Bail‐in rules and the pricing of Italian bