G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12418
DP12418 CoCo Issuance and Bank Fragility
Patrick Bolton; Stefan Avdjiev; Bilyana Bogdanova; Wei Jiang; Anastasia Kartasheva
发表日期2017-11-01
出版年2017
语种英语
摘要The promise of contingent convertible capital securities (CoCos) as a ‘bail-in’ solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. In this paper, we undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: 1) The propensity to issue a CoCo is higher for larger and better-capitalized banks; 2) CoCo issues result in a statistically significant decline in issuers’ CDS spread, indicating that they generate risk-reduction benefits and lower costs of debt. This is especially true for CoCos that: i) convert into equity, ii) have mechanical triggers, iii) are classified as Additional Tier 1 instruments; 3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; 4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect.
主题Financial Economics
关键词Contingent convertible capital securities Bail-in
URLhttps://cepr.org/publications/dp12418
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/541227
推荐引用方式
GB/T 7714
Patrick Bolton,Stefan Avdjiev,Bilyana Bogdanova,et al. DP12418 CoCo Issuance and Bank Fragility. 2017.
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