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Title:Testing creditor moral hazard in sovereign bond markets: A unified theoretical approach and empirical evidence PDF Logo
Authors:Evrensel, Ayşe Y.
Kutan, Ali M.
Issue Date:2004
Series/Report no.:ZEI working paper B 09-2004
Abstract:This paper critically evaluates the existing empirical literature on creditor moral hazard in sovereign bond markets, proposes a unified theoretical approach to test for IMF-induced creditor moral hazard, and provides empirical evidence, using daily sovereign bond market spreads of Indonesia and Korea. The results suggest that IMF-related news regarding program negotiations and approval may be associated with creditor moral hazard, but their impact on spreads is short-lived, indicating that creditor moral hazard could be best described as a short-run phenomenon.
JEL:F32
F33
F34
Document Type:Working Paper
Appears in Collections:ZEI Working Papers, Zentrum für Europäische Integrationsforschung, Universität Bonn

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