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Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?

Guillemin, François; Alexandre, Hervé; Refait-Alexandre, Catherine (2015-06), Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?, 32es Journées de Microéconomie Appliquée - JMA 2105, 2015-06, Montpellier, France

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Type
Communication / Conférence
Date
2015-06
Conference title
32es Journées de Microéconomie Appliquée - JMA 2105
Conference date
2015-06
Conference city
Montpellier
Conference country
France
Pages
52
Metadata
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Author(s)
Guillemin, François
Centre de REcherches sur les Stratégies Economiques (UR 3190) [CRESE]
Alexandre, Hervé
Dauphine Recherches en Management [DRM]
Refait-Alexandre, Catherine cc
Centre de REcherches sur les Stratégies Economiques (UR 3190) [CRESE]
Abstract (EN)
This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over the period 2011-2013. We cumulated the evolution of the spread of CDS on 4 different timeframes. We modeled two transparency index: one global and one specifically dedicated to sovereign exposure. We obtained significant results on the impact of targetted sovereign disclosure on the evolution of the CDS spreads, while the global index have not significant impact on the evolution of the CDS spread.
Subjects / Keywords
Bank; Sovereign crisis; Disclosure; CDS
JEL
G14 - Information and Market Efficiency; Event Studies; Insider Trading
G21 - Banks; Depository Institutions; Micro Finance Institutions; Mortgages