Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1999 erstellt
Description:
We investigate the role of quot;country riskquot; in determining the default risk of firms in emerging markets. In particular, we study the relationship between the secondary market spreads (over hard-currency government bond yields) of bonds issued by emerging market firms and bonds issued by their home governments over the past 3 1/2 years. Our results indicate that market participants do not strictly apply the quot;sovereign ceiling,quot; under which no firm is more creditworthy than its government. We do find that the spreads of emerging market corporate and government bonds over hard-currency government bonds are highly correlated. The correlation is higher for some industries than for others, and we find no evidence that banks face greater country risk