国家风险的来源和传播

IF 5.9 1区 经济学 Q1 ECONOMICS Review of Economic Studies Pub Date : 2023-08-16 DOI:10.1093/restud/rdad080
Tarek A Hassan, Jesse Schreger, Markus Schwedeler, Ahmed Tahoun
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引用次数: 1

摘要

摘要本文对世界各地上市公司召开的财报电话会议进行了文本分析,以衡量每家公司在每个时间点与每个国家相关的风险经理和投资者的数量。灵活地汇总这些公司-国家-季度级别的数据使我们能够系统地识别可感知的国家风险(“危机”)的峰值,并记录其来源和向外国公司传播的模式。虽然这种模式通常遵循重力结构,但在危机期间往往会发生巨大变化。例如,虽然源自发达国家的危机不成比例地传播到外国金融公司,但新兴市场危机在金融方面的传播较少,而更多地传播到传统上有风险的国家。我们运用我们的测量方法来表明,对一个国家的风险感知的提高,特别是外国和金融公司的风险感知的提高,与当地资产价格的大幅下跌、资本外流以及突然停止的可能性增加有关。
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Sources and Transmission of Country Risk
Abstract We use textual analysis of earnings conference calls held by listed firms around the world to measure the amount of risk managers and investors at each firm associated with each country at each point in time. Flexibly aggregating this firm-country-quarter-level data allows us to systematically identify spikes in perceived country risk (“crises”) and document their source and pattern of transmission to foreign firms. While this pattern usually follows a gravity structure, it often changes dramatically during crises. For example, while crises originating in developed countries propagate disproportionately to foreign financial firms, emerging market crises transmit less financially and more to traditionally exposed countries. We apply our measures to show that elevated perceptions of a country’s riskiness, particularly those of foreign and financial firms, are associated with significant falls in local asset prices, capital outflows, and an increased likelihood of a sudden stop.
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来源期刊
CiteScore
10.40
自引率
3.40%
发文量
75
期刊介绍: Founded in 1933 by a group of young British and American economists, The Review of Economic Studies aims to encourage research in theoretical and applied economics, especially by young economists. Today it is widely recognised as one of the core top-five economics journals. The Review is essential reading for economists and has a reputation for publishing path-breaking papers in theoretical and applied economics. The Review is committed to continuing to publish strong papers in all areas of economics. The Editors aim to provide an efficient and high-quality review process to the Review''s authors. Where articles are sent out for full review, authors receive careful reports and feedback. Since 1989 The Review has held annual May Meetings to offer young students in economics and finance the chance to present their research to audiences in Europe.
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