Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets
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Autor:innen
Hertrich, Markus
Autor:in (Körperschaft)
Publikationsdatum
2015
Typ der Arbeit
Studiengang
Sammlung
Typ
01A - Beitrag in wissenschaftlicher Zeitschrift
Herausgeber:innen
Herausgeber:in (Körperschaft)
Betreuer:in
Übergeordnetes Werk
International Journal of Applied Economics
Themenheft
DOI der Originalpublikation
Link
Reihe / Serie
Reihennummer
Jahrgang / Band
12
Ausgabe / Nummer
2
Seiten / Dauer
Patentnummer
Verlag / Herausgebende Institution
Science Alert
Verlagsort / Veranstaltungsort
Auflage
Version
Programmiersprache
Abtretungsempfänger:in
Praxispartner:in/Auftraggeber:in
Zusammenfassung
During the recent financial crisis that erupted in mid-2007, credit default swap spreads increased by several hundred basis points, accompanied by a liquidity shortage in the U.S. financial sector. This period has both evidenced the importance that liquidity has for investors and underlined the need to understand the linkages between credit markets and liquidity. This paper sheds light on the dynamic interactions between credit and liquidity risk in the credit default swap market. Contrary to the common belief that illiquidity leads to a credit risk deterioration in financial markets, it is found that in a sample of German and Swiss companies, credit risk is more likely to be weakly endogenous for liquidity risk than vice versa. The results suggest that a negative credit shock typically leads to a subsequent liquidity shortage in the credit default swap market, in the spirit of, for instance, the liquidity spiral posited by Brunnermaier (2009), and extends our knowledge about how credit markets work, as it helps to explain the amplification mechanisms that severely aggravated the recent crisis and also indicates which macro-prudential policies would be suitable for preventing a similar financial crisis in the future.
Schlagwörter
financial crisis, credit default swap, credit risk, liquidity risk, endogeneity, macro-prudential policy
Fachgebiet (DDC)
Veranstaltung
Startdatum der Ausstellung
Enddatum der Ausstellung
Startdatum der Konferenz
Enddatum der Konferenz
Datum der letzten Prüfung
ISBN
ISSN
1991-0886
2077-2149
2077-2149
Sprache
Englisch
Während FHNW Zugehörigkeit erstellt
Nein
Zukunftsfelder FHNW
Publikationsstatus
Pre-Print im Druck
Begutachtung
Peer-Review der ganzen Publikation
Open Access-Status
Lizenz
Zitation
Hertrich, M. (2015). Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets. International Journal of Applied Economics, 12(2). http://hdl.handle.net/11654/6297