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Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees

Citations

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Cited by:

  1. Javier Bianchi, 2016. "Efficient Bailouts?," American Economic Review, American Economic Association, vol. 106(12), pages 3607-3659, December.
  2. Sylvain Benoit & Jean-Edouard Colliard & Christophe Hurlin & Christophe Pérignon, 2017. "Where the Risks Lie: A Survey on Systemic Risk," Review of Finance, European Finance Association, vol. 21(1), pages 109-152.
  3. Andrew G. Atkeson & Adrien d’Avernas & Andrea L. Eisfeldt & Pierre-Olivier Weill, 2019. "Government Guarantees and the Valuation of American Banks," NBER Macroeconomics Annual, University of Chicago Press, vol. 33(1), pages 81-145.
  4. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
  5. Tryggvi Gudmundsson, 2016. "Whose Credit Line is it Anyway: An Update on Banks' Implicit Subsidies," IMF Working Papers 2016/224, International Monetary Fund.
  6. Yao, Jing & Yang, Yiwen, 2023. "Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis," Economic Modelling, Elsevier, vol. 129(C).
  7. Ruggero Jappelli & Loriana Pelizzon & Alberto Plazzi, 2021. "The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times," Swiss Finance Institute Research Paper Series 21-30, Swiss Finance Institute.
  8. Chen, Qi & Goldstein, Itay & Huang, Zeqiong & Vashishtha, Rahul, 2022. "Bank transparency and deposit flows," Journal of Financial Economics, Elsevier, vol. 146(2), pages 475-501.
  9. Ferreira, Daniel & Kershaw, David & Kirchmaier, Tom & Schuster, Edmund, 2021. "Management insulation and bank failures," Journal of Financial Intermediation, Elsevier, vol. 47(C).
  10. Gomes, João F. & Grotteria, Marco & Wachter, Jessica A., 2023. "Foreseen risks," Journal of Economic Theory, Elsevier, vol. 212(C).
  11. Gehrig, Thomas & Iannino, Maria Chiara, 2021. "Did the Basel Process of capital regulation enhance the resiliency of European banks?," Journal of Financial Stability, Elsevier, vol. 55(C).
  12. Carletti, Elena & Leonello, Agnese & Marquez, Robert, 2023. "Loan guarantees, bank underwriting policies and financial stability," Journal of Financial Economics, Elsevier, vol. 149(2), pages 260-295.
  13. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
  14. Catullo, Ermanno & Giri, Federico & Gallegati, Mauro, 2021. "Macro- And Microprudential Policies: Sweet And Lowdown In A Credit Network Agent-Based Model," Macroeconomic Dynamics, Cambridge University Press, vol. 25(5), pages 1227-1246, July.
  15. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
  16. Pennathur, Anita & Smith, Deborah & Subrahmanyam, Vijaya, 2014. "The stock market impact of government interventions on financial services industry groups: Evidence from the 2007–2009 crisis," Journal of Economics and Business, Elsevier, vol. 71(C), pages 22-44.
  17. Jorge Cruz Lopez & Alfredo Ibanez, 2020. "European Puts, Credit Protection, and Endogenous Default," University of Western Ontario, Departmental Research Report Series 20205, University of Western Ontario, Department of Economics.
  18. Stefan Nagel & Amiyatosh Purnanandam, 2020. "Banks’ Risk Dynamics and Distance to Default," The Review of Financial Studies, Society for Financial Studies, vol. 33(6), pages 2421-2467.
  19. Javed Ahmed & Christopher Anderson & Rebecca Zarutskie, 2015. "Are the Borrowing Costs of Large Financial Firms Unusual?," Working Papers 15-10, Office of Financial Research, US Department of the Treasury.
  20. Granja, João & Makridis, Christos & Yannelis, Constantine & Zwick, Eric, 2022. "Did the paycheck protection program hit the target?," Journal of Financial Economics, Elsevier, vol. 145(3), pages 725-761.
  21. Marwan Alzoubi & Ayman Abdalmajeed Alsmadi & Hamad kasasbeh, 2022. "Systemically Important Bank: A Bibliometric Analysis for the Period of 2002 to 2022," SAGE Open, , vol. 12(4), pages 21582440221, December.
  22. Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.
  23. Ernesto Pastén, 2014. "Bailouts and Prudential Policies - A Delicate Interaction," Working Papers Central Bank of Chile 743, Central Bank of Chile.
  24. Bai, Jennie & Goldstein, Robert S. & Yang, Fan, 2019. "The leverage effect and the basket-index put spread," Journal of Financial Economics, Elsevier, vol. 131(1), pages 186-205.
