Credit risk spillovers among financial institutions around the global credit crisis: Firm-level evidence

Management Science

Volumn 59, Issue 10, 2013, Pages 2343-2359

  Yang, Jian ^a,b   Zhou, Yinggang ^c  

^a UNIVERSITY OF COLORADO   (United States)

^b NANKAI UNIVERSITY   (China)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Credit risk; Financial network; Structural VAR; Systemic risk

Indexed keywords

CORPORATE GOVERNANCE; CREDIT DEFAULT SWAP; CREDIT RISKS; FINANCIAL INSTITUTION; FINANCIAL NETWORKS; REGULATORY STANDARDS; STRUCTURAL VAR; SYSTEMIC RISKS;

MANAGEMENT; MANAGEMENT SCIENCE;

RISK ASSESSMENT;

EID: 84887045219     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.2013.1706     Document Type: Article

References (43)

1. Acharya VV, Johnson T (2007) Insider trading in credit derivatives. J. Financial Econom. 84:110-141.
2. Acharya VV, Viswanathan S (2011) Leverage, moral hazard and liquidity. J. Finance 66:99-138.
3. Acharya VV, Perdersen LH, Philippon T, Richarson M (2010) Measuring systemic risk. Working paper, New York University, New York.
4. Adrian T, Brunnermeier MK (2009) CoVAR. Working paper, Princeton University, Princeton, NJ.
5. Allen F, Carletti E (2006) Credit risk transfer and contagion. J. Monetary Econom. 53:89-111.
6. Allen F, Babus A, Carletti E (2009) Financial connections and systemic risk. Working paper, University of Pennsylvania, Philadelphia.
7. Bebchuk L, Cohen A, Ferrell A (2009) What matters in corporate governance. Rev. Financial Stud. 22:783-827.
8. Beltratti A, Stulz RM (2012) The credit crisis around the globe: Why did some banks perform better? J. Financial Econom. 105:1-17.
9. Bessler DA, Yang J (2003) The structure of interdependence in international stock markets. J. Internat. Money Finance 22:261-287.
10. Blanco R, Brennan S, Marsh IW (2005) An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. J. Finance 60:2255-2281.
11. Bongaerts D, de Jong F, Driessen J (2011) Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. J. Finance 66:203-240.
12. Brunnermeier MK (2009) Deciphering the liquidity and credit crunch 2007-2008. J. Econom. Perspect. 23:77-100.
13. Collin-Dufresne P, Goldstein B (2001) Do credit spreads reflect stationary leverage ratios? J. Finance 56:2177-2208.
14. Cossin D, Schellhorn H (2007) Credit risk in a network economy. Management Sci. 53:1604-1617.
15. Diamond DW, Rajan RG (2009) The credit crisis: Conjectures about causes and remedies. Amer. Econom. Rev. Papers Proc. 99:606-610.
16. Eichengreen B, Mody A, Nedljkovic M, Sarno L (2012) How the subprime crisis went global: Evidence from bank credit default swap spreads. J. Internat. Money Finance 31:1299-1318.
17. Elsinger H, Lehar A, Summer M (2006) Risk assessment for banking systems. Management Sci. 52:1301-1314.
18. Ericsson J, Jacobs K, Oviedo R (2009) The determinants of credit default swap premia. J. Financial Quant. Anal. 44:109-132.
19. Eun C, Shim S (1989) International transmission of stock market movements. J. Financial Quant. Anal. 24:241-256.
20. Fahlenbrach R, Prilmeier R, Stulz RM (2012) This time is the same: Using bank performance in 1998 to explain bank performance during the recent financial crisis. J. Finance 67:2139-2185.
21. Fama E, French K (1992) The cross-section of expected stock returns. J. Finance 47:427-465.
22. Forbes KJ, Rigobon R (2002) No contagion, only interdependence: Measuring stock market comovements. J. Finance 57:2223-2261.
23. Gagnon L, Karolyi GA (2009) Information, trading volume, and international stock return comovements: Evidence from crosslisted stocks. J. Financial Quant. Anal. 44:953-986.
24. Giesecke K, Kim B (2011) Systemic risk: What defaults are telling us. Management Sci. 57:1387-1405.
25. Gompers P, Ishii J, Metrick A (2003) Corporate governance and equity prices. Quart. J. Econom. 116:107-155.
26. Hoover KD (2005) Automatic inference of the contemporaneous causal order of a system of equations. Econometric Theory 21:69-77.
27. Huang X, Zhou H, Zhu H (2009) A framework for assessing the systematic risk of major financial institutions. J. Banking Finance 33:2036-2049.
28. Jarrow R, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56:1765-1799.
29. Jorion P, Zhang G (2007) Good and bad credit contagion: Evidence from credit default swaps. J. Financial Econom. 84:860-883.
30. Jorion P, Zhang G (2009) Credit contagion from counterparty risk. J. Finance 64:2053-2087.
31. Li H, Zhang W, Kim G (2011) The CDS-bond basis and the cross section of corporate bond returns. Working paper, University of Michigan, Ann Arbor.
32. Longstaff FA (2010) The subprime credit crisis and contagion in financial markets. J. Financial Econom. 97:436-450.
33. Longstaff FA, Mithal S, Nies E (2005) Corporate yield spreads: Default risk or liquidity? New evidence from the creditdefault-swap market. J. Finance 60:2213-2253.
34. Pearl J (2000) Causality: Models, Reasoning, and Inference (Cambridge University Press, Cambridge, UK).
35. Qiu J, Yu F (2009) The market for corporate control and the cost of debt. J. Financial Econom. 93:505-524.
36. Riedl E (2004) An examination of long-lived asset impairments. Accounting Rev. 79:823-852.
37. Rogers L C G, Veraart L A M (2013) Failure and rescue in an interbank network. Management Sci. 59:882-898.
38. Sims C (1980) Macroeconomics and reality. Econometrica 48:1-48.
39. Spirtes P, Glymour C, Scheines R (2000) Causation, Prediction, and Search (MIT Press, Cambridge, MA).
40. Stulz RM (2010) Credit default swaps and the credit crisis. J. Econom. Perspect. 24:73-92.
41. Swanson N, Granger C W J (1997) Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. J. Amer. Statist. Assoc. 92:357-367.
42. White H (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48:817-838.
43. Zhang B, Zhou H, Zhu H (2009) Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Rev. Financial Stud. 22:5099-5131.