Multilateral Loans and Interest Rates: Further Evidence on the Seniority Conundrum
研究了欧洲主权债务危机期间，多边贷款份额与利率利差之间的因果关系，发现多边贷款会推高利率利差，即存在优先权难题。
During Europe's sovereign debt crisis, interest rate spreads have been highly correlated with the share of multilateral loans that were considered senior to private markets. As both variables are potentially endogenous, we follow 2 different approaches to analyze the direction of causality. First, we use a set of instrumental variable regressions where the differences between sovereign ratings serve as instruments. Second, we analyze a new panel survey dataset on seniority and interest rate expectations. In both approaches, we find evidence for the seniority conundrum, that is, a positive impact of multilateral loans on interest rate spreads.