IDEAS home Printed from
   My bibliography  Save this paper

Financial crises, moral hazard and the "speciality" of the international interbank market: further evidence from the pricing of syndicated bank loans to emerging markets


  • Francesco Spadafora

    (Banca d'Italia)


We analyse the evolution of emerging market loan spreads at a more disaggregated level than other current studies, providing statistical support to the assumption of the "speciality" of the international interbank market, to the extent that the pricing of interbank credit is insensitive to the nature (public or private) of the borrower. In sharp contrast, the public or private nature of other borrowers, such as corporates or financial firms, causes significant differences in spreads. These results could be interpreted as evidence of the possible role played by implicit government guarantees in the international interbank market, which lower the incentives for participants to monitor counterpart risk very closely. Furthermore, the specificity of banks is witnessed by the fact that only spreads on loans to emerging market banks clearly declined following the 1995 Mexican bailout, whereas evidence on the pricing of lending to corporates and financial firms is more ambiguous. Although, on the one hand, this might support the view that financial assistance from the IMF gives rise to moral hazard, on the other hand, contrary to expectations, spreads on loans to Asian banks, the major candidates in the current policy debate on moral hazard, have been unaffected by the IMF's response to Mexico's crisis.

Suggested Citation

  • Francesco Spadafora, 2002. "Financial crises, moral hazard and the "speciality" of the international interbank market: further evidence from the pricing of syndicated bank loans to emerging markets," Temi di discussione (Economic working papers) 438, Bank of Italy, Economic Research and International Relations Area.
  • Handle: RePEc:bdi:wptemi:td_438_02

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. N. Gregory Mankiw & Matthew D. Shapiro, 1986. "News or Noise? An Analysis of GNP Revisions," NBER Working Papers 1939, National Bureau of Economic Research, Inc.
    2. Stefano Siviero & Daniele Terlizzese, 2008. "Macroeconomic Forecasting: Debunking a Few Old Wives' Tales," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2007(3), pages 287-316.
    3. Howrey, E Philip, 1978. "The Use of Preliminary Data in Econometric Forecasting," The Review of Economics and Statistics, MIT Press, vol. 60(2), pages 193-200, May.
    4. Luigi Guiso & Luigi Pistaferri & Fabiano Schivardi, 2005. "Insurance within the Firm," Journal of Political Economy, University of Chicago Press, vol. 113(5), pages 1054-1087, October.
    5. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
    6. Faust, Jon & Rogers, John H & Wright, Jonathan H, 2005. "News and Noise in G-7 GDP Announcements," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 403-419, June.
    7. Giampiero M. Gallo & Massimiliano Marcellino, "undated". "Ex Post and Ex Ante Analysis of Provisional Data," Working Papers 141, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Howrey, E Philip, 1984. "Data Revision, Reconstruction, and Prediction: An Application to Inventory Investment," The Review of Economics and Statistics, MIT Press, vol. 66(3), pages 386-393, August.
    9. Patterson, K. D., 2000. "Which vintage of data to use when there are multiple vintages of data?: Cointegration, weak exogeneity and common factors," Economics Letters, Elsevier, vol. 69(2), pages 115-121, November.
    10. Trivellato, Ugo & Rettore, Enrico, 1986. "Preliminary Data Errors and Their Impact on the Forecast Error of Simultaneous-Equations Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 445-453, October.
    Full references (including those not matched with items on IDEAS)

    More about this item


    risk premia; moral hazard; financial crises;

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F20 - International Economics - - International Factor Movements and International Business - - - General


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdi:wptemi:td_438_02. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.