Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/96154
Authors: 
Zaghini, Andrea
Year of Publication: 
2014
Series/Report no.: 
CFS Working Paper 454
Abstract: 
We analyze the risk premium on bank bonds at origination with a special focus on the role of implicit and explicit public guarantees and the systemic relevance of the issuing institutions. By looking at the asset swap spread on 5,500 bonds, we find that explicit guarantees and sovereign creditworthiness have a substantial effect on the risk premium. In addition, while large institutions still enjoy lower issuance costs linked to the TBTF framework, we find evidence of enhanced market disciple for systemically important banks which face, since the onset of the financial crisis, an increased premium on bond placements.
Subjects: 
Too-big-to-fail
Market discipline
Sovereign guarantees
G-SIFIs
JEL: 
G21
G01
G18
Document Type: 
Working Paper

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