Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees

• 成果类型: Article
• 署名作者: Kelly, Bryan; Lustig, Hanno; Van Nieuwerburgh, Stijn
• 署名单位: University of Chicago; Stanford University; New York University; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20120389
• 发表日期: 2016
• 页码: 1278-1319
• 关键词: deposit insurance; INDEX OPTIONS; RISK; price; debt

摘要

We examine the pricing of financial crash insurance during the 2007-2009 financial crisis in US option markets, and we show that a large amount of aggregate tail risk is missing from the cost of financial sector crash insurance during the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial sector index increases four-fold from its precrisis 2003-2007 level. We provide evidence that a collective government guarantee for the financial sector lowers index put prices far more than those of individual banks and explains the increase in the basket-index put spread.