Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/288237 
Autor:innen: 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] European Financial Management [ISSN:] 1468-036X [Volume:] 29 [Issue:] 5 [Publisher:] Wiley [Place:] Hoboken, NJ [Year:] 2022 [Pages:] 1401-1440
Verlag: 
Wiley, Hoboken, NJ
Zusammenfassung: 
This paper tests the ‘Too‐Big‐to‐Fail’ hypothesis that whether being designated as a global systemically important bank (G‐SIB) has an impact on the credit default swap (CDS) price of the bank, thereby reducing its credit risk. We find surprising evidence that the CDS spreads of a bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is temporary, as the mean CDS spreads revert to preannouncement level, dropping sharply after the initial rise. These findings create a puzzle by implying that a higher capital surcharge requirement and more stringent regulation could outweigh the implicit subsidy advantages of being too‐big‐to‐fail.
Schlagwörter: 
CDS spreads
G‐SIB capital surcharges
G‐SIBs
systemically important banks
too‐big‐to‐fail
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Article
Dokumentversion: 
Published Version

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.