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Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?
Völz, Manja; Wedow, Michael - In: Journal of Empirical Finance 18 (2011) 2, pp. 195-210
This paper examines market discipline in the credit default swap (CDS) market and the potential distortion of CDS spreads which arises when a bank is thought to be too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted by a size...
Persistent link: https://www.econbiz.de/10008863155
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Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10010298782
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Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - Deutsche Bundesbank - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10005082758
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Market discipline and too-big-to-fail in the CDS market : does banks' size reduce market discipline?
Völz, Manja; Wedow, Michael - In: Journal of empirical finance 18 (2011) 2, pp. 195-210
Persistent link: https://www.econbiz.de/10009301132
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Does banks size distort market prices? : evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10003846898
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Does Banks' Size Distort Market Prices? Evidence for Too-Big-To-Fail in the CDS Market
Völz, Manja - 2010
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10012715280
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Does Banks Size Distort Market Prices? Evidence for Too-Big-To-Fail in the CDS Market
Völz, Manja - 2016
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10012989259
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Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?
Völz, Manja; Wedow, Michael - In: Journal of empirical finance 18 (2011) 2, pp. 195-211
Persistent link: https://www.econbiz.de/10008849043
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Aufsichtliche Anforderungen an Stresstests für Kreditinstitute
Fremdt, Christine; Völz, Manja - In: Szenarioanalysen und Stresstests in der Bank- und …, (pp. 3-21). 2010
Persistent link: https://www.econbiz.de/10008661738
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Money and monetary policy transmissionin the euro area:evidence from FAVAR- and VAR approaches
Blaes, Barno - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
This paper investigates the transmission of monetary policy in the euro area based onthe factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz(2005) as well as on a standard VAR model. We focus on the reaction of monetaryaggregates to a one-off monetary policy shock. We...
Persistent link: https://www.econbiz.de/10005866209