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Do banks’ overnight borrowing rates lead their CDS price? : evidence from the Eurosystem

Tölö, Eero; Jokivuolle, Esa; Virén, Matti E. E. - 2015

Persistent link: https://www.econbiz.de/10011288656

Do banks' overnight borrowing rates lead their CDS price? : evidence from the Eurosystem

Tölö, Eero; Jokivuolle, Esa; Virén, Matti E. E. - In: Journal of financial intermediation 31 (2017), pp. 93-106

Persistent link: https://www.econbiz.de/10011822430

Asymmetry and aggregation in the EU

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Fiscal policy, automatic stabilisers and policy coordination in EMU

Virén, Matti E. E. (contributor) - 2000 - [Elektronische Ressource]

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Do Banks' Overnight Borrowing Rates Lead Their CDS Price? Evidence from the Eurosystem

Tölö, Eero - 2015

We construct a measure of a bank's relative creditworthiness from Eurosystem's proprietary overnight loan data: the bank's “average overnight borrowing rate spread, relative to overnight rate index” (AOR). We investigate the dynamic relationship between the AOR and the credit default swap...

Persistent link: https://www.econbiz.de/10013020641