Solvency runs, sunspot runs, and international bailouts

• 成果类型: Article
• 署名作者: Spiegel, MM
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.01.002
• 发表日期: 2005
• 页码: 203-219
• 关键词: international lender of last resort; financial crises; Sovereign debt

摘要

This paper introduces a model of intervention by an international financial institution (IFI) under asymmetric information. The IFI is unable to distinguish between runs due to fundamentals and those which are the result of pure sunspots. However, it maximizes global welfare by offering a relending package consistent with generating a separating equilibrium, where voluntary creditor participation implies that underlying fundamentals are good. The need for direct IFI lending in the package is shown to depend on the commitment capacity of creditors. This adverse selection problem provides an alternative rationale for Bagehot's Principle of last-resort lending at high rates of interest to the moral hazard motivation commonly found in the literature. (C) 2004 Elsevier B.V. All rights reserved.