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Dette souveraine, risque systémique et conditions d'optimalité de l'intervention du Fonds Monétaire International

Abstract : This thesis deals with moral hazard behavior characteristics of the relationship between sovereign borrowers, private lenders and International Financial Institutions. The optimality of the intervention of the International Monetary Fund, in the context of a risk of system, is of particular concern to us. This problem refers to three types of theoretical models : sovereign debt renegotiation, international financial institutions, and financial crises models. On these bases, we propose two models of multilateral lending. The first one is a Principal-Agent model with ex post conditionality (usual conditionality, where verification is made after the transfer, as opposed to ex ante conditionality, where it would be made earlier). The model shows that, in the context of a systemic risk, if the cost of the crisis exceeds that of the bailout, the IMF is forced to be a lender of last resort. The transfer can usually avoid the crisis, but this intervention is not globally optimal. The purpose of the second model of an ex ante conditionality is to determine whether this intervention scheme would reduce moral hazard behaviors of private lenders and borrowers. The transfer made by the IMF is here conditioned by a rating, which was previously assigned. Private lenders are divided into two categories: "speculators" and "investors". According to our assumptions, ex ante conditionality is incentive compatible, with a positive relationship between long term investment and ratings. The effectiveness of multilateral intervention is improved in terms of optimality of allocation of multilateral funding, and crisis prevention. The importance of short-term crisis management to the International Monetary Fund, indeed, leads to the persistence of borrowers moral hazard.
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  • HAL Id : tel-00731214, version 1



Cécile Bastidon. Dette souveraine, risque systémique et conditions d'optimalité de l'intervention du Fonds Monétaire International. Economies et finances. Université de la Méditerranée - Aix-Marseille II, 2002. Français. ⟨tel-00731214⟩



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