| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11150 |
| DP11150 Systemic risk-taking at banks: Evidence from the pricing of syndicated loans | |
| Wolf Wagner; Di Gong | |
| 发表日期 | 2016-03-07 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Public guarantees extended during systemic crises can affect the relative pricing of risks in the financial system. Studying the market for syndicated loans, we find that banks require lower compensation for aggregate risk than for idiosyncratic risk, consistent with systemic risk-taking due to guarantees. The underpricing of aggregate risk is concentrated among banks that benefit more from exposure to public guarantees and disappears for non-bank lenders not protected by these guarantees. Estimates from loan spread regressions imply a sizeable guarantee that is passed onto borrowers, but also distortions in the economy’s capital allocation. |
| 主题 | Financial Economics |
| 关键词 | Public guarantees Too-many-to-fail Systemic risk-taking Loan pricing |
| URL | https://cepr.org/publications/dp11150 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539972 |
| 推荐引用方式 GB/T 7714 | Wolf Wagner,Di Gong. DP11150 Systemic risk-taking at banks: Evidence from the pricing of syndicated loans. 2016. |
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