Do Bail-out and Bail-in Events Fuel Cyclicity of Financial Crisis: Empirical Assessment Using Hordrick Prescott Filter from 1993 to 2012

• • 
  • Presentation speakers
    • Amira Kaddour, Carthage University Tunisia
    • Jihene Jbenieni, Carthage University Tunisia

  Abstract:

  To curb the problem of liquidity in times of financial crises, two cases arise; the Bailout or Bailin, two opposite choices that elicit the analysis of their effect on moral hazard. This paper attempts to empirically analyze the effect of these two types of events on investor’s behavior. We use the Emerging Market Bonds Index (EMBI-JP Morgan), and its excess of return, to detect the change in the risk premia through Hordrick Prescott filter. The results showed the existence of cyclical trends of financial crisis fueled by bail-out and bail-in events.

 

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