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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP17024 |
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 |
URL | https://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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