Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence

Published Online:https://doi.org/10.1287/mnsc.2013.1706

References

  • Acharya VV, Johnson T (2007) Insider trading in credit derivatives. J. Financial Econom. 84:110–141.CrossrefGoogle Scholar
  • Acharya VV, Viswanathan S (2011) Leverage, moral hazard and liquidity. J. Finance 66:99–138.CrossrefGoogle Scholar
  • Acharya VV, Perdersen LH, Philippon T, Richarson M (2010) Measuring systemic risk. Working paper, New York University, New York.CrossrefGoogle Scholar
  • Adrian T, Brunnermeier MK (2009) CoVAR. Working paper, Princeton University, Princeton, NJ.Google Scholar
  • Allen F, Carletti E (2006) Credit risk transfer and contagion. J. Monetary Econom. 53:89–111.CrossrefGoogle Scholar
  • Allen F, Babus A, Carletti E (2009) Financial connections and systemic risk. Working paper, University of Pennsylvania, Philadelphia.Google Scholar
  • Bebchuk L, Cohen A, Ferrell A (2009) What matters in corporate governance. Rev. Financial Stud. 22:783–827.CrossrefGoogle Scholar
  • Beltratti A, Stulz RM (2012) The credit crisis around the globe: Why did some banks perform better? J. Financial Econom. 105:1–17.CrossrefGoogle Scholar
  • Bessler DA, Yang J (2003) The structure of interdependence in international stock markets. J. Internat. Money Finance 22:261–287.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
  • Brunnermeier MK (2009) Deciphering the liquidity and credit crunch 2007–2008. J. Econom. Perspect. 23:77–100.CrossrefGoogle Scholar
  • Collin-Dufresne P, Goldstein B (2001) Do credit spreads reflect stationary leverage ratios? J. Finance 56:2177–2208.CrossrefGoogle Scholar
  • Cossin D, Schellhorn H (2007) Credit risk in a network economy. Management Sci. 53:1604–1617.LinkGoogle Scholar
  • Diamond DW, Rajan RG (2009) The credit crisis: Conjectures about causes and remedies. Amer. Econom. Rev. Papers Proc. 99:606–610.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
  • Elsinger H, Lehar A, Summer M (2006) Risk assessment for banking systems. Management Sci. 52:1301–1314.LinkGoogle Scholar
  • Ericsson J, Jacobs K, Oviedo R (2009) The determinants of credit default swap premia. J. Financial Quant. Anal. 44:109–132.CrossrefGoogle Scholar
  • Eun C, Shim S (1989) International transmission of stock market movements. J. Financial Quant. Anal. 24:241–256.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
  • Fama E, French K (1992) The cross-section of expected stock returns. J. Finance 47:427–465.CrossrefGoogle Scholar
  • Forbes KJ, Rigobon R (2002) No contagion, only interdependence: Measuring stock market comovements. J. Finance 57:2223–2261.CrossrefGoogle Scholar
  • Gagnon L, Karolyi GA (2009) Information, trading volume, and international stock return comovements: Evidence from cross-listed stocks. J. Financial Quant. Anal. 44:953–986.CrossrefGoogle Scholar
  • Giesecke K, Kim B (2011) Systemic risk: What defaults are telling us. Management Sci. 57:1387–1405.LinkGoogle Scholar
  • Gompers P, Ishii J, Metrick A (2003) Corporate governance and equity prices. Quart. J. Econom. 116:107–155.CrossrefGoogle Scholar
  • Hoover KD (2005) Automatic inference of the contemporaneous causal order of a system of equations. Econometric Theory 21:69–77.CrossrefGoogle Scholar
  • Huang X, Zhou H, Zhu H (2009) A framework for assessing the systematic risk of major financial institutions. J. Banking Finance 33:2036–2049.CrossrefGoogle Scholar
  • Jarrow R, Yu F (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56:1765–1799.CrossrefGoogle Scholar
  • Jorion P, Zhang G (2007) Good and bad credit contagion: Evidence from credit default swaps. J. Financial Econom. 84:860–883.CrossrefGoogle Scholar
  • Jorion P, Zhang G (2009) Credit contagion from counterparty risk. J. Finance 64:2053–2087.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
  • Longstaff FA (2010) The subprime credit crisis and contagion in financial markets. J. Financial Econom. 97:436–450.CrossrefGoogle Scholar
  • Longstaff FA, Mithal S, Nies E (2005) Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default-swap market. J. Finance 60:2213–2253.CrossrefGoogle Scholar
  • Pearl J (2000) Causality: Models, Reasoning, and Inference (Cambridge University Press, Cambridge, UK).Google Scholar
  • Qiu J, Yu F (2009) The market for corporate control and the cost of debt. J. Financial Econom. 93:505–524.CrossrefGoogle Scholar
  • Riedl E (2004) An examination of long-lived asset impairments. Accounting Rev. 79:823–852.CrossrefGoogle Scholar
  • Rogers LCG, Veraart LAM (2013) Failure and rescue in an interbank network. Management Sci. 59:882–898.LinkGoogle Scholar
  • Sims C (1980) Macroeconomics and reality. Econometrica 48:1–48.CrossrefGoogle Scholar
  • Spirtes P, Glymour C, Scheines R (2000) Causation, Prediction, and Search (MIT Press, Cambridge, MA).Google Scholar
  • Stulz RM (2010) Credit default swaps and the credit crisis. J. Econom. Perspect. 24:73–92.CrossrefGoogle Scholar
  • Swanson N, Granger CWJ (1997) Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. J. Amer. Statist. Assoc. 92:357–367.CrossrefGoogle Scholar
  • White H (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48:817–838.CrossrefGoogle Scholar
  • 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.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.