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Credit Default Swap Prices, Databases, Liquidity
Credit Default Swap prices, Databases, Liquidity
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credit default swap prices, databases, liquidity
Sovereign Credit Default Swaps, Sovereign Bonds, Credit Spreads, Price Discovery
Sovereign CDS, comovements, commonalities, dealers
Sovereign CDS, Comovements, Commonalities, Dealers
Systemic risk, derivatives, Shapley value
negative interest rates, risk taking, lending policies
negative interest rates, negative for long, lending policies, banks capital ratio, risk taking
negative interest rates; risk taking; lending policies
Financial Conglomerates, Mutual Funds, Agency Conflicts, Financial Crisis, Sovereign Debt Crisis
Persistent Mispricings, Credit Derivatives, Credit Spreads, Subsampling
Banks, Asymmetric Information, Real Guarantees, Personal Guarantees, Risk Taking, Capital Requirements
banks, asymmetric information, real guarantees, personal guarantees, risk-taking, capital requirements
SME, Credit Access, Supporting Factor, Bank Lending
SME, credit access, supporting factor, bank lending
Credit Spreads, Market Dynamic Dependence, DCC-GARCH
Euro government bonds, Credit quality, Liquidity, Macro factors
Euro government bonds; Credit quality; Liquidity; Macro factors
short-sales constraint, financial stability, market quality
Portfolio choice, Households, Indivisible illiquid assets, Financial constraints, Under-investment, Over-investment
Credit Default Swap, Liquidity Commonalities, Global Risk, Funding Liquidity Risk, Counterparty Risk
central clearing, counterparty risk, credit default swaps
Asymmetric Information, Banks, Interest Rate spreads, Loans, Relationship Lending Dimensions
unconventional monetary policy, Corporate Sector Purchase Programme, quantitative
COVID-19, firms’ liquidity needs, credit, guarantees, insolvency risk
mortgages, financial constraints, credit risk
Households; Mortgages; Financial Constraints; Credit Risk
sovereign credit default swaps, sovereign bonds, credit spreads, price discovery
Intangible assets, trademarks, Tobin’s q, abnormal returns, event studies
captive finance, fire sales, car loans, vertical integration, liquidity, distress
activity, earnings, financial position, non-financial corporations, COVID-19
financing, lending, households, non-financial corporations, deposit institutions, non-performing loans ratio, public guarantees, moratoria
bank consolidation, mergers, business groups, credit supply, financial stability, welfare
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
short-sales constraints, financial stability, financial institutions, credit default swap, contagion
covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, limits of arbitrage
Covered interest rate parity, credit spread, debt issuance, dollar convenience yield, foreign exchange rate hedge, Limits of arbitrage
Price Discovery, VECM, Credit Derivatives, Credit Spreads
trade shock, credit register, banks’ portfolio reallocation, bank loans, real effects
negative interest rates; risk-taking; lending policies
European Banks; Macroprudential Requirement; Capital Ratio; Risk Weighed Assets
collective investment undertakings, market structure, interconnection with the banking system, portfolio composition.
short‐sales constraints, financial stability, financial institutions, credit default swap, contagion
