The information sensitivity of debt in good and bad times

• 成果类型: Article
• 署名作者: Brancati, Emanuele; Macchiavelli, Marco
• 署名单位: Parthenope University Naples; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.01.002
• 发表日期: 2019
• 页码: 99-112
• 关键词: FINANCIAL CRISIS; CDS spreads; Information sensitivity

摘要

We empirically show the dynamics of information production and information sensitivity of bank debt around the Great Recession. As more precise information is produced at the onset of the crisis, bank debt becomes informationally sensitive, along two separate dimensions. First, precise information amplifies the effect of market expectations on default risk; second, for banks that are already expected to perform poorly, more precise information further increases default risk. Both effects are muted in good times. Overall, our findings are consistent with information-based models of financial crises. (C) 2019 Elsevier B.V. All rights reserved.