Credit Contagion Channels: Market Microstructure Evidence from Lehman Brothers’ Bankruptcy
利用雷曼兄弟破产后企业披露的敞口信息，通过市场微观结构变量检验信用传染的对手方风险和信息传递渠道，发现对手方风险显著加剧了受影响企业的负面效应。
Immediately after Lehman Brothers’ bankruptcy, many firms disclosed their financial exposure (or lack thereof) to Lehman. This offers a clean setting to test two credit contagion channels through which a financial firm's bankruptcy can affect other firms—“counterparty risk” and “information transmission” channels. Using market microstructure variables to measure the various dimensions of contagion effects, we provide robust evidence supporting the significance of counterparty risk. Firms with exposure to Lehman suffered more severe negative effects—wider bid‐ask spread, higher price impact, greater information asymmetry, and greater selling pressure—than unexposed firms. We find mixed evidence regarding the information transmission hypothesis.