| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12418 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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