Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102117
Authors: 
Mink, Mark
de Haan, Jakob
Year of Publication: 
2014
Series/Report no.: 
CESifo Working Paper 4792
Abstract: 
We examine to what extent banks' stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the default risk of individual systemic banks. Together, however, changes in systemic banks' default risk explain a substantial part of changes in other banks' market values. This result is robust across several sub-samples, using both credit default swap spreads and Moody's expected default frequencies as indicators of default risk.
Subjects: 
systemic banks
spillovers
global financial crisis
financial regulation
JEL: 
G01
G15
G21
G28
Document Type: 
Working Paper

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