DOES THE DEBT MARKET ASSESS LARGE BANKS RISK - TIME-SERIES EVIDENCE FROM MONEY CENTER CDS
成果类型：
Article
署名作者：
ELLIS, DM; FLANNERY, MJ
署名单位：
State University System of Florida; University of Florida; Texas A&M University System; Texas A&M University College Station; University of North Carolina; University of North Carolina Chapel Hill
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/0304-3932(92)90008-P
发表日期：
1992
页码：
481-502
关键词：
摘要：
Uninsured bank liabilities should offer a promised yield that compensates depositors for their expected default losses. However, the conjectural guarantees available to large U.S. banking firms makes it questionable whether large depositors should or do feel themselves exposed to credit risk. Prior papers have evaluated the determinants of bank risk premia using cross-sectional data, with relatively inconclusive results. This paper investigates the same issue in a methodologically independent fashion: using time series data on specific banks' daily offering rates during the period May 1982 through July 1988. We find that CD rates paid by large money center banks include significant default risk premia.
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