Determinants

    • E. Synthesis

  • IV. Operationalization of Variables and Data

    • A. Dependent Variable: How Is the Corporate Default Premium Measured?

    • B. Explanatory Variables

    • C. Sample and Data

  • V. Empirical Methodology and Results

    • A. The Econometric Model: Fixed Effects with Different Slopes for Sovereign Risk

    • B. Choosing the Appropriate Estimator and First Results

    • C. A Robustness Check: Corporate Spreads in First Differences

    • D. Discussion of Results

  • VI. Summary and Conclusions

  • References

  • Tables

  • 1. South African Corporate Bonds: Issuers, Main Features, and Corresponding Benchmark Instruments

  • 2. History of Credit Ratings by the Republic of South Africa and Firms Analyzed

  • 3. The Determinants of Corporate Default Premia: Expected Impact

  • 4. Data Sources and Measurement of Variables

  • 5. Descriptive Statistics of Variables

  • 6. The Determinants of Corporate Default Premia: Regressions Results

  • 7. The Determinants of Corporate Default Premia: Summary of Empirical Results

  • 8. Variance Decompositions of Corporate Default Premia in Levels and First Differences

  • Figures

  • 1. Firm Bond Yields and Corresponding Sovereign and Risk-Free Yields

  • 2. South African Corporate Default Premia, July 2000–May 2003

  • 3. South African Sovereign Default Premia, Corresponding to the Corporate Default Premia, July 2000–May 2003

  • Boxes

  • 1. The Cost of Debt for an Emerging Market Borrower

  • Appendices

  • I. Mathematical Appendix

  • II. Econometric Tests

  • III. Tables and Figures

  • Collapse
  • Expand
How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa
Author:
Mr. Marcel Peter
and
Martín Grandes