INFORMATIONAL SPILLOVERS NO MERCADO LONDRINO DE DÍVIDA SOBERANA PRÉ-1914 / INFORMATIONAL SPILLOVERS IN THE PRE-1914 LONDON SOVEREIGN DEBT MARKET

AUTOR(ES)
DATA DE PUBLICAÇÃO

2007

RESUMO

In this research I document a novel type of international financial contagion, whose driving force is shared financial intermediary. I study the London peripheral sovereign debt market the pre-1914 period, in which, given the absence of international monitoring agencies and substantial agency costs, financial intermediation played a major informational role to investors. Analyzing two events of financial distress - the Brazilian Funding Loan of 1898 and the Greek Funding Loan of 1893 - I find that the bond prices of countries with no meaningful commercial relations with the distressed countries, but which shared the same financial intermediary, suffered a reduction relative to the rest of the market just after the market learned about the crises, evidencing that investor were extracting information about the soundness of a debtor based on the financial intermediate which vouched the issued. This spillover is informational in essence, and arises as the flip-side of the relational lending coin: the same reason which explains why relational finance (in this case, underwriting) helps alleviate informational and incentive problems also produce contagion.

ASSUNTO(S)

informational contagion mercado de divida soberana experimentos naturais relational financial intermediation contagio informacional natural experiments intermediacao relacional financeira sovereign debt market

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