Determinants of Bank CDS Spreads in Europe

Posted: 8 Jan 2014 Last revised: 14 Apr 2016

See all articles by Reyes Samaniego-Medina

Reyes Samaniego-Medina

Universidad Pablo de Olavide

Antonio Trujillo‐Ponce

Universidad Pablo de Olavide - Department of Financial Economics & Accounting

Purificación Parrado-Martínez

Department of Financial Economics & Accounting. University of Jaén (Spain)

Filippo di Pietro

University of Seville

Date Written: April 13, 2016

Abstract

This paper empirically analyzes the determinants of credit default swap (CDS) spreads from a sample of 45 listed European banks over the 2004-2010 period. We use variables related to accounting- and market-based data, an indicator of liquidity in the CDS market and several variables from the macroeconomic environment in which these financial institutions operate. These variables are analyzed during both the pre-crisis period (2004-2007) and the crisis period (2008-2010). The primary conclusion is that the market variables have the greatest explanatory power. Additionally, we find that the explanatory power of the model is considerably higher during the crisis period than it is during the pre-crisis period.

Keywords: credit default swaps, European Banks, CDS spreads, bank risk, accounting, market and macroeconomic information, liquidity

JEL Classification: C52, G21, G33, M41

Suggested Citation

Samaniego-Medina, Reyes and Trujillo-Ponce, Antonio and Parrado-Martínez, Purificación and di Pietro, Filippo, Determinants of Bank CDS Spreads in Europe (April 13, 2016). Journal of Economics and Business, 86, July-August 2016, pp. 1-15., Available at SSRN: https://ssrn.com/abstract=2375715 or http://dx.doi.org/10.2139/ssrn.2375715

Reyes Samaniego-Medina

Universidad Pablo de Olavide ( email )

Ctra. Utrera, Km.1
Sevilla, Seville 41010
Spain

Antonio Trujillo-Ponce (Contact Author)

Universidad Pablo de Olavide - Department of Financial Economics & Accounting ( email )

Ctra. Utrera, Km.1
Sevilla, 41013
Spain

HOME PAGE: http://https://www.upo.es/investiga/banef/

Purificación Parrado-Martínez

Department of Financial Economics & Accounting. University of Jaén (Spain) ( email )

Paraje Las Lagunillas, s/n
Jaén, Jaén 23071
Spain

Filippo Di Pietro

University of Seville ( email )

Sevilla
Spain

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