Data and Code for: Borrowing from China and Sovereign Credit Risk

Principal Investigator(s): View help for Principal Investigator(s) Illenin Kondo, Federal Reserve Bank of Minneapolis; César Sosa-Padilla, University of Notre Dame; Astghik Mkhitaryan, Amazon

Version: View help for Version V1

Name	File Type	Size	Last Modified
PandP-2024-1068-Replication			05/20/2024 12:11:PM

Project Citation:

Kondo, Illenin, Sosa-Padilla, César , and Mkhitaryan, Astghik. Data and Code for: Borrowing from China and Sovereign Credit Risk. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-05-21. https://doi.org/10.3886/E202303V1

Project Description

Summary:

“Borrowing from China and Sovereign Credit Risk”

Replication Materials

Using data on external marketable debt and prices combined with Chinese lending data, we find that a “China funding event” is associated with a relative decline in both marketable debt, new bond issuance, and sovereign bond yields. On the other hand, we document a significant “China debt restructuring event” premium: Countries face markedly larger spreads after a Chinese debt restructuring episode. We then discuss these findings through the lens of standard sovereign debt models.

Funding Sources: Federal Reserve Bank of Minneapolis; University of Notre Dame

Scope of Project

Subject Terms: Sovereign Credit Risk; Bond Prices; Chinese Lending

JEL Classification:
F34 International Lending and Debt Problems

Geographic Coverage: emerging and developing countries, ARG; BGR; BOL; BRA; CIV; COG; COL; CRI; EGY; GAB; GHA; IDN; JAM; JOR; KAZ; LBN; LKA; MAR; MEX; NGA; PAK; PER; PHL; RUS; SRB; TUR; UKR; VEN; VNM; ZAF; ZMB, AGO; ALB; ARG; ARM; AZE; BGR; BIH; BLR; BOL; BRA; CIV; CMR; COD; COG; COL; CRI; DMA; ECU; EGY; ETH; FJI; GAB; GHA; GUY; IDN; IND; JAM; JOR; KAZ; KEN; LAO; LBN; LKA; MAR; MDV; MEX; MKD; MNE; MNG; MOZ; NGA; PAK; PER; PHL; RUS; RWA; SEN; SRB; TJK; TUR; UGA; UKR; VEN; VNM; ZAF; ZMB; ZWE

Time Period(s): 2001 – 2018 (All estimations, except issuance regressions.); 1974 – 2020 (Debt issuances covered)

Collection Date(s): 2021 – 2023

Data Type(s): aggregate data

Methodology

Data Source: The main data file was constructed from several publically available and one
restricted dataset. Country specific external debt and GDP data was collected from the World Bank International Debt Statistics. China debt stock and restructure event data was collected from the two papers cited below. Finally, country level bond yield and issuance data was collected from Bloomberg. The Bloomberg data is not publically available.

Bloomberg Bond Data
Bloomberg Finance L.P. (2023). Sovereign Bond Yield and Issuance Data. Retrieved from Bloomberg database

China’s Overseas Lending Data
Horn, Sebastian; Reinhart, Carmen M., and Trebesch, Christoph. Data and Code for: China’s Overseas Lending. Journal of International Economics, 2021. Mendeley Data, V1. https://doi.org/10.17632/4mm6kdj4xg.1

Hidden Default Debt Restructure Data
Horn, Sebastian, Reinhart, Carmen M., and Trebesch, Christoph. Data and Code for: Hidden Defaults by Horn, Reinhart and Trebesch. Nashville, TN: American Economic Association, 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research, 2022-04-07. https://doi.org/10.3886/E162501V

World Bank International Debt Statistics
World Bank (2021) International Debt Statistics. Retrieved from https://www.worldbank.org/en/programs/debt-statistics/ids

Unit(s) of Observation: Country & Year

Related Publications

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Published Versions

V1 [2024-05-21]

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