Impact of the Debt Sustainability of State-Owned Companies on Russia’s Corporate External Debt under Sanctions

The subject of the research is the influence of the debt burden of state-owned companies on the dynamics of Russia’s corporate external debt. The relevance is due to the unprecedented combination of sanctions in 2022, which created default risks of national companies. The goal of the article is to identify factors influencing changes in the amount of external debt. Based on a quarterly sample for 2010–2019 (37 observations), using the least squares method (LSM), a regression model was built for the dependence of corporate debt dynamics on micro– and macroeconomic factors (debt service ratio and credit rating of companies, foreign assets, ACRA financial stress index, rate changes of USD/RUB, credit default swap (CDS), export volume, balance of payments). An analysis of their credit risk was carried out by comparing the dynamics of the debt sustainability ratio (DSR) with the rating and cost of CDS, and the quarterly income support of debt was calculated. As a result of testing the hypotheses, a positive relationship was revealed between DSR and ratings of state-owned companies for changes in banks’ external debt, while for enterprises they do not play a key role. It was concluded that the growth of loan premiums in 2014–2015 was due to political factors, and by the new crisis, the companies had accumulated reserves for absorbing the shock. Measures are proposed to reduce debt risks – coordination of debt policy, debt «import substitution», monitoring of new financial indicators of companies, control of cross-border capital flow, etc.

1. Petrov M. V. Financing companies in the context of economic slowdown and sanctions. Finansy: teoriya i praktika = Finance: Theory and Practice. 2018;22(3):84–99. (In Russ.). DOI: 10.26794/2587–5671–2018–22–3–84–99

2. Senchagov V. K., Mityakov S. N. Evaluation of economic crises using short-term indexes and average indexes of economic security of Russia. Studies on Russian Economic Development. 2016;27(2):148–158. (In Russ.: Problemy prognozirovaniya. 2016;(2):44–58.).

3. Krasavina L. N. The risks in the foreign loan sphere and problems of modernizing the debt policy of Russia. Studies on Russian Economic Development. 2010;21(4):426–433. (In Russ.: Problemy prognozirovaniya. 2016;(4):116–126.).

4. Khotulev I., Styrin K. Optimal monetary and macroprudential policies for financial stability in a commodity-exporting economy. Central Bank Working Paper Series. 2019;(52). URL: https://www.cbr.ru/Content/Document/File/87579/wp-52_e.pdf

5. Tiunova M. Commodity and financial cycles in resource-based economies. Russian Journal of Money and Finance. 2019;78(3):38–70. DOI: 10.31477/rjmf.201903.38 (In Russ.: Den’gi i kredit. 2019;(3):38–70. DOI: 10.31477/rjmf.201903.38).

6. Shousha S. Macroeconomic effects of commodity booms and busts: The role of financial frictions. 2016. URL: https://www.bcb.gov.br/content/about/eventsdocs/AITS/2016/SMETASXVIII-%20Samer%20Shousha.pdf

7. Fisher P. Interactions of sovereign debt management with monetary conditions and financial stability: Lessons and implications for central banks. Bank for International Settlements. CGFS Papers. 2011;(42). URL: https://www.bis.org/publ/cgfs42.pdf

8. Chui M., Kuruc E., Turner P. A new dimension to currency mismatches in the emerging markets: nonfinancial companies. BIS Working Papers. 2016;(550). URL: https://www.bis.org/publ/work550.pdf

9. Sholomitskaya E. Influence of key macroeconomic shocks on Russian investments. Ekonomicheskii zhurnal Vysshei shkoly ekonomiki = The HSE Economic Journal. 2017;21(1):89–113. (In Russ.).

10. Galati G., Moessner R. Macroprudential policy — a literature review. BIS Working Papers. 2011;(337). URL: https://www.bis.org/publ/work337.pdf

11. Miklashevskaya N. A. External debt: Recent theoretical and practical issues. Vestnik Moskovskogo universiteta. Seriya 6: Ekonomika = Moscow University Economics Bulletin. 2013;(1):19–35. (In Russ.).

12. Porokhovskii A. A., ed. The debt problem as a phenomenon of the 21st century. Moscow: MAKS Press; 2014. 288 p. (In Russ.).

13. Karminsky A. M., Dyachkova N. F. Empirical study of the relationship between credit cycles and changes in credit ratings. Zhurnal Novoi ekonomicheskoi assotsiatsii = Journal of the New Economic Association. 2020;(4):138–160. (In Russ.). DOI: 10.31737/2221–2264–2020–48–4–6

14. Berzon N. I., Mezentsev V. V. Application of structural and reduced models to evaluate credit default swaps for Russian companies. In: Proc. 12th Int. sci. conf. on problems of economic and social development. Bk. 1. Moscow: NRU HSE; 2012:633–642. (In Russ.).

15. Kealhofer S. Quantifying credit risk I: Default prediction. Financial Analysts Journal. 2003;59(1):30–44. DOI: 10.2469/faj.v59.n1.2501

16. Crosbie P., Bohn J. Modeling default risk. New York: Moody’s KMV Co.; 2005. 31 p. URL: https://www.moodysanalytics.com/-/media/whitepaper/before-2011/12–18–03-modeling-default-risk.pdf (accessed on 29.12.2021).

17. Murphy A. An empirical analysis of the structure of credit risk premiums in the Eurobond market. Journal of International Money and Finance. 2003;22(6):865–885. DOI: 10.1016/S0261–5606(03)00050–0

18. Drehmann M., Juselius M. Do debt service costs affect macroeconomic and financial stability? BIS Quarterly Review. 2012;(Sep.):21–35. URL: https://www.bis.org/publ/qtrpdf/r_qt1209e.pdf

19. Savvina O. V. Management of systemic financial risks in the context of globalization. Doct. econ. sci. diss. Moscow: Plekhanov Russian University of Economics; 2016. 398 p. (In Russ.).

20. Belyakov I. V. On the determinants of sovereign Eurobond spreads in Russia. Ekonomicheskaya politika = Economic Policy. 2017;12(1):200–225. (In Russ.). DOI: 10.18288/1994–5124–2017–1–08