Gündüz, Yalin
[VerfasserIn]
;
Ongena, Steven
[Sonstige Person, Familie und Körperschaft];
Tumer-Alkan, Gunseli
[Sonstige Person, Familie und Körperschaft];
Yu, Yuejuan
[Sonstige Person, Familie und Körperschaft]
CDS and Credit
: Testing the Small Bang Theory of the Financial Universe with Micro Data
Erschienen in:Bundesbank Discussion Paper ; No. 16/2017
Umfang:
1 Online-Ressource (42 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2993104
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2017 erstellt
Beschreibung:
Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple comprehensive bank-firm level CDS trading data from the Depository Trust and Clearing Corporation with the German credit register containing bilateral bank-firm credit exposures. We find that following the Small Bang in the European CDS market, extant credit relationships with riskier firms increase banks' CDS trading and hedging of these firms. Properly hedged banks holding more CDS contracts of riskier firms supply relatively more credit to these firms. Our results are overall stronger for firm CDSs experiencing larger improvements in liquidity