Determinants of bank CDS spreads in Europe

被引:22
|
作者
Samaniego-Medina, Reyes [1 ]
Trujillo-Ponce, Antonio [1 ]
Parrado-Martinez, Purificacion [2 ]
di Pietro, Filippo [3 ]
机构
[1] Univ Pablo de Olavide, Dept Financial Econ & Accounting, Ctra Utrera Km 1, ES-41013 Seville, Spain
[2] Univ Jaen, Dept Financial Econ & Accounting, ES-23071 Jaen, Spain
[3] Univ Seville, Dept Financial Econ & Operat Management, ES-41018 Seville, Spain
关键词
Credit default swaps; European banks; Credit risk; Bank risk; Financial crisis;
D O I
10.1016/j.jeconbus.2016.03.001
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the macroeconomic environment in which these financial institutions operate. These variables are analyzed during both the pre-crisis period (2004-2007) and the crisis period (2008-2010). The primary conclusion is that the market variables have the greatest explanatory power. Additionally, we find that the explanatory power of the model is considerably higher during the crisis period than it is during the pre-crisis period. (C) 2016 Elsevier Inc. All rights reserved.
引用
收藏
页码:1 / 15
页数:15
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