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Book Cover
Author Aykut, Dilek, author

Title Cost of private debt over the credit cycle / prepared by Dilek Aykut, Johanna L. Francis, and Eugen Tereanu
Published Washington, D.C. : International Monetary Fund, [2010]
Online access available from:
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Description 1 online resource (30 pages) : color illustrations
Series IMF working paper ; WP/10/283
IMF working paper ; WP/10/283
Contents Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Private Debt Flows to Emerging and Developing Countries; 2. Regional and Global Cycles in Private Debt Flows; II. Literature Review and Contribution; III. Data and Methodology; A. The Data; 3. Concentration of Cross-Border Loans Flows 1993-2009; 4. Importance of Cross-Border Loans Flows 1993-2009; 1. Distribution of Cross-Border Private Debt Flows; 2. Sample Composition by Borrower and Loan (Bond) Attribute; B. Identifying Fluctuations; 5. Expansions and Contractions in Private Debt Flows
6. Booms and Busts in Private Debt Flows-Real Flows Per Capita7. Booms and Busts in Private Debt Flows-Flows to GDP; C. Empirical Models; IV. Results; A. Loan (Bond) Level Cross-Section Results; 3. Weighted Average Spread Differentials Between Cycle Phases; 4. Summary Statistics for Cross Section Regressions: Loan Data; 5. Summary Statistics for Cross-Section Regressions: Bond Data; 6. Cross-Section Regressions: Cross-Border Bank Lending -- Baseline; 7. Cross-Section Regressions: Cross-Border Bank Lending -- Rated; 8. Cross-Section Regressions: Cross-Border Bond Issuance -- Baseline
9. Cross-Section Regressions: Cross-Border Bond Issuance -- Rated10. Summary Statistics for Panel Regressions; B. Panel Results; 11. Panel Regressions: Cross-Border Bank Lending; 12. Panel Regressions: Cross-Border Bond Issuance; 13. List of Variables and Definitions; V. Conclusions; A1. Cross Border Bank Lending; A2. Cross-Border Bond Issuance; References; Footnotes
Summary We identify global and regional fluctuations in international private debt flows to emerging and developing countries using data on cross border loans and international bond issuance over 1993 -2009. We estimate the effects of individual borrower characteristics as well as macroeconomic conditions on the cost of foreign borrowing and test whether these effects differ across phases of the lending cycle. We find that public and financial institutions benefit from lower spreads compared to private and nonfinancial firms and that lenders may differentiate the risk associated with the borrower's industrial sector between good and bad times. The loan (bond) rating has an equally robust spread reduction effect across credit cycle phases. The results also suggest that international reserve holdings and investment ratios have a significant effect on reducing credit spreads for loans, while higher reserve holdings and longer maturities matter more for bond spreads
Bibliography Includes bibliographical references (pages 29-30)
Subject Credit -- Mathematical models.
Debt -- Mathematical models.
Form Electronic book
Author Francis, Johanna L., author
Tereanu, Eugen, author
International Monetary Fund, issuing body
ISBN 1283560615