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1、 BALANCE SHEET EFFECTS, EXTERNAL VOLATILITY, AND EMERGING MARKET SPREADSSamuel W. MaloneUniversity of the AndesThis paper studies the determinants of emerging market spreads, and thus of the cost of borrowing for emerging market sovereigns, using recent data from JP Morgans EMBI index for a panel of

2、 19 countries. Controlling for traditional spread determinants, we focus on three additional factors whose importance is suggested by recent work: external shocks, the balance sheet effect of real devaluations, and the degree of current account leverage. We find clear and strong evidence that the va

3、riables in the foregoing categories have an economically and statistically significant relationship with spreads. In particular, we find a major role for the terms-of-trade volatility and the level of current account leverage in explaining spread variation. The result on current account leverage est

4、ablishes an important link between a factor shown to make countries more vulnerable to sudden stops of capital flows, and the premium required by international investors on their foreign debt.JEL classification codes: C33, F34Key words: balance sheet effects, emerging market debt, external volatilit

5、y, country risk premium.I. IntroductionThe study of emerging market spreads, defined as the difference between the yield on emerging market bonds and the yield on US Treasury bonds with the same or similar maturity, extends back to Edwards (1984, 1986). Spreads on debt reflect several factors. In ad

6、dition to a premium for the probability of default on the underlying bond and the recovery rate that investors assume they will receive in the event of default, spreads may include an additional premium related to the liquidity of the underlying bonds, the prevalent degrees of liquidity and risk-ave

7、rsion in the market, and even tax privileges realized by the investor.1In this study, we focus on highly liquid, dollar denominated debt instruments of emerging market sovereigns that are traded in international markets and included in JP Morgans EMBI+ index.Panel data studies of emerging market spr

8、eads that focus on “classic” determinants of sovereign risk include: Rowland and Torres (2004), Adesetal(2000), Eichengreen and Mody (1998), Min (1998), and Cantor and Packer (1996). A good survey can be found in Sobrinho (2004). The “traditional” candidates for the determinants of sovereign spreads

9、, which have found to be significant statistically and/or economically in at least one of these studies, include: the economic growth rate, the debt-to-GDP ratio, the reserves-to-GDP ratio, the debt-to-exports ratio, the exports-to-GDP ratio, the ratio of debt service-to-GDP, the fiscal balance, int

10、ernational interest rates, the default history of the country, net foreign assets, and the domestic inflation rate. We try most of these candidates as control variables in the present study. Despite the contributions of the above literature to understanding the determinants of emerging market spread

11、s, however, an understanding of the importance of balance sheet effects in the presence of sudden stops of capital inflows, and macroeconomic volatility, in provoking financial and debt crises is much more recent. Important papers on the latter topics, respectively, include Calvo, Izquierdo, and Tal

12、vi (2003), Calvo, Izquierdo, and Mejia (2004), and Cato and Kapur (2006). The primary contribution of the present paper is to demonstrate that both balance sheet effects and terms-of-trade volatility have economically and statistically significant effects on the spreads of emerging market sovereigns

13、, after controlling for a variety of other factors that have been shown to affect spreads. In particular, we establish a robust link between the degree of current account leverage, a key variable in determining the impact of sudden stops of capital inflows, and emerging market spreads. We define the

14、 degree of current account leverage, following closely the work of Calvo, Izquierdo, and Mejia (2004), as the value of foreign financing of the current account measured as a percentage of the value of a countrys imports. The rationale for this variable is straightforward: given a sudden stop of fore

15、ign financing of the current account, a country will be forced to reduce its purchases of imports. The percentage of import purchases it will need to forgo in the event ofa sudden stop is an important measure of the duress caused by that event. Calvo, Izquierdo, and Mejia (2004) also emphasize that

16、current account leverage is connected to the degree of real exchange rate depreciation that a sudden stop will require. Another recent paper, by Berganza, Chang, and Garca-Herrero (2004), directly tests the effects of unexpected real devaluations on sovereign spreads, which are presumed to work thro

