G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16773
DP16773 Identifying Empty Creditors with a Shock and Micro-Data
Hans Degryse; Steven Ongena
发表日期2021-12-04
出版年2021
语种英语
摘要Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less incentive to participate in firm restructuring. We test for the existence of empty creditors by employing an exogenous change to the bankruptcy code in Germany that effectively removes their potential impact on CDS firms. Using a unique dataset on bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect of empty creditors is removed. This effect increases in the average CDS hedge position of a firm's creditors and in the concentration of the firm's debt. Firms with longer credit relationships, with higher average collateral ratios of their debt, and financially safer firms are less affected by empty creditors. Banks that are not capital constrained and that are liquidity constrained embed the empty creditor effect into their probability of default estimates of affected firms to a larger extent. So do banks that monitor their creditors less and that earn a smaller portion of their income from interest activities.
主题Financial Economics
关键词Empty creditors Default Bankruptcy Credit default swaps Micro-data
URLhttps://cepr.org/publications/dp16773
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/545708
推荐引用方式
GB/T 7714
Hans Degryse,Steven Ongena. DP16773 Identifying Empty Creditors with a Shock and Micro-Data. 2021.
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