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Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Bank of Finland Research Discussion Papers No. 9/2014
Verlag: 
Bank of Finland, Helsinki
Zusammenfassung: 
We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem's proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem authorities leads the CDS at least by one day. The lead was concentrated on days of market stress for banks which mainly borrow from "relationship" lender banks. Such borrower banks are typically smaller, have weak ratings, and likely reside in crisis countries.
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ISBN: 
978-952-6699-75-2
Dokumentart: 
Working Paper

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