17、ugh negative net worth effects, as hypothesized for example by Aghion, Bacchetta and Banerjee (2004), and Cspedes, Chang and Velasco (2000). Berganza, Chang, and Garca-Herrero (2004) find that the interaction between unexpected real devaluations and the ratio of foreign debt service-to-GDP is signif

18、icantly associated with higher spreads. In the present study, we show additionally that countries with high values of current account leverage face higher spreads, even after taking into account the direct balance sheet effects due to the interaction between real devaluations and the debt burden. Th

19、us, there are other reasons besides real devaluations, perhaps related to the fungibility of foreign currency revenue for import purchases, which explain the importance of current account leverage for the cost of borrowing.Regarding our finding that higher terms-of-trade volatility is associated wit

20、h higher spreads, this is consistent with the closely related finding of Cato and Kapur (2006) that higher terms-of-trade volatility is associated with a higher number of incidences of default. This finding is intuitive, because higher terms- of-trade volatility is associated with a higher volatilit

21、y of foreign currency income, and countries with more volatile income streams face a higher probability of being in a position in which the value of their foreign debt service needs exceed the value of their foreign currency reserves and short-term revenues. Such countries, as a consequence, face hi

22、gher probabilities of default, and thus lenders can be expected to demand higher premiums on their debt. Our findings are consistent with recent work by Hilscher and Nosbusch (2007), who also find a statistically and economically significant role for the volatility of a countrys terms-of-trade in in

23、fluencing EMBIG spreads.Other recent regression studies of emerging market sovereign spreads include Westphalen (2001) and Ferrucci (2003). In particular, Westphalen (2001) finds that changes in the volatility over the last 20 trading days of the local MSCI countrystock index positively and signific

24、antly affects spreads. This result provides another indication, in addition to the results of Hilscher and Nosbusch (2007) and the present study, that the volatility of fundamentals can be an important determinant of spreads. It is worth noting that the R2 values obtained in our regressions, which r

25、ange from 71% to 91% across the various specifications tested, are noticeably higher than those obtained in the previous studies mentioned. We attribute our ability to explain a significant degree of spread variation primarily to our focus on identifying and testing simultaneously the effects of dis

26、tinct and important categories of factors that have been identified in the literature in particular the term-of-trade volatility and the balance sheet variables inspired by recent work.The rest of this paper is organized as follows. In section II, we outline a simple theoretical framework for analyz

27、ing the determinants of emerging market spreads that justifies the log-linear form of our spread regressions. Section III then describes the data and independent variables and states the baseline regression. Section IV presents the main empirical results of the paper, including robustness tests of t

28、he baseline regression. Section V analyzes the connection between our current account leverage measure, FDI and portfolio flows, and spreads. Section VI concludes.II. Basic theoretical frameworkAssuming that lenders are risk neutral, there is high capital mobility, and that the return on the soverei

29、gn bond to lenders is zero in the event of default, the sovereign spread s is determined by the following condition, which has been used by others (see Min 1998 and Nogus and Grandes 2001):where r is the risk-free rate and P is the probability of default. If the recovery rate is nonzero and there ar

30、e no fixed default costs, then the above equation generalizes to: where the return in the event of default is given by . For models with more detailed considerations of the costs of default, such as spillover costs, see for example Cato and Kapur (2006). The sovereign spread implied by the above con

31、dition isSimilar to Nogus and Grandes (2001), approaching P with a logistic function such aswhere the variables Xi determine the probability of default, leads to the following log-linear form for the spread equation:We will now describe the data and dependent variables, after which we will state the

32、 baseline regression for the paper, which we adapt from the above equation.III. Dataset and econometric specificationA. The data and independent variablesWe analyze the determinants of the country risk premium on external, dollar denominated emerging market debt using yearly data on the implied coun

