Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/215402 
Autor:innen: 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 09/2020
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
This paper tests whether an increase or decrease of the capital surcharge for being a global systemically important bank (G-SIB) envisaged by regulators has an impact on the CDS prices of these banks. We find evidence that the CDS spreads of a G-SIB bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is temporary, as the mean CDS spreads revert to pre-announcement level, dropping sharply after the initial rise. Our analysis contributes to the debate on whether being designated as a G-SIB bank necessarily leads to implicit "too-big-to-fail" subsidies. The findings imply that the investors immediately update their beliefs on the systemic risk of the bank after the bucket reallocation announcement and temporarily demand more hedging against systemic risk.
Schlagwörter: 
Too-big-to-fail
CDS spreads
systemically important banks
G-SIBs
G-SIB capital surcharges
JEL: 
G21
G28
ISBN: 
978-3-95729-677-1
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.66 MB





Publikationen in EconStor sind urheberrechtlich geschützt.