  25. Salma Rhanoui, 2022. "Banking Goes Digital: The Main Determinants of the Clients Satisfaction and Trust toward Fintech-Based Services," International Journal of Economics and Financial Issues, Econjournals, vol. 12(5), pages 10-20, September.
  26. Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023. "Whose sentiment explains implied volatility change and smile?," Finance Research Letters, Elsevier, vol. 55(PA).
  27. Cutura, Jannic Alexander, 2021. "Debt holder monitoring and implicit guarantees: Did the BRRD improve market discipline?," Journal of Financial Stability, Elsevier, vol. 54(C).
  28. Chirinko, Robert, 2023. "What went wrong? The Puerto Rican debt crisis, the “Treasury Put,” and the failure of market discipline," Journal of Corporate Finance, Elsevier, vol. 80(C).
  29. Ning Gong & Kenneth D. Jones, 2013. "Bailouts, Monitoring, and Penalties: An Integrated Framework of Government Policies to Manage the Too-Big-to-Fail Problem," International Review of Finance, International Review of Finance Ltd., vol. 13(3), pages 299-325, September.
  30. Philippon, Thomas, 2016. "The FinTech Opportunity," CEPR Discussion Papers 11409, C.E.P.R. Discussion Papers.
  31. Michael B. Imerman, 0. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 0, pages 1-36.
  32. Lei Wang & Zuchun Luo & Wenyi Wang, 2023. "Risk Contagion of Local Government Implicit Debt Integrating Complex Network and Multi-Subject Coordination," Sustainability, MDPI, vol. 15(21), pages 1-23, October.
  33. Martín Saldías, 2012. "Systemic risk analysis and option-based theory and information," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  34. Patrick Augustin & Jan Schnitzler, 2021. "Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis," European Financial Management, European Financial Management Association, vol. 27(1), pages 120-146, January.
  35. Katerina Ivanov & James Schulte & Weidong Tian & Kevin Tseng, 2021. "An Equilibrium-Based Measure of Systemic Risk," JRFM, MDPI, vol. 14(9), pages 1-24, September.
  36. Miquel-Flores, Ixart & Reghezza, Alessio & Buchetti, Bruno & Perdichizzi, Salvatore, 2024. "Greening the economy: how public-guaranteed loans influence firm-level resource allocation," Working Paper Series 2916, European Central Bank.
  37. Daniel Ferreira & David Kershaw & Tom Kirchmaier & Edmund Schuster, "undated". "Shareholder Empowerment and Bank Bailouts," FMG Discussion Papers dp714, Financial Markets Group.
  38. Charles Nolan & Plutarchos Sakellaris & John D. Tsoukalas, 2016. "Optimal Bailout of Systemic Banks," Working Papers 2016_17, Business School - Economics, University of Glasgow.
  39. Ernesto Pasten, 2020. "Prudential Policies and Bailouts: A Delicate Interaction," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 38, pages 181-197, October.
  40. Nicola Cetorelli & James Traina, 2021. "Resolving “Too Big to Fail”," Journal of Financial Services Research, Springer;Western Finance Association, vol. 60(1), pages 1-23, August.
  41. Frederic Malherbe, 2020. "Optimal Capital Requirements over the Business and Financial Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 12(3), pages 139-174, July.
  42. Jakob Korbinian Eberl, 2016. "The Collateral Framework of the Eurosystem and Its Fiscal Implications," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 69.
  43. Dávila, Eduardo & Walther, Ansgar, 2020. "Does size matter? Bailouts with large and small banks," Journal of Financial Economics, Elsevier, vol. 136(1), pages 1-22.
  44. Cummings, James R. & Guo, Yilian, 2020. "Do the Basel III capital reforms reduce the implicit subsidy of systemically important banks? Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  45. Bachas, Natalie & Kim, Olivia S. & Yannelis, Constantine, 2021. "Loan guarantees and credit supply," Journal of Financial Economics, Elsevier, vol. 139(3), pages 872-894.
  46. João F. Gomes & Marco Grotteria & Jessica Wachter, 2018. "Foreseen Risks," NBER Working Papers 25277, National Bureau of Economic Research, Inc.
  47. Del Viva, Luca & Kasanen, Eero & Saunders, Anthony & Trigeorgis, Lenos, 2021. "Is bailout insurance and tail risk priced in bank equities?," Journal of Financial Stability, Elsevier, vol. 55(C).
  48. Levent Altinoglu & Joseph E. Stiglitz, 2023. "Collective Moral Hazard and the Interbank Market," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(2), pages 35-64, April.
  49. Acharya, Viral & Anginer, Deniz & Warburton, Joe, 2016. "The End of Market Discipline? Investor Expectations of Implicit Government Guarantees," MPRA Paper 79700, University Library of Munich, Germany.