33、try spread for the JP Morgan Emerging Market Bond Index Plus (EMBI+). The EMBI+, according to JP Morgan, is the “most liquid US-dollar emerging market debt benchmark, and tracks total returns for actively traded external debt instruments in emerging markets” (JP Morgan 2004). We take as our sample a

34、ll of the countries (19 in total) that have been part of the index from their first year on the index up until 2004. This time period includes both the Russian debt crisis in 1997-98 and the Argentine default of 2001, as well as the generally very positive performance in emerging market debt seen in

35、 2004. The countries and years used in the study are summarized in Table 1. The dependent variable in our study will be the logarithm of the EMBI+ spread reported by JP Morgan, denoted by log spread. For each year, we use the average monthly spread in that year. The variables used to run the main re

36、gressions discussed in the paper are defined in Table 2.The variables in the study can be grouped into three categories: traditional macroeconomic variables, variables capturing some aspect of external volatility, and variables capturing balance sheet effects. In our preferred regression, we settled

37、 for parsimony on three traditional macroeconomic variables: the ratio of debt-to-GNI (debt-to-gni), the ratio of reserves-to-GNI (res-to-gni), and the five year rolling rate of GNI growth (5year_growth_rate). We also experimented with other traditional variables, such as a measure of openness, the

38、trade surplus, the government surplus (fiscal surplus as a ratio to GDP), and the rate of inflation of the consumer price index, but these did not prove robustly significant.In the second category of variables we include the terms-of-trade (tot) and the rolling ten year terms-of-trade volatility (to

39、t-volatility). Since we include yearly dummies to account for time effects in all of our regressions, there is no scope for including variables such as the US interest rate, or the VIX implied volatility index, which exhibit only time variation.Finally, the third category of determinants consists of

40、 the currency-mismatch variable and the current account leverage variable, CA-leverage, both of which are important for assessing balance sheet effects. In the first case, the currency-mismatch variable is equal to the product of the foreign debt-service-to-GNI ratio and the year-on-year change in t

41、he real exchange rate normalized by the real exchange rate in the year 2000. Second, the CA-leverage variable is defined as the ratio of debt service, minus net exports, to imports, cf. the definition in Table 2 above. Net exports is a proxy for the current account, so this ratio can be interpreted

42、as a proxy for debt service minus the current account, divided by imports: (DS CA)/I. The fraction of debt service not financed by the current account must be financed by a combination of new debt issuance, foreign direct investment flows, other new portfolio investment flows, and income on foreign

43、assets. The first three of these four components, which normally account for the majority of the capital account, may be reduced significantly in the event of a sudden stop of capital inflows. Thus, the numerator in the current account leverage variable represents an approximate upper bound for the

44、shortfall in the receipt of foreign currency income the country would face in the event of a sudden stop.资产负债表的影响、外部波动和新兴市场Samuel W. MaloneUniversity of the Andes本文研究新兴市场利差的决定因素以及新兴市场国家的借贷成本，使用的数据来源于摩根大通公司所提供的19个国家的新兴市场的债券指数。为了保证传统传播的决定因素，我们集中研究那些受近期影响的较大三个额外因素：外部冲击的影响，资产负债表的实际贬值以及当前账户的杠杆程度。我们找到明确有力

45、的证据表明，上述类别的变量与经济利差和统计学有重大的关系。尤其值得注意的是，我们发现了贸易条件波动和账户杠杆水平对利差变化性所起的重要作用。账户杠杆的结果是使国家更容易受到资本流动突然停止的影响与国际投资者要求对外债的风险溢价之间建立紧密联系的一个因素.关键词：资产负债表效应，新兴市场债券，外部波动，国家风险溢价。一、引言研究新兴市场利差，被定义为研究新兴市场债券和美国国债的收益率相同或相似成熟之间的差异，向前可追溯到爱德华兹（1984，1986）。债券息差反映了几个因素。除了违约概率的基本债券和投资者认为他们将获得回收率，利差可能还包括一个额外的保费与流动性的额外债率，以防债券的流动性差和市

