Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212284 
Year of Publication: 
2014
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 9/2014
Publisher: 
Bank of Finland, Helsinki
Abstract: 
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.
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-75-2
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.