G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17024
DP17024 Bank opacity - patterns and implications
Stefan Avdjiev
发表日期2022-02-10
出版年2022
语种英语
摘要We investigate the patterns and implications of bank opacity in Europe using a rich bank-level data set. Employing a novel event study methodology, we document that public data releases by the European Banking Authority (EBA) on banks' exposures to individual countries and sectors contained information that was not previously priced by equity and CDS markets. We demonstrate that the degree of bank opacity varied considerably across bank nationalities and counterparty sectors – it was highest for European periphery banks' sovereign exposures and European core banks' private sector exposures. Furthermore, we document that underestimations of banks' credit risk by markets were associated with lower funding costs and higher wholesale borrowing (for all banks) as well as with greater risk taking and higher profitability (for European periphery banks).
主题International Macroeconomics and Finance
关键词Bank opacity Asymmetric information Event study Credit risk Asset markets
URLhttps://cepr.org/publications/dp17024
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/545970
推荐引用方式
GB/T 7714
Stefan Avdjiev. DP17024 Bank opacity - patterns and implications. 2022.
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