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Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis 欧元区主权债务拍卖的价格效应:危机的作用
Tilburg University Pub Date : 2013-09-01 DOI: 10.2139/ssrn.2326945
R. Beetsma, Massimo Giuliodori, Frank de Jong, D. Widijanto
{"title":"Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis","authors":"R. Beetsma, Massimo Giuliodori, Frank de Jong, D. Widijanto","doi":"10.2139/ssrn.2326945","DOIUrl":"https://doi.org/10.2139/ssrn.2326945","url":null,"abstract":"Exploring the period since the inception of the euro, we show that secondary-market yields on Italian public debt increase in anticipation of auctions of new issues and decrease after the auction, while no or a smaller such effect is present for German public debt. However, these yield movements on the Italian debt are largely confined to the period of the crisis since mid-2007. We also find that there is some tendency of the yield movements to be larger when the demand for the new issue is smaller relative to its supply. Our results are consistent with a framework in which a small group of primary dealers require compensation for inventory risk and this compensation needs to be higher when market uncertainty is larger. We also find that the secondary-market behaviour of series with a maturity close to the auctioned series, but for which there is no auction, is very similar to the secondary-market behaviour of the auctioned series. These findings support an explanation of yield movements based on the behaviour of primary dealers with limited risk-bearing capacity. (This abstract was borrowed from another version of this item.)","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121201265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 47
Bank/Sovereign Risk Spillovers in the European Debt Crisis 欧洲债务危机中的银行/主权风险溢出效应
Tilburg University Pub Date : 2012-09-01 DOI: 10.2139/ssrn.2163541
V. D. Bruyckere, M. Gerhardt, G. Schepens, Rudi Vander Vennet
{"title":"Bank/Sovereign Risk Spillovers in the European Debt Crisis","authors":"V. D. Bruyckere, M. Gerhardt, G. Schepens, Rudi Vander Vennet","doi":"10.2139/ssrn.2163541","DOIUrl":"https://doi.org/10.2139/ssrn.2163541","url":null,"abstract":"This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk spillovers. We define contagion as excess correlation, i.e. correlation between banks and sovereigns over and above what is explained by common factors, using CDS spreads at the bank and at the sovereign level. Moreover, we investigate the determinants of contagion by analyzing bank-specific as well as country-specific variables and their interaction. We provide empirical evidence that various contagion channels are at work, including a strong home bias in bank bond portfolios, using the EBA's disclosure of sovereign exposures of banks. We find that banks with a weak capital and/or funding position are particularly vulnerable to risk spillovers. At the country level, the debt ratio is the most important driver of contagion.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"17 3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124916836","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 340
Why is Price Discovery in Credit Default Swap Markets News-Specific? 为什么信用违约互换市场的价格发现是新闻特有的?
Tilburg University Pub Date : 2012-01-25 DOI: 10.2139/ssrn.1980860
I. Marsh, W. Wagner
{"title":"Why is Price Discovery in Credit Default Swap Markets News-Specific?","authors":"I. Marsh, W. Wagner","doi":"10.2139/ssrn.1980860","DOIUrl":"https://doi.org/10.2139/ssrn.1980860","url":null,"abstract":"We analyse daily lead-lag patterns in US equity and credit default swap (CDS) returns. We first document that equity returns robustly lead CDS returns. However, we find that the CDS-lag is due to common (and not firm-specific) news and arises predominantly in response to positive (instead of negative) equity market news. We provide an explanation for this news-specific price discovery based on dealers in the CDS market exploiting their informational advantage vis-a-vis institutional investors with hedging demands. In support of this explanation we find that the CDS-lag and its news-specificity are related to various firm-level proxies for hedging demand in the cross-section as well as measures for economy-wide informational asymmetries over time.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114199025","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 61
Internalization, Clearing and Settlement, and Liquidity 内部化、清算和结算以及流动性
Tilburg University Pub Date : 2011-12-01 DOI: 10.2139/ssrn.1983197
H. Degryse, Mark Van Achter, Gunther Wuyts
{"title":"Internalization, Clearing and Settlement, and Liquidity","authors":"H. Degryse, Mark Van Achter, Gunther Wuyts","doi":"10.2139/ssrn.1983197","DOIUrl":"https://doi.org/10.2139/ssrn.1983197","url":null,"abstract":"We study the relation between liquidity in financial markets and post-trading fees (i.e. clearing and settlement fees). The clearing and settlement agent (CSD) faces different marginal costs for different types of transactions. Costs are lower for an internalized transaction, i.e. when buyer and seller originate from the same broker. We study two fee structures that the CSD applies to cover its costs. The first is a uniform fee on all trades (internalized and non-internalized) such that the CSD breaks even on average. Traders then maximize trading rates and higher post-trading fees increase observed liquidity in the market. The second fee structure features a CSD breaking even by charging the internalized and non-internalized trades their respective marginal cost. In this case, traders face the following trade-off: address all possible counterparties at the expense of considerable post-trading fees, or enjoy lower post-trading fees by targeting own-broker counterparties only. This difference in post-trading fees drives traders strategies and thus liquidity. Furthermore, across the two fee structures, we find that observed liquidity may differ from cum-fee liquidity (which encompasses the post-trading fees). With trade-specific fees, the cum-fee spread depends on the interacting counterparties. Next, regulators can improve welfare by imposing a particular fee structure. The optimal fee structure hinges on the magnitude of the post-trading costs. Noteworthy, a fee structure yielding higher social welfare may in fact reduce observed liquidity. Finally, we consider a number of extensions including market power for the CSD, anonymous trading and differences in broker size.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128417049","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Credit Cycle and Adverse Selection Effects in Consumer Credit Markets – Evidence from the Heloc Market 消费信贷市场中的信贷周期和逆向选择效应——来自Heloc市场的证据
Tilburg University Pub Date : 2011-03-01 DOI: 10.2139/ssrn.1908094
P. Calem, M. Cannon, L. Nakamura
{"title":"Credit Cycle and Adverse Selection Effects in Consumer Credit Markets – Evidence from the Heloc Market","authors":"P. Calem, M. Cannon, L. Nakamura","doi":"10.2139/ssrn.1908094","DOIUrl":"https://doi.org/10.2139/ssrn.1908094","url":null,"abstract":"We empirically study how the underlying riskiness of the pool of home equity line of credit originations is affected over the credit cycle. Drawing from the largest existing database of U.S. home equity lines of credit, we use county-level aggregates of these loans to estimate panel regressions on the characteristics of the borrowers and their loans, and competing risk hazard regressions on the outcomes of the loans. We show that when the expected unemployment risk of households increases, riskier households tend to borrow more. As a consequence, the pool of households that borrow on home equity lines of credit worsens along both observable and unobservable dimensions. This is an interesting example of a type of dynamic adverse selection that can worsen the risk characteristics of new lending, and suggests another avenue by which the precautionary demand for liquidity may affect borrowing.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"412 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132868947","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 11
Competition, Efficiency, and Soundness in Banking: An Industrial Organization Perspective 银行业的竞争、效率与稳健:一个产业组织的视角
Tilburg University Pub Date : 2010-07-06 DOI: 10.2139/ssrn.1635245
K. Schaeck, M. Čihák
{"title":"Competition, Efficiency, and Soundness in Banking: An Industrial Organization Perspective","authors":"K. Schaeck, M. Čihák","doi":"10.2139/ssrn.1635245","DOIUrl":"https://doi.org/10.2139/ssrn.1635245","url":null,"abstract":"How can competition enhance bank soundness? Does competition improve soundness via the efficiency channel? Do banks heterogeneously respond to competition? To answer these questions, we exploit an innovative measure of competition [Boone, J., A new way to measure competition, EconJnl, Vol. 118, pp. 1245-1261] that captures the reallocation of profits from inefficient banks to their efficient counterparts. Based on two complementary datasets for Europe and the U.S., we first establish that the new competition indicator captures a broad variety of other characteristics of competition in a consistent manner. Second, we verify that competition increases efficiency. Third, we present novel evidence that efficiency is the conduit through which competition contributes to bank soundness. In a final examination of banks’ heterogeneous responses to competition, we find that smaller banks’ soundness measures respond more strongly to competition than larger banks’ soundness measures, and two-stage quantile regressions indicate that the soundness-enhancing effect of competition is larger in magnitude for sound banks than for fragile banks.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127830402","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 126
Bank Valuation and Regulatory Forbearance During a Financial Crisis 金融危机期间的银行估值与监管容忍
Tilburg University Pub Date : 2010-03-22 DOI: 10.2139/ssrn.1434359
H. Huizinga, L. Laeven
{"title":"Bank Valuation and Regulatory Forbearance During a Financial Crisis","authors":"H. Huizinga, L. Laeven","doi":"10.2139/ssrn.1434359","DOIUrl":"https://doi.org/10.2139/ssrn.1434359","url":null,"abstract":"This paper shows that banks overstate the value of distressed assets and their regulatory capital during the U.S. mortgage crisis. Banks’ balance sheets overvalue real estate-related assets compared to the market value of these assets. Banks with large exposure to mortgage-backed securities also provision less for bad loans. Furthermore, distressed banks use discretion over the classification of mortgage-backed securities to inflate their books. Our results indicate that banks’ balance sheets offer a distorted view of the financial health of the banks and provide suggestive evidence of regulatory capital forbearance.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123933264","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis 基于市场的信贷组合质量和银行在次贷危机中的表现
Tilburg University Pub Date : 2009-11-19 DOI: 10.2139/ssrn.1274815
M. Knaup, W. Wagner
{"title":"A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis","authors":"M. Knaup, W. Wagner","doi":"10.2139/ssrn.1274815","DOIUrl":"https://doi.org/10.2139/ssrn.1274815","url":null,"abstract":"We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information embedded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit risk indicator (CRI). This indicator represents the perceived share of high-risk exposures in a bank's portfolio and can be used as a risk weight for computing regulatory capital requirements. We estimate CRIs for the 150 largest U.S. bank holding companies. We find that their CRIs are able to forecast bank failures and share price performances during the crisis of 2007--2009, even after controlling for a variety of traditional asset quality and general risk proxies. This paper was accepted by Wei Xiong, finance.","PeriodicalId":430497,"journal":{"name":"Tilburg University","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126590403","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 55
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