کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
973732 932862 2012 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
What drives the cost of US dollar bond funding for banks?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
What drives the cost of US dollar bond funding for banks?
چکیده انگلیسی

This paper decomposes issue spreads on US dollar-denominated bonds issued by LIBOR panel banks into credit risk and liquidity premium components. We attribute the recent increase in issue spreads to the investor perception that banks are less creditworthy than in the past. Although the behaviour of the credit risk component is well-explained by a structural model of default, this mechanism is nullified by the introduction of government guarantees. The behaviour of the liquidity premium component is partially explained by the bid/ask spread in the secondary market and issue size. Government guarantees also reduce the liquidity component of the issue spread.


► We decompose issue spreads on bonds into credit risk and liquidity components.
► The credit risk component is well-explained by a structural model of default.
► The credit risk channel is nullified by the introduction of government guarantees.
► The liquidity premium component is partially explained by bid/ask spreads and issue size.
► Government guarantees reduce the liquidity component, suggesting they enhance marketability.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Pacific-Basin Finance Journal - Volume 20, Issue 4, September 2012, Pages 583–599
نویسندگان
, ,