| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14904 |
| 来源ID | Working Paper 14904 |
| How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads | |
| Barry Eichengreen; Ashoka Mody; Milan Nedeljkovic; Lucio Sarno | |
| 发表日期 | 2009-04-16 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times along with short-term global economic prospects. But the importance of common factors rose steadily to exceptional levels from the outbreak of the Subprime Crisis to past the rescue of Bear Stearns, reflecting a diffuse sense that funding and credit risk was increasing. Following the failure of Lehman Brothers, the interdependencies briefly increased to a new high, before they fell back to the pre-Lehman elevated levels - but now they more clearly reflected heightened funding and counterparty risk. After Lehman's failure, the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w14904 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572580 |
| 推荐引用方式 GB/T 7714 | Barry Eichengreen,Ashoka Mody,Milan Nedeljkovic,et al. How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14904.pdf（303KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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