The Cost of Private Debt Over the Credit Cycle
IMF Working Papers, December 1, 2010
Source details
- Canonical URL
- The Cost of Private Debt Over the Credit Cycle
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Bibliographic details
- Authors: Eugen Tereanu, Johanna L. Francis, Dilek Aykut
- Published: December 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455210909.001
Scope and data
- Objective: Identify global and regional fluctuations in international private debt flows to emerging and developing countries and estimate determinants of the cost of foreign borrowing.
- Data: Cross border loans and international bond issuance over 1993 -2009.
- Authors and date: By Eugen Tereanu, Johanna L. Francis, Dilek Aykut; December 1, 2010.
- Publication: IMF Working Paper No. 2010/283; Pages: 30; DOI: https://doi.org/10.5089/9781455210909.001; Issue: 283; ISBN: 9781455210909; ISSN: 1018-5941.
Key findings
- Borrower type and spreads:
- Public and financial institutions benefit from lower spreads compared to private and nonfinancial firms.
- Sectoral differentiation:
- Lenders may differentiate the risk associated with the borrower’s industrial sector between good and bad times.
- Ratings:
- The loan (bond) rating has an equally robust spread reduction effect across credit cycle phases.
- Macroeconomic and balance-sheet effects:
- International reserve holdings and investment ratios have a significant effect on reducing credit spreads for loans.
- Higher reserve holdings and longer maturities matter more for bond spreads.
Analysis emphasis
- Cycle-specific effects: The study explicitly tests whether effects of borrower characteristics and macroeconomic conditions on borrowing costs differ across phases of the lending cycle.
- Instruments studied: Cross border loans and international bond issuance are analyzed separately, with some determinants (reserves, maturity, investment ratios) showing different importance for loans versus bonds.
Subject matter and keywords
- Subject: Bonds, Collateral, Credit, Loans, Private debt
- Keywords: bond, borrower, loan, WP
Source: IMF Working Paper “The Cost of Private Debt Over the Credit Cycle” by Eugen Tereanu, Johanna L. Francis, and Dilek Aykut; December 1, 2010. https://www.imf.org/en/publications/wp/issues/2016/12/31/the-cost-of-private-debt-over-the-credit-cycle-24489