Moral Hazard and International Crisis Lending: A Test


Dell'Ariccia, Giovanni ; Schnabel, Isabel ; Zettelmeyer, Jeromin


URL: https://www.imf.org/external/pubs/ft/wp/2002/wp021...
Additional URL: https://www.imf.org/external/pubs/ft/staffp/2000/0...
Document Type: Working paper
Year of publication: 2001
The title of a journal, publication series: IMF Working Paper / International Monetary Fund
Volume: 02-181
Place of publication: Mannheim [u.a.]
Publication language: English
Institution: School of Law and Economics > VWL, Wirtschaftstheorie (Kübler -2011)
Subject: 330 Economics
Abstract: We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailout of Russia in August 1998 is interpreted as an event that decreased the perceived probability of future crisis lending to emerging markets. In the presence of moral hazard, such an event should raise not only the level of spreads, but also the sensitivity with which spreads reflect fundamentals as well as their cross-country dispersion. We find strong evidence for all three effects.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Dell'Ariccia, Giovanni ; Schnabel, Isabel ; Zettelmeyer, Jeromin (2001) Moral Hazard and International Crisis Lending: A Test. IMF Working Paper / International Monetary Fund Mannheim [u.a.] 02-181 [Working paper]


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