Testing Creditor Moral Hazard in Sovereign Bond Markets: A Unified Theoretical Approach and Empirical Evidence
dc.contributor.author | Evrensel, Ayse Y. | en_US |
dc.contributor.author | Kutan, Ali M. | en_US |
dc.date.accessioned | 2006-08-01T15:54:04Z | |
dc.date.available | 2006-08-01T15:54:04Z | |
dc.date.issued | 2004-03-01 | en_US |
dc.identifier.other | RePEc:wdi:papers:2004-665 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/40051 | en_US |
dc.description.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. | en_US |
dc.format.extent | 68512 bytes | |
dc.format.extent | 3151 bytes | |
dc.format.extent | 471597 bytes | |
dc.format.mimetype | text/plain | |
dc.format.mimetype | text/plain | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | en_US |
dc.relation.ispartofseries | 665 | en_US |
dc.subject | Creditor Moral Hazard, Financial Markets, the IMF, and News | en_US |
dc.subject.other | F32, F33, F34 | en_US |
dc.title | Testing Creditor Moral Hazard in Sovereign Bond Markets: A Unified Theoretical Approach and Empirical Evidence | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/40051/3/wp665.pdf | en_US |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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