This paper focuses on the determinants of CDS spreads of large banks including the period of the global financial crisis. Given that CDS spreads sharply rose despite the banks' financial soundness, we investigate the role of macroeconomic variables such as external payment ability and foreign exchange conditions on banks' CDS spreads.
Panel regression analysis based on 40 major international banks shows that variables such as fiscal balance, foreign reserves and foreign exposure (measured by bond issuance denominated in foreign currency) played a major role in determining banks' CDS spreads. Bank's equity level, loan/asset ratio and loan/deposit ratio were the main determinants among banks' characteristics. We also found that significance of multiple variables were sensitive to crisis events, implying that determinants of banks' CDS spreads can be time-varying. This stresses the importance of maintaining sound fundamentals in non-crisis periods in order to prevent sharp rises in banks' CDS spread during crisis periods.
국내외 은행의 CDS프리미엄 결정요인 분석 및 시사점(Explaining credit default swap premium of large banks through the global financial crisis)
서울 : 한국금융연구원
|Series Title; No||KIF 연구보고서 / 2010-01|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|