TY - BOOK ID - 84540461 TI - How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa AU - Peter, Marcel. AU - Grandes, MartÃn. AU - International Monetary Fund. PY - 2005 SN - 1462318541 1452714843 1282558145 1451907729 9786613822291 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Corporations -- Finance. KW - Country risk -- South Africa. KW - Electronic books. -- local. KW - South Africa -- Economic conditions. KW - Exports and Imports KW - Finance: General KW - Investments: Bonds KW - General Financial Markets: General (includes Measurement and Data) KW - International Lending and Debt Problems KW - Investment & securities KW - International economics KW - Finance KW - Corporate bonds KW - Bonds KW - Debt default KW - Sovereign bonds KW - Emerging and frontier financial markets KW - Debts, External KW - Financial services industry KW - South Africa KW - Country risk KW - Corporations KW - Finance. KW - Economic conditions. UR - https://www.unicat.be/uniCat?func=search&query=sysid:84540461 AB - The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not rating companies higher than their sovereign ("country or sovereign ceiling") is reflected in the yields of South African local-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate default premia in South Africa; (ii) the sovereign ceiling (in local-currency terms) does not apply in the spreads of the industrial multinational companies in the sample; and (iii) consistent with rating agency policy, however, the sovereign ceiling appears to apply in the spreads of most financial companies in the sample. ER -