  50. Stelios Arvanitis & Alexandros Louka, 2015. "Martingale Transforms with Mixed Stable Limits and the QMLE for Conditionally Heteroskedastic Models," Working Papers 201508, Athens University Of Economics and Business, Department of Economics.
  51. Gruenthaler, Thomas & Lorenz, Friedrich & Meyerhof, Paul, 2022. "Option-based intermediary leverage," Journal of Banking & Finance, Elsevier, vol. 145(C).
  52. Piccotti, Louis R., 2017. "Financial contagion risk and the stochastic discount factor," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 230-248.
  53. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
  54. Bank for International Settlements, 2018. "Structural changes in banking after the crisis," CGFS Papers, Bank for International Settlements, number 60, december.
  55. Maxim Ulrich & Lukas Zimmer & Constantin Merbecks, 2023. "Implied volatility surfaces: a comprehensive analysis using half a billion option prices," Review of Derivatives Research, Springer, vol. 26(2), pages 135-169, October.
  56. Mäkinen, Taneli & Sarno, Lucio & Zinna, Gabriele, 2020. "Risky bank guarantees," Journal of Financial Economics, Elsevier, vol. 136(2), pages 490-522.
  57. Juliane Begenau, 2018. "Comment on "Government Guarantees and the Valuation of American Banks"," NBER Chapters, in: NBER Macroeconomics Annual 2018, volume 33, pages 146-156, National Bureau of Economic Research, Inc.
  58. Jiménez, Gabriel & Laeven, Luc & Martinez-Miera, David & Peydró, José-Luis, 2024. "Public guarantees, private banks’ incentives, and corporate outcomes: evidence from the COVID-19 crisis," Working Paper Series 2913, European Central Bank.
  59. Juan M. Londono & Mary Tian, 2014. "Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis," International Finance Discussion Papers 1117, Board of Governors of the Federal Reserve System (U.S.).
  60. repec:zbw:bofrdp:2018_016 is not listed on IDEAS
  61. Atkeson, Andrew G. & Eisfeldt, Andrea L. & Weill, Pierre-Olivier, 2017. "Measuring the financial soundness of U.S. firms, 1926–2012," Research in Economics, Elsevier, vol. 71(3), pages 613-635.
  62. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
  63. Manuela M. Dantas & Kenneth J. Merkley & Felipe B. G. Silva, 2023. "Government Guarantees and Banks' Income Smoothing," Papers 2303.03661, arXiv.org.
  64. Cutura, Jannic Alexander, 2020. "Debt holder monitoring and implicit guarantees: did the BRRD improve market discipline?," ESRB Working Paper Series 111, European Systemic Risk Board.
  65. Jondeau, Eric & Khalilzadeh, Amir, 2022. "Predicting the stressed expected loss of large U.S. banks," Journal of Banking & Finance, Elsevier, vol. 134(C).
  66. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
  67. Nosal, Jaromir B. & Ordoñez, Guillermo, 2016. "Uncertainty as commitment," Journal of Monetary Economics, Elsevier, vol. 80(C), pages 124-140.
  68. Carletti, Elena & Leonello, Agnese & Marquez, Robert, 2023. "Loan guarantees, bank underwriting policies and financial fragility," Working Paper Series 2782, European Central Bank.
  69. Tim Landvoigt & Juliane Begenau, 2016. "Financial Regulation in a Quantitative Model of the Modern Banking System," 2016 Meeting Papers 1462, Society for Economic Dynamics.
  70. Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
  71. Sara Cecchetti, 2019. "A Quantitative Analysis of Risk Premia in the Corporate Bond Market," JRFM, MDPI, vol. 13(1), pages 1-33, December.
  72. Masuch, Klaus & Anderton, Robert & Setzer, Ralph & Benalal, Nicholai, 2018. "Structural policies in the euro area," Occasional Paper Series 210, European Central Bank.
  73. Kostic, Natalija & Muthsam, Viktoria & Laux, Christian, 2023. "Accounting Changes and Enforcement of Bank Capital Requirements in a Crisis," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277694, Verein für Socialpolitik / German Economic Association.
  74. Luigi Zingales, 2015. "Does Finance Benefit Society?," NBER Working Papers 20894, National Bureau of Economic Research, Inc.
  75. Egger, Peter H. & Li, Jie & Zhu, Jiaqing, 2023. "The network and own effects of global-systemically-important-bank designations," Journal of International Money and Finance, Elsevier, vol. 136(C).
  76. Saldías, Martín, 2013. "Systemic risk analysis using forward-looking Distance-to-Default series," Journal of Financial Stability, Elsevier, vol. 9(4), pages 498-517.
