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One of our main goals in analysing the flows of corporate credit is to trace the effect of a policy shock, such as the introduction of the CBA on the determinants of these flows. The theoretical literature suggests that policy may have an effect on credit supply and demand in various ways. Thus changes in monetary policy do affect banks’ and firms’ behavior due to the existence of a transmission mechanism through which monetary shocks affect real economic performance. The more traditional view of a money channel (or interest rate transmission mechanism) implies that monetary shocks affect the economy through. | FEDERAL RESERVE BANK OF SAN FRANCISCO WORKING PAPER SERIES Sovereign Debt Crises and Credit to the Private Sector Carlos Arteta Board of Governors of the Federal Reserve System Galina Hale Federal Reserve Bank of San Francisco December 2006 Working Paper 2006-21 http www.frbsf.org publications economics papers 2006 wp06-21bk.pdf The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. This paper was produced under the auspices of the Center for Pacific Basin Studies within the Economic Research Department of the Federal Reserve Bank of San Francisco. Sovereign Debt Crises and Credit to the Private Sector Carlos Arteta Board of Governors of the Federal Reserve System Galina Hale Federal Reserve Bank of San Francisco December 15 2006 Abstract We use micro-level data to analyze emerging markets private sector access to international debt markets during sovereign debt crises. Using fixed effect analysis we find that these crises are systematically accompanied by a decline in foreign credit domestic private firms both during debt renegotiations and for over two years after the restructuring agreements are reached. This decline is large over 20 percent statistically significant and robust when we control for a host of fundamentals. We find that this effect is concentrated in the nonfinancial sector and is different for exporters and for firms in the non-exporting sector. We also find that the magnitude of the effect depends on the type of debt restructuring agreement. JEL classification F34 F32 G32 Key words sovereign debt debt crisis credit rationing credit constraints Corresponding author. Contact Federal Reserve Bank of San Francisco 101 Market St. MS 1130 San Francisco CA 94105 galina.b.hale@sf.frb.org. We thank two anonymous referees Paul Bedford Doireann Fitzgerald Oscar Jorda Enrique Mendoza Paolo .
