Report
The Good, the Bad, and the Ugly of International Debt Market Data
Elias, Leonardo; Boyarchenko, Nina (2023-10-01)
Comprehensive granular data on firms’ access to international credit markets and its determinants is instrumental in answering a wide set of questions in international macroeconomics and finance. We describe how to put together data on primary market issuance and secondary market pricing, how to track debt securities over their lifetimes on firms’ balance sheets, and how to match bond-level information to financial statements of the ultimate corporate parents. We illustrate the importance of using comprehensive data on corporate bonds over their lifecycle by documenting a high propensity ...
Staff Reports , Paper 1074

Journal Article
Evidence from the bond market on banks’ “Too-Big-to-Fail” subsidy
Santos, Joao A. C. (2014-12)
Using information on bonds issued over the 1985-2009 period, this study finds that the largest banks have a funding advantage over their smaller peers. This advantage may not be entirely attributable to investors? belief that the largest banks are ?too big to fail,? because the study also finds that the largest nonbanks, as well as the largest nonfinancial corporations, have a cost advantage relative to their smaller peers. However, a comparison across the three groups reveals that the funding advantage enjoyed by the largest banks is significantly larger than that available to the largest ...
Economic Policy Review , Issue Dec , Pages 29-39

Report
Sovereign Risk Contagion
Bai, Yan; Lizarazo, Sandra; Arellano, Cristina (2017-11-13)
We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countries. Countries are linked because they borrow, default, and renegotiate with common lenders, and the bond price and recovery schedules for each country depend on the choices of other countries. A foreign default increases the lenders' pricing kernel, which makes home borrowing more expensive and can induce a home default. Countries also default together because by doing so they can renegotiate the ...
Staff Report , Paper 559