Estimados profesores,

Este viernes 06 de mayo se llevará a cabo la vigésima sexta sesión del Seminario Interno de FEN donde se exponen trabajos en progreso de académicos y avances de tesis de estudiantes.

En esta ocasión se presentará "Yields and commodity prices: A view from mining bond markets.", cuyo resumen se encuentra más abajo.

El seminario se llevará a cabo a las 13:00 hrs en la sala T1002 de la FEN. Se solicita confirmar asistencia con Juanita Castillo al correo jcastillo@unegocios.cl a más tardar el día jueves 5 de mayo a las 13:00 horas, ya que el seminario contempla almuerzo.

Atentos saludos,

Dirección de Investigación FEN

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Título - Yields and commodity prices: A view from mining bond markets. 

Autor -  Pablo Ernesto Donders Canto.

Profesores guía - Mauricio Jara Bertin, Rodrigo Wagner Brizzi.

Abstract - Linking the economic sector of bond mining issuers to commodity price indices published by the IMF a database at bond-year-commodity level was built to measure the funding cost elasticity to commodity price changes. The main results of this process show that commodity price variation are negatively related with bond yields, increasing this relation when the effect is separated in increases and price reductions. A 10% fall in the annual price of a mining commodity (for example copper, oil or iron ore) adds about 70bp to the bond yields of incumbent firms, while an increase of similar magnitude has no statistically effect on these last. Also, this effect is greatest in lower maturity bonds, smaller companies and firms whith higher leverage. All these results are robust to the inclusion of variables at bond, firm, year and country level, and to different financing cost specifications. This novel evidence is in line with the recent episodes of financial stress experienced by mining companies and the consequent credit rating cuts by rating agencies.