How Do Official Bailouts Affect the Risk of Investing in Emerging Markets?
分析救助预期对新兴市场主权债券利差的影响，发现1998年俄罗斯未获救助事件降低了投资者对危机贷款的预期，导致各国利差差异扩大，表明此前存在投资者道德风险。
We analyze the effects of bailout expectations on sovereign bond spreads in emerging markets. The non-bailout of Russia in August 1998 is interpreted as an event that decreased the perceived probability of future crisis lending to emerging markets. If official rescues are expected to mitigate the losses of investors in the event of a crisis, such an event should raise the cross-country dispersion of spreads, because investors pay more attention to differences in risk characteristics across countries. We find strong evidence for such an effect. This is consistent with the existence of "investor moral hazard, " at least prior to 1998.