46、场风险，甚至投资者意识到的税收优惠。这项研究中，我们着重关注高流动性，以美元为计价工具的新兴市场国家，都是在国际市场交易，包括摩根大通所统计的新兴市场债券指数。面板数据所研究的新兴市场利差，专注于“经典”决定主权风险，其中包括：罗兰和托雷斯（2004）、安德雷斯泰尔（2000）、艾肯格林（1998）、蒙蒂（1998）、民（1998）和康托和培科（1996）。好的研究可以发现在索布林荷（2004）中所提到的“传统”是决定主权风险利差的一个候选因素，在显著统计学或经济学中至少一个研究过，包括：经济增长率，债务占国内生产总值的比例，储备占国内生产总值的比例，债务占出口的比率，出口占国内生产总值的的比

47、例，还本利息占国内生产总值的比率，财政收支平衡率，国际利率，国家的历史比率，国外净资产与国内通货膨胀率。我们大多数人这些候因素作为控制变量在研究。 尽管上述文献在理解新兴市场利差的决定因素做出了贡献，然而，理解资产负债表在影响已存在的资本突然停止流入的重要性，与宏观经济波动在引发金融债务危机是很接近的。关于后者的主题重要的文献，包括卡尔沃，基耶多，和塔尔维（2003），卡尔沃，基耶多，和梅希亚（2004），和卡桃和卡普阿（2006）。主要贡献本文主要贡献表现在，资产负债表和在经济学和统计学上的波动性对新兴市场国家的利差有着显着影响，在控制了各种其他因素对利差影响。特别是，我们建立对当前账户杠杆

48、有着强有力的联系的变量，即突然停止的资本流入，来查看其对新兴市场的利差的影响。我们定义的当前账户的杠杆，紧跟卡尔沃，基耶多，和梅希亚（2004）的工作，用外汇融资当前帐户的百分比来衡量一个国家的进口的价值。这样做的理由很简单：给定一个变量即突然停止对外融资当前账户的资本注入，一个国家将被迫减少进口。进口采购的百分比降低是受突然停止资本注入事件胁迫所造成的。卡尔沃，基耶多，和梅希亚（2004）还强调：当前账户的杠杆绑定到实际汇率的贬值，这样的突然降低是必须的。另一个最近的文献，由贝尔冈查，昌，和加西亚侯茹柔（2004），直接试验得到的令人意想不到的实际贬值主权利差的影响想，这是假定通过负资产的影

49、响，例如根据巴切塔和纳吉（2004），和柯怡斯布德斯，椙和贝拉斯科（2000）的研究。贝岗莎，昌，和柯怡斯布德斯（2004）发现他们之间的相互作用和意想不到的实际贬值比外债占国内生产总值的比率有着显著的利差。在本研究中，我们表明除此之外，国家目前的高价值账户杠杆面临更高的利差，即使考虑到了直接的资产负债表的影响，但由于货币贬值和债务负担之间的相互作用没有考虑到。因此，也有其他的原因，除了实际贬值外，也许涉及到外汇收入进口采购的替代性，这说明现在账户的杠杆借贷成本的重要性，我们发现，较高的条件的波动性是由于有较高的利差，这是密切符合卡桃和卡普尔（2006）相关的发现:较高的条件的波动性是有较高的违约发生率。这一发现是非常直观的，因为较高的贸易波动是与较高的外汇收入波动相联系的，和国家的更不稳定收入流面临更高的风险概率，其外债服务需求的资金超过其外汇储备和短期的收入。这样的国家，因此，面对高额的违约概率，从而可以要求债务有更高的溢价。我们的研究结果与近期希尔瑟和诺斯布希（2007）的工作是一致的，他们也发现波动性条件对利差有统