Private sector involvement in the resolution of financial crises: How do markets react?

• 成果类型: Article
• 署名作者: Tillmann, P
• 署名单位: University of Bonn
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2004.06.011
• 发表日期: 2005
• 页码: 114-132
• 关键词: debt restructuring; financial crises; ARCH-M; non-linear price of risk; regime-switching

摘要

To correct the disincentives of liquidity assistance during financial crises, the official sector attempts to involve the private sector in the resolution of debt crises. This paper empirically tests the reaction of investors to announcements of private sector involvement (PSI). For this purpose, we disentangle shifts in risk premia incorporated in excess returns on emerging market bonds into changes in risk and shifts in the price of risk. A regime-switching ARCH-M model is employed to separate two regimes with respect to the market price of risk. While PSI has no effect on risk, it is shown that the likelihood of switching to a state with a high price of risk rises in response to PSI announcements. Thus, the results indicate that burden sharing was credible and, hence, effective. (c) 2005 Elsevier B.V. All rights reserved.