Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/27689 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Discussion Paper Series 2 No. 2009,06
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of too-big-to-fail. A one percentage point increase in size reduces the CDS spread of a bank by about two basis points. We further find that some banks have already reached a size that makes them too-big-to-be-rescued. While the price distortion for these banks decreases the existence of banks that are considered to be toobig-to-rescue raises important new issues for banking supervisors.
Schlagwörter: 
Market Discipline
Too Big To Fail
Too Big to Rescue CDS Spreads
JEL: 
G14
G21
G28
ISBN: 
978-3-86558-505-9
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
388.59 kB





Publikationen in EconStor sind urheberrechtlich geschützt.