Sovereign Risk, Currency Risk, and Corporate Balance Sheets
研究了2003至2017年新兴市场主权与企业外部借款的货币构成演变，发现企业外币债务依赖度越高，主权违约风险越大，并通过模型解释了这一关系。
Abstract We provide a comprehensive account of the evolution of the currency composition of sovereign and corporate external borrowing by emerging markets from 2003 to 2017. We show that a higher reliance on foreign currency debt by the corporate sector is associated with higher sovereign default risk. We introduce local currency sovereign debt and private sector currency mismatch into a standard sovereign debt model to examine how the currency composition of corporate borrowing affects the sovereign’s incentive to inflate or default. A calibration of the model generates the empirical patterns of sovereign credit risk.