Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence
Published Online:7 May 2013https://doi.org/10.1287/mnsc.2013.1706
References
- (2007) Insider trading in credit derivatives. J. Financial Econom. 84:110–141.Crossref, Google Scholar
- (2011) Leverage, moral hazard and liquidity. J. Finance 66:99–138.Crossref, Google Scholar
- (2010) Measuring systemic risk. Working paper, New York University, New York.Crossref, Google Scholar
- (2009) CoVAR. Working paper, Princeton University, Princeton, NJ.Google Scholar
- (2006) Credit risk transfer and contagion. J. Monetary Econom. 53:89–111.Crossref, Google Scholar
- (2009) Financial connections and systemic risk. Working paper, University of Pennsylvania, Philadelphia.Google Scholar
- (2009) What matters in corporate governance. Rev. Financial Stud. 22:783–827.Crossref, Google Scholar
- (2012) The credit crisis around the globe: Why did some banks perform better? J. Financial Econom. 105:1–17.Crossref, Google Scholar
- (2003) The structure of interdependence in international stock markets. J. Internat. Money Finance 22:261–287.Crossref, Google Scholar
- (2005) An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps. J. Finance 60:2255–2281.Crossref, Google Scholar
- (2011) Derivative pricing with liquidity risk: Theory and evidence from the credit default swap market. J. Finance 66:203–240.Crossref, Google Scholar
- (2009) Deciphering the liquidity and credit crunch 2007–2008. J. Econom. Perspect. 23:77–100.Crossref, Google Scholar
- (2001) Do credit spreads reflect stationary leverage ratios? J. Finance 56:2177–2208.Crossref, Google Scholar
- (2007) Credit risk in a network economy. Management Sci. 53:1604–1617.Link, Google Scholar
- (2009) The credit crisis: Conjectures about causes and remedies. Amer. Econom. Rev. Papers Proc. 99:606–610.Crossref, Google Scholar
- (2012) How the subprime crisis went global: Evidence from bank credit default swap spreads. J. Internat. Money Finance 31:1299–1318.Crossref, Google Scholar
- (2006) Risk assessment for banking systems. Management Sci. 52:1301–1314.Link, Google Scholar
- (2009) The determinants of credit default swap premia. J. Financial Quant. Anal. 44:109–132.Crossref, Google Scholar
- (1989) International transmission of stock market movements. J. Financial Quant. Anal. 24:241–256.Crossref, Google Scholar
- (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.Crossref, Google Scholar
- (1992) The cross-section of expected stock returns. J. Finance 47:427–465.Crossref, Google Scholar
- (2002) No contagion, only interdependence: Measuring stock market comovements. J. Finance 57:2223–2261.Crossref, Google Scholar
- (2009) Information, trading volume, and international stock return comovements: Evidence from cross-listed stocks. J. Financial Quant. Anal. 44:953–986.Crossref, Google Scholar
- (2011) Systemic risk: What defaults are telling us. Management Sci. 57:1387–1405.Link, Google Scholar
- (2003) Corporate governance and equity prices. Quart. J. Econom. 116:107–155.Crossref, Google Scholar
- (2005) Automatic inference of the contemporaneous causal order of a system of equations. Econometric Theory 21:69–77.Crossref, Google Scholar
- (2009) A framework for assessing the systematic risk of major financial institutions. J. Banking Finance 33:2036–2049.Crossref, Google Scholar
- (2001) Counterparty risk and the pricing of defaultable securities. J. Finance 56:1765–1799.Crossref, Google Scholar
- (2007) Good and bad credit contagion: Evidence from credit default swaps. J. Financial Econom. 84:860–883.Crossref, Google Scholar
- (2009) Credit contagion from counterparty risk. J. Finance 64:2053–2087.Crossref, Google Scholar
- (2011) The CDS-bond basis and the cross section of corporate bond returns. Working paper, University of Michigan, Ann Arbor.Crossref, Google Scholar
- (2010) The subprime credit crisis and contagion in financial markets. J. Financial Econom. 97:436–450.Crossref, Google Scholar
- (2005) Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default-swap market. J. Finance 60:2213–2253.Crossref, Google Scholar
- (2000) Causality: Models, Reasoning, and Inference (Cambridge University Press, Cambridge, UK).Google Scholar
- (2009) The market for corporate control and the cost of debt. J. Financial Econom. 93:505–524.Crossref, Google Scholar
- (2004) An examination of long-lived asset impairments. Accounting Rev. 79:823–852.Crossref, Google Scholar
- (2013) Failure and rescue in an interbank network. Management Sci. 59:882–898.Link, Google Scholar
- (1980) Macroeconomics and reality. Econometrica 48:1–48.Crossref, Google Scholar
- (2000) Causation, Prediction, and Search (MIT Press, Cambridge, MA).Google Scholar
- (2010) Credit default swaps and the credit crisis. J. Econom. Perspect. 24:73–92.Crossref, Google Scholar
- (1997) Impulse response functions based on a causal approach to residual orthogonalization in vector autoregression. J. Amer. Statist. Assoc. 92:357–367.Crossref, Google Scholar
- (1980) A heteroscedasticity-consistent covariance matrix estimator and a direct test for heteroscedasticity. Econometrica 48:817–838.Crossref, Google Scholar
- (2009) Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Rev. Financial Stud. 22:5099–5131.Crossref, Google Scholar

