重新评估新兴市场贷款的风险：来自GEMs联盟统计数据的见解（英文）

By Federico Galizia and Susan Lund1New statistics from the Global EmergingMarkets Risk Database Consortium on around15,000 loans to private companies in developingeconomies over 30 years, reveal that the riskof investing in emerging market businessesis lower than commonly perceived.Public Disclosure AuthorizedPublic Disclosure AuthorizedPublic Disclosure Authorized OCTOBER 2024 recovery patterns for loans to emerging market firms over the past three decades, especially wheninvestments are made alongside MDBs and DFIs. They also highlight the benefits of incorporatingemerging market exposure into diversified investment portfolios.Data Coverage and ScopeThe GEMs credit risk statistics for private lending, published in October 2024, are among the mostcomprehensive of their kind.2Spanning the period 1994–2023, the data include about 15,000 loansextended to approximately 10,000 private counterparties across essentially all emerging anddeveloping economies. The total value of these loans exceeds half a trillion dollars. This coveragecaptures nearly 2,000 default events, providing a robust foundation for analyzing default andrecovery rates. Comprised of loans issued by MDBs and DFIs, the GEMs data span all sectors of theeconomy, including transportation and energy infrastructure, manufacturing, agribusiness, financialservices, telecom, retail and wholesale, healthcare, and tourism. They differ from a typical purelycommercial portfolio, however, in that MDBs and DFIs often provide advisory support for projectdevelopment and implementation by local in-country teams.Default Rates: How Risky Are Emerging Markets?Default rates are a guiding metric for investors, as they indicate the frequency with which borrowersfail to meet their financial obligations. Between 1994 and 2023, the average default rate in the GEMsAnnual Default Rates, GEMs Versus Comparators200220042006200820102012201420162018202020222024GEMs(private counterparties)S&P GlobalCorporate " B" ratingMoody's GlobalCorporate " B3" ratingSouth AmericaEconomic & DebtCrisis andDot.com BubbleGlobal FinancialCrisisCommodityPrice CrisisCOVID-19Note: Standard & Poor’s global corporate “B” rating is from Standard & Poor’s (2024): “Default, Transition, and Recovery: 2023 Annual Global Corporate Default and Rating Transition Study. March 2024”.Moody’s global corporate “B3” rating is from Moody’s (2023): “Default Trends – Global. Annual Default Study. March 2023”. The bars (in grey) display different crises during the sample period 1994–2023. portfolio was 3.6 percent.3,4,5This is roughly comparable to average default rates observed in non-investment grade companies that receive a B credit rating from S&P (3.3 percent) and a B3 fromMoody’s (4 percent).6The comparator group of corporates rated by S&P and Moody’s covers firmsacross the globe, with heavy representation of advanced economies, whereas the sample covered byGEMs consists primarily of firms in emerging and developing economies. But the takeaway is clear:although emerging market corporates, on average, are not investment grade, they are lower risk thanmany high-yield corporate borrowers from advanced economies.One of the key insights from the GEMs data is the diversification benefit of holding a portfolio thatincludes both advanced and emerging market assets. Default rates in GEMs portfolios are correlatedwith those of advanced economies, but the correlation is far from perfect. The correlation coefficientbetween GEMs default rates and those for S&P B-rated firms is 0.46, whereas the correlation forMoody’s B3-rated firms is 0.33. This relatively low correlation indicates that emerging market defaultsdo not necessarily follow the same patterns as those in advanced economies, particularly duringtimes of economic stress.Figure 1 shows that investors with exposure to both advanced and emerging market assets canmitigate some of the risks associated with economic downturns in advanced economies. Forexample, during the 2008 global financial crisis, which originated in the advanced economies, defaultsby emerging market firms were less pronounced than among their advanced economy counterparts.This suggests that advanced economy investors with portfolios including emerging markets reapeddiversification benefits at a crucial time.GEMs Average Default Rates and Country Ratings6.3%6.2%14.6%14.2%Implied default rate from historical country sovereign ratingsNote: The light blue bars represent the average default rate in the GEMs sample (1994–2023) by country income group (from the 2024 World Bank Group country income classification). The navy bluebars display average default rates implied from historical country sovereign ratings from 1994 to 2023 for the same county groups (subject to data availability). Historical default rates implied in countrysovereign ratings are from Standard & Poor’s (2024): “Default, Transition, and Recovery: 2023 Annual Global Sovereign Default and Rating Transition Study. March 2024”. FIGURE 2By