纽约联储-国际债务市场数据的好、坏和丑（英）-2023.10-40页_979kb

The Good, the Bad, and the Ugly of International Debt Market Data
Nina Boyarchenko and Leonardo Elias

A comprehensive analysis of international debt market data highlights how granular datasets on primary and secondary market activities, combined with firm financial statements, can address key questions in corporate finance. However, data limitations pose significant challenges in measurement and application.

Overview

This paper examines the process of collating international debt market data to measure credit market outcomes. Using datasets from sources like SDC Platinum, Mergent FISD, and ICE Global Indices, the authors demonstrate how primary market issuance, secondary market pricing, and firm-level financial information can be integrated to study corporate debt structures, rollover risks, and global liquidity. Despite advances in data quality, coverage, and matching techniques, substantial hurdles remain.

Key Findings

• The Good:

  • Granular data enables the examination of how secondary market conditions influence primary market access and pricing.
  • Insights into corporate maturity and currency risk exposures, such as firms' rollover strategies during capital flow reversals.
  • Analysis of global carry trades, where firms issue foreign currency bonds to exploit yield differentials.

• The Bad:

  • Data coverage is limited to large, public firms due to regulatory filing requirements.
  • Match rates between bond data and firm financial statements fall between 60% and 80%, making full data integration imperfect.
  • Incomplete financial variables in some datasets hinder comprehensive analysis of corporate financial health.

• The Ugly:

  • Inconsistent firm and instrument identifiers (e.g., differing CUSIPs for debt and equity) complicate matching across datasets.
  • Changes in firm identi ers through restructuring or mergers further challenge data harmonization.
  • Data limitations restrict the ability to model currency and liquidity mismatches accurately.

Conclusion

Combining granular debt market data offers valuable insights into corporate financing and risk management. However, non-trivial decisions in data collation—such as matching levels—must be carefully considered, as they impact measurement accuracy. Future research should address identification inconsistencies to enhance global credit market analysis.