IDEAS home Printed from https://ideas.repec.org/p/ecl/upafin/11-48.html
   My bibliography  Save this paper

Systemic Risk Channel and TARP: Banking Relationship Spillover in the Credit Default Swap Market

Author

Listed:
  • Song, Wei-Ling

    (LA State University and Wharton Financial Institutions Centers, University of PA)

  • Uzmanoglu, Cihan

    (LA State University)

Abstract

This paper provides empirical evidence that liquidity provisions during financial crisis depend on the levels of bank health as suggested by Diamond (2001). TARP creates uneven benefits through unhealthy banks as more liquidity is provided to their borrowers with high credit ratings, low leverage ratios, and high collaterals - a more pronounced flight-to-quality phenomenon. It suggests that borrowers' own attributes are the main determinants of liquidity provisions despite TARP infusions. Conversely, healthy banks inject liquidity into their smaller and low collateral borrowers and mitigate the liquidity shocks of high leverage borrowers even prior to the TARP announcement suggesting a more across-the-board liquidity provision policy.

Suggested Citation

  • Song, Wei-Ling & Uzmanoglu, Cihan, 2011. "Systemic Risk Channel and TARP: Banking Relationship Spillover in the Credit Default Swap Market," Working Papers 11-48, University of Pennsylvania, Wharton School, Weiss Center.
    • Handle: RePEc:ecl:upafin:11-48
    as

    Download full text from publisher

    File URL: http://fic.wharton.upenn.edu/fic/papers/11/11-48.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R., 2013. "Did capital infusions enhance bank recovery from the great recession?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5048-5061.

    More about this item

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecl:upafin:11-48. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/wcupaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.