CDS与信贷：对信贷保险、贷款和对冲的冲击

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2025-02-03 DOI:10.1016/j.jempfin.2025.101583

Yalin Gündüz , Steven Ongena , Günseli Tümer-Alkan , Yuejuan Yu

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引用次数: 0

摘要

我们评估了“大爆炸”和“小爆炸”合约以及惯例变化对CDS市场参与者的不同影响，并将DTCC的综合银行-公司级CDS交易数据与包含双边银行-公司信用敞口的德国信用登记册相结合。我们发现，在爆炸之后，购买CDS合约的成本对于非交易商银行来说变得更低，而且，由于保险成本的下降，这些银行相对于交易商而言，向CDS交易和受影响的公司提供了更多的信贷，并更有效地进行了对冲。因此，标准化降低了信用保险的成本，并导致非贸易商银行信贷扩张的相对增加。

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CDS and credit: The effect of the bangs on credit insurance, lending and hedging

We assess the differential impacts of “Big Bang” and “Small Bang” contracts and convention changes on market participants across CDS markets and couple comprehensive bank-firm-level CDS trading data from the DTCC to the German credit register containing bi-lateral bank-firm credit exposures. We find that after the Bangs, the cost of buying CDS contracts becomes lower for non-dealer banks and that, because of this decrease in insurance costs, these banks extend relatively more credit to CDS-traded and affected firms compared to dealers, and hedge more effectively. Hence, standardization lowers the cost of credit insurance and leads to a relative increase in credit extensions by non-dealer banks.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.