International Lending of Last Resort and Moral Hazard: A Model of Imf&Apos;S Catalytic Finance
International Lending of Last Resort and Moral Hazard: A Model of Imf&Apos;S Catalytic Finance
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最后手段国际贷款与道德风险：国际货币基金组织的模型
DOI：
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发表时间：
2003
期刊：
影响因子：
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通讯作者：
Nouriel Roubini
中科院分区：
文献类型：
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作者：
G. Corsetti;Bernardo Guimaraes;Nouriel Roubini
人们常常认为，国际货币基金组织等国际机构向遇到国际收支问题的国家提供流动性，可以对国际金融市场的行为产生催化作用，即，它可以通过诱导投资者将其对该国的金融债权展期来减少流动性挤兑的规模。批评者指出，官方贷款也会造成道德风险扭曲：期望得到IMF纾困的债务国没有什么动力去实施好的但代价高昂的政策，从而提高了危机发生的可能性。本文提出了一个分析框架来研究官方流动性提供和债务人道德风险之间的权衡。在我们的模型中，国际金融危机是由不良的基本面、自我实现的挤兑和三类优化代理人的政策相互作用引起的：国际投资者、地方政府和国际货币基金组织。我们展示了一个国际金融机构如何通过协调代理人的预期来帮助防止流动性挤兑，方法是提高愿意在任何给定的基本面水平上向该国贷款的投资者数量。我们发现，这种机构的影响力正在增加其干预的规模和信息的准确性：更多的流动性支持和更好的信息使代理人更愿意滚动他们的债务，并降低了危机的概率。不同于传统的观点强调债务人的道德风险，我们表明，官方贷款实际上可能会加强政府的激励，以实施可取的，但昂贵的政策。破坏性的流动性挤兑会恶化这些政策的预期回报，从而很可能使政府不愿采取这些政策，除非它们能够指望应急流动性援助。
It is often argued that the provision of liquidity by the international institutions such as the IMF to countries experiencing balance of payment problems can have catalytic effects on the behavior of international financial markets, i.e., it can reduce the scale of liquidity runs by inducing investors to roll over their financial claims to the country. Critics point out that official lending also causes moral hazard distortions: expecting to be bailed out by the IMF, debtor countries have weak incentives to implement good but costly policies, thus raising the probability of a crisis. This paper presents an analytical framework to study the trade-off between official liquidity provision and debtor moral hazard. In our model international financial crises are caused by the interaction of bad fundamentals, self-fulfilling runs and policies by three classes of optimizing agents: international investors, the local government and the IMF. We show how an international financial institution helps prevent liquidity runs via coordination of agents' expectations, by raising the number of investors willing to lend to the country for any given level of the fundamental. We show that the influence of such an institution is increasing in the size of its interventions and the precision of its information: more liquidity support and better information make agents more willing to roll over their debt and reduces the probability of a crisis. Different from the conventional view stressing debtor moral hazard, we show that official lending may actually strengthen a government incentive to implement desirable but costly policies. By worsening the expected return on these policies, destructive liquidity runs may well discourage governments from undertaking them, unless they can count on contingent liquidity assistance.