  77. Lyndon Moore & Gertjan Verdickt, 2022. "Railroad Bailouts in the Great Depression," Papers 2205.13025, arXiv.org, revised May 2023.
  78. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
  79. Cutura, Jannic Alexander, 2018. "Debt holder monitoring and implicit guarantees: Did the BRRD improve market discipline?," SAFE Working Paper Series 232, Leibniz Institute for Financial Research SAFE.
  80. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  81. Michael B. Imerman, 2020. "When enough is not enough: bank capital and the Too-Big-To-Fail subsidy," Review of Quantitative Finance and Accounting, Springer, vol. 55(4), pages 1371-1406, November.
  82. Begenau, Juliane, 2020. "Capital requirements, risk choice, and liquidity provision in a business-cycle model," Journal of Financial Economics, Elsevier, vol. 136(2), pages 355-378.
  83. repec:aeb:wpaper:201607:i:7:y:2016 is not listed on IDEAS
  84. Beteto, Danilo Lopomo, 2012. "Government Safety Net, Stock Market Participation and Asset Prices," Risk and Sustainable Management Group Working Papers 156475, University of Queensland, School of Economics.
  85. Hett, Florian & Schmidt, Alexander, 2017. "Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis," Journal of Financial Economics, Elsevier, vol. 126(3), pages 635-651.
  86. Shaofang Li, 2021. "Quality of Bank Capital, Competition, and Risk-Taking: Some International Evidence," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(12), pages 3455-3488, September.
  87. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
  88. Kraft, Holger & Schmidt, Alexander, 2013. "Systemic risk in the financial sector: What can se learn from option markets?," SAFE Working Paper Series 25, Leibniz Institute for Financial Research SAFE.
  89. Lei Zhao, 2018. "Market†based estimates of implicit government guarantees in European financial institutions," European Financial Management, European Financial Management Association, vol. 24(1), pages 79-112, January.
  90. Silvia Bressan & Alex Weissensteiner, 2023. "Option-Implied Skewness and the Value of Financial Intermediaries," Journal of Financial Services Research, Springer;Western Finance Association, vol. 64(2), pages 207-229, October.
  91. Shuang Jin & Wei Wang & Zilong Zhang, 2023. "The Real Effects of Implicit Government Guarantee: Evidence from Chinese State-Owned Enterprise Defaults," Management Science, INFORMS, vol. 69(6), pages 3650-3674, June.
  92. Samuel Antill & Asani Sarkar, 2018. "Is size everything?," Staff Reports 864, Federal Reserve Bank of New York.
  93. Wang, Yang & Xiuping, Sui & Zhang, Qi, 2021. "Can fintech improve the efficiency of commercial banks? —An analysis based on big data," Research in International Business and Finance, Elsevier, vol. 55(C).
  94. Marius Andrei Zoican & Lucyna Anna Gornicka, 2014. "Banking Union Optimal Design under Moral Hazard," 2014 Papers pzo33, Job Market Papers.
  95. Randall Kroszner, 2016. "A Review of Bank Funding Cost Differentials," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 151-174, June.
  96. Jia, Yuecheng & Simkins, Betty & Feng, Hongrui, 2023. "Political connections and short sellers," Journal of Banking & Finance, Elsevier, vol. 146(C).
  97. Priyank Gandhi & Hanno Lustig, 2010. "Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation," NBER Working Papers 16553, National Bureau of Economic Research, Inc.
  98. Marcin Kacperczyk & Philipp Schnabl, 2011. "Implicit Guarantees and Risk Taking: Evidence from Money Market Funds," NBER Working Papers 17321, National Bureau of Economic Research, Inc.
  99. Anginer, Deniz & Demirguc-Kunt, Asli & Huizinga, Harry & Ma, Kebin, 2018. "Corporate governance of banks and financial stability," Journal of Financial Economics, Elsevier, vol. 130(2), pages 327-346.
  100. Gehrig, Thomas & Iannino, Maria Chiara, 2021. "Did the Basel Process of capital regulation enhance the resiliency of European banks?," Journal of Financial Stability, Elsevier, vol. 55(C).
  101. Silva, Felipe Bastos Gurgel, 2021. "Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(5), pages 1537-1589, August.
  102. Sara Cecchetti, 2017. "A quantitative analysis of risk premia in the corporate bond market," Temi di discussione (Economic working papers) 1141, Bank of Italy, Economic Research and International Relations Area.
  103. Manuela M. Dantas & Kenneth J. Merkley & Felipe B. G. Silva, 2023. "Government Guarantees and Banks’ Income Smoothing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(2), pages 123-173, April.
  104. Lopomo Beteto Wegner, Danilo, 2015. "Government insurance, information, and asset prices," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 165-183.
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