Arbeitspapier
Do private signals of a bank s creditworthiness predict the bank s CDS price? Evidence from the Eurosystem's overnight loan rates
We investigate the relationship between the daily average interbank overnight borrowing rate (AOR) and the credit default swap price (CDS) of 60 banks using the Eurosystem's proprietary data from mid-2008 to mid-2013. We find that the AOR which is observable only by the competent Eurosystem authorities leads the CDS at least by one day. The lead was concentrated on days of market stress for banks which mainly borrow from "relationship" lender banks. Such borrower banks are typically smaller, have weak ratings, and likely reside in crisis countries.
- ISBN
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978-952-6699-75-2
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Research Discussion Papers ; No. 9/2014
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Tölö, Eero
Jokivuolle, Esa
Virén, Matti
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
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2014
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tölö, Eero
- Jokivuolle, Esa
- Virén, Matti
- Bank of Finland
Time of origin
- 2014
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