全球衍生品市场改革的意外后果

IF 3.9 2区经济学 Q1 ECONOMICS

Journal of the European Economic Association Pub Date : 2024-02-09 DOI:10.1093/jeea/jvae010

Pauline Gandré, Mike Mariathasan, Ouarda Merrouche, Steven Ongena

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引用次数: 0

摘要

在美国早期实施全球场外衍生品市场改革以及相关的交易成本增加之后，美国银行将多达 60% 的场外衍生品活动转移到了国外，尤其是监管较松的司法管辖区。与监管套利的成本节约动机相一致，我们发现，这种向海外的转移是由改革中成本较高的部分所驱动的，并随之导致掉期利差收窄。我们进一步表明，这种监管套利会导致金融风险增加，因为更多的活动转移到了更宽松的司法管辖区。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Unintended Consequences of the Global Derivatives Market Reform

Following the early implementation of the global over-the-counter (OTC) derivatives market reform in the US and the associated increase in trading costs, US banks shifted up to 60% of their OTC derivatives activity abroad, particularly towards less regulated jurisdictions. Consistent with a cost saving incentive of regulatory arbitrage, we find that this flight abroad is driven by costlier blocks of the reform and subsequently causes a narrowing of swap spreads. We further show that this regulatory arbitrage causes an increase in financial risk as more activity is shifted to more lenient jurisdictions.

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来源期刊

Journal of the European Economic Association ECONOMICS-

CiteScore

7.80

自引率

2.80%

发文量

期刊介绍： Journal of the European Economic Association replaces the European Economic Review as the official journal of the association. JEEA publishes articles of the highest scientific quality and is an outlet for theoretical and empirical work with global relevance. The journal is committed to promoting the ambitions of the EEA: the development and application of economics as a science, as well as the communication and exchange between teachers, researchers and students in economics.