IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01362381.html
   My bibliography  Save this paper

Crise de la dette souveraine dans l’Union européenne : transparence des banques et spreads de CDS

Author

Listed:
  • Hervé Alexandre

    (DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Catherine Refait-Alexandre

    (CRESE - Centre de REcherches sur les Stratégies Economiques (UR 3190) - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE])

  • François Guillemin

    (CRESE - Centre de REcherches sur les Stratégies Economiques (UR 3190) - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE])

Abstract

We investigate the impact of banks disclosure on the evolution of their CDS spreads during the European sovereign debt crisis. We focus on the CDS spreads changes following the announcements of sovereign credit rating downgrades. The disclosure of information helps investors in building expectations and may participate into the reduction of the information risk premium and of the CDS spreads. We assess the cumulative abnormal CDS spread changes (CASC) around sixteen downgrades from 2011 to 2013. We build two disclosure indexes: one general and one dedicated to sovereign exposure. We show that the bank exposure to sovereign risk has a positive impact on the CASC whilst a sovereign disclosure has a negative impact: information thus reduces risk premiums. However, the global disclosure increases the CASC, since investors may disapprove the disclosure of too much abundant and broad information.

Suggested Citation

  • Hervé Alexandre & Catherine Refait-Alexandre & François Guillemin, 2016. "Crise de la dette souveraine dans l’Union européenne : transparence des banques et spreads de CDS," Post-Print hal-01362381, HAL.
    • Handle: RePEc:hal:journl:hal-01362381
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

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


    Cited by:

    1. François Guillemin & Maria Semenova, 2020. "Transparency and market discipline: evidence from the Russian interbank market," Annals of Finance, Springer, vol. 16(2), pages 219-251, June.
    2. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.

    More about this item

    Keywords

    credit default swaps (CDS); banques; crise; souverain; dette souveraine; transparence;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

    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:hal:journl:hal-01362381. 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: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    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.