Cover IMF Working Papers
Buy Book in Print
The Long-Run Impact of Sovereign Yields on Corporate Yields in Emerging Markets
Author:
Delong Li null

Search for other papers by Delong Li in
Current site
Google Scholar Close
,
Mr. Nicolas E Magud
Search for other papers by Mr. Nicolas E Magud in
Current site
Google Scholar Close
,
Alejandro M. Werner null

Search for other papers by Alejandro M. Werner in
Current site
Google Scholar Close
, and
Samantha Witte
Search for other papers by Samantha Witte in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2021: Issue 155
Language:
English
Publication Date:
04 Jun 2021
DOI:
https://doi.org/10.5089/9781513573410.001
ISBN:
9781513573410
ISSN:
1018-5941
Pages:
51
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (1.7 MB) Download Epub
We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate bonds with lower ratings, shorter maturities, and for those issued by financial companies and government-related firms. Our results support theoretical arguments that corporate and sovereign yields are linked together through credit risks and liquidity premiums. Consequently, high sovereign risks may slowdown growth by persistently increasing private sector borrowing costs.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund