Gonzalo Asis

University of North Carolina at Chapel Hill

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Institutional Affiliation: University of North Carolina at Chapel Hill

NBER Working Papers and Publications

May 2020In Search of Distress Risk in Emerging Markets
with Anusha Chari, Adam Haas: w27213
This paper employs a novel multi-country dataset of corporate defaults to develop a model of distress risk specific to emerging markets. The data suggest that global financial variables such as US interest rates and shifts in global liquidity and risk aversion have significant predictive power for forecasting corporate distress risk in emerging markets. We document a positive distress risk premium in emerging market equities and show that the impact of a global "risk-off" environment on default risk is greater for firms whose returns are more sensitive to a composite global factor.
January 2019Corporate Debt, Firm Size and Financial Fragility in Emerging Markets
with Laura Alfaro, Anusha Chari, Ugo Panizza: w25459
The post-Global Financial Crisis period shows a surge in corporate leverage in emerging markets and a number of countries with deteriorated corporate financial fragility indicators (Altman’s Z-score). Firm size plays a critical role in the relationship between leverage, firm fragility and exchange rate movements in emerging markets. While the relationship between firm-leverage and distress scores varies over time, the relationship between firm size and corporate vulnerability is relatively time-invariant. All else equal, large firms in emerging markets are more financially vulnerable and also systemically important. Consistent with the granular origins of aggregate fluctuations in Gabaix (2011), idiosyncratic shocks to the sales growth of large firms are positively and significantly correl...

Published: Laura Alfaro & Gonzalo Asis & Anusha Chari & Ugo Panizza, 2019. "Corporate debt, firm size and financial fragility in emerging markets," Journal of International Economics, . citation courtesy of

May 2017Lessons Unlearned? Corporate Debt in Emerging Markets
with Laura Alfaro, Anusha Chari, Ugo Panizza: w23407
This paper documents a set of new stylized facts about leverage and financial fragility for emerging market firms following the Global Financial Crisis (GFC). Corporate debt vulnerability indicators during the Asian Financial Crisis (AFC) attributed to corporate financial roots provide a benchmark for comparison. Firm-level data show that post-GFC, emerging market corporate balance sheet indicators have not deteriorated to AFC crisis-country levels. However, more countries are close to or in the “vulnerable” range of Altman’s Z-score, and average leverage for the entire emerging market sample is higher in the post-GFC period than during the AFC. Regression estimates suggest that the relationship between leverage, exchange rate depreciations, and corporate financial distress is time varying...
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