全球智库信息集成服务系统(G2TT): Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w20459
来源ID	Working Paper 20459
	Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse
	Asaf Bernstein; Eric Hughson; Marc D. Weidenmier
发表日期	2014-09-05
出版年	2014
语种	英语
摘要	Heightened counterparty risk during the recent financial crisis has raised questions about the role clearinghouses play in global financial stability. Empirical identification of the effect of centralized clearing on counterparty risk is challenging because of the co-incidence of macro-economic turbulence and the introduction of clearinghouses. We overcome these concerns by examining a novel historical experiment, the establishment of a clearinghouse on the New York Stock Exchange (NYSE) in 1892. During this period the largest NYSE stocks were also listed on the Consolidated Stock Exchange (CSE), which already had a clearinghouse. Using identical securities on the CSE as a control, we find that the introduction of clearing reduced annualized volatility of NYSE returns by 90-173bps and increased asset values. Prior to clearing, shocks to overnight lending rates reduced the value of stocks on the NYSE, relative to identical stocks on the CSE, but this was no longer true after the establishment of clearing. We also show that at least ½ of the average reduction in counterparty risk on the NYSE is driven by a reduction in contagion risk - the risk of a cascade of broker defaults. Our results indicate that clearing can cause a significant improvement in market stability and value through a reduction in network contagion and counterparty risk.
主题	Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing ; Financial Institutions ; History ; Financial History
URL	https://www.nber.org/papers/w20459
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/578131
推荐引用方式 GB/T 7714	Asaf Bernstein,Eric Hughson,Marc D. Weidenmier. Counterparty Risk and the Establishment of the New York Stock Exchange Clearinghouse. 2014.