بحران بدهی های مستقل و اعتباری در بخش خصوصی

We use micro-level data to analyze emerging markets' private sector access to international debt markets during sovereign debt crises. We find that these crises are systematically accompanied by a decline in foreign credit to domestic private firms, both during debt renegotiations and for over two years after restructuring agreements are reached. This decline is large, statistically significant, and robust. We find that this effect is concentrated in the non-financial sector and is different for firms in the exporting and in the non-exporting sectors. We also find that the magnitude of the effect depends on the type of debt restructuring agreement.

Emerging markets experienced a lending boom in the late 20th century. This boom was accompanied by a number of sovereign debt restructuring episodes, many of which were followed by economic crises. One channel through which economic activity can be affected by sovereign debt restructuring is the tightening of external financial constraints for private firms. This may be an important channel because the international capital market has become an important source of funds for the emerging markets' private sector. Throughout the lending boom, private sector borrowing accounted for over 30% of total net capital inflows to emerging markets. Currently, about 25% of emerging markets' corporate bonds and bank credit are external, and this number is much larger for Latin American emerging economies.1 To our knowledge, this paper presents the first systematic analysis of the effects of sovereign debt crises on foreign credit to the private sector. Recent empirical work has found various changes in private sector credit patterns in the aftermath of financial crises (Blalock et al., 2005, Desai et al., 2006, Eichengreen et al., 2001 and Pasquariello, 2005) as well as changes in stock market behavior (Kallberg et al., 2002 and Pasquariello, 2005). The empirical literature regarding the effects of sovereign debt crises has focused on the impact on sovereign borrowing. Eichengreen and Lindert (1989) find that sovereign default does not seem to influence future access of sovereigns to the capital market. This finding is confirmed in a recent study by Gelos et al. (2004) — they find that the probability of the sovereign's market access is not strongly influenced by the sovereign default. On the other side of the debate, Ozler (1993) claims that the countries can only reenter the credit market after settling old debts, and Tomz and Wright (2005) find that over the last 200 years “about half of all defaults led to exclusion from capital markets for a period of more than 12 years.” We focus on the short- and medium-run effects of sovereign debt crises on private firms' access to foreign credit.2 Debt restructuring is a process that may involve a substantial period of time. Because it is possible that the response from both borrowing firms and foreign investors is different during debt renegotiations than it is after the final restructuring agreement, we construct data on the onset of debt renegotiations and consider separately the effects of the renegotiations and the effects of reaching the restructuring agreement. We also analyze the effects of different types of debt restructuring agreements. Sovereign debt crisis can lead to reduced foreign credit to private domestic firms via a decline in supply, as lenders' perceptions of country risk worsen (Drudi and Giordano, 2000); via a decline in aggregate demand that is triggered by a sovereign debt crisis and its resolution (Dooley and Verma, 2003 and Tomz and Wright, 2005); and via exogenous shocks that affect both the probability of sovereign debt crisis and the amount of foreign credit to the private sector. We provide an intuitive discussion of these channels. While our methodology does not allow us to distinguish between the demand and the supply effects, we address the possibility of a common shock. Our micro-level data on foreign bond issuance and foreign syndicated bank loan contracts come from Bondware and Loanware and cover 30 emerging markets between 1984 and 2004.3 We group privately owned firms into financial and non-financial sectors and split the latter into exporting and non-exporting sectors using information on the export structure of the country. For each sector, we calculate the total amount that firms borrowed in the bond market or from bank syndicates in each month. We also construct a number of indicators that describe various aspects of each country's economy as well as factors that affect the world supply of capital to emerging markets, which we use as control variables. In order to capture country risk premia properly, we exclude from the analysis all foreign-owned firms. We analyze these data using fixed effects panel regressions. We find systematic evidence of a decline in foreign credit to the private sector in the aftermath of sovereign debt crises. The effects are statistically significant and economically important: After controlling for fundamentals, we find an additional decline in credit of over 20% below the country-specific average during the debt renegotiations, which persists more than two years after the restructuring agreement is reached. In our analysis of different types of debt restructuring agreements, we find that the contraction in foreign credit to the private sector is smaller after agreements with commercial creditors as opposed to agreements with official creditors and that no contraction occurs after voluntary debt swaps and debt buybacks. Furthermore, agreements that include new lending lead to a lower decline in credit than agreements that do not. The distribution of this decline is uneven across firms: Credit to the exporting sector is not affected during the debt renegotiations but falls after the agreement is reached, while credit to the non-exporting sector falls during the renegotiations and then recovers within a year after the agreement is reached. Credit to the financial firms also contracts after the agreement is reached but by a small amount that is not statistically different from zero. These results are only suggestive since the difference in estimated coefficients across sectors are not statistically significant, potentially due to imperfect sorting of the firms into different sectors. It is worth emphasizing that in focusing on foreign debt financing of emerging market private firms, we do not analyze capital flows that occur in the form of trade credit, foreign direct investment (FDI), or funds raised on the stock market.4 We also exclude multinational and foreign-owned companies from our sample. Thus, our results are limited to foreign borrowing by private domestically owned firms. Our findings represent a step towards understanding the costs of sovereign debt crises. Recent models of financial crises in general and debt crises in particular assume that debt crises are costly due to output loss (Arellano, 2004, Arellano and Ramanarayanan, 2006 and Yue, 2005). Our paper provides one explanation of the mechanism that could give rise to large output losses as a result of sovereign debt crises, through the amount of credit available to the private sector.5 The remainder of the paper is organized as follows. Section 2 discusses the channels through which sovereign debt crises can affect private firms' foreign borrowing. Section 3 describes the empirical approach and the data. Section 4 presents the results of the empirical analysis and their relation to the mechanism of the transmission of debt crisis effects to private external borrowing. Section 5 concludes.

We empirically find that, during debt renegotiations and in the aftermath of restructuring agreements, foreign credit to emerging market private firms declines by over 20%. We find that the negative impact of debt renegotiations and debt restructuring agreements varies by the type of borrower and is concentrated in the non-financial sector. We find the differences in the response of credit to the exporting and to the non-exporting sectors unexpected and intriguing and believe they deserve theoretical investigation. One possible explanation for the differences across sectors in the response of private foreign credit to sovereign debt crises is an information story in which lenders have different amounts of information about different types of borrowers and engage in relationship lending. In addition to simply documenting the decline in private external borrowing in the aftermath of sovereign debt crises, this paper makes further empirical contributions by analyzing the effects of different types of debt restructuring and looking at different types of borrowers. In that, our findings not only provide justification for the assumption of costly sovereign debt crises frequently made in the literature, but they also suggest some nuanced features an explicit model of such costs should have. Our findings suggest that taking into account the impact of sovereign debt crises on domestic firms is important, not only because of the direct costs associated with a decline in foreign credit and therefore production in the economy, but also because such a decline in credit can hamper future economic growth and make subsequent debt crises more likely. However, bailing-out the sovereigns would not be a cure: even in cases when actual default was formally prevented through multilateral renegotiations, credit to the private sector declined before and after the agreement was reached. On the other hand, using voluntary forms of debt reduction did not lead to such adverse effects on credit to the private sector (these are usually not preceded by lengthy renegotiations). It is important to note that we only focus on foreign credit provided to private firms. Moreover, our sample only includes firms that have direct access to foreign capital — firms that tend to be large. If their access to foreign capital is impaired, they are likely to turn to domestic banks, thus crowding out credit to smaller firms. Thus, even though we do not consider small firms in our analysis, our results are suggestive of a decline in total credit in the economy and may partially explain the decline in economic activity observed after sovereign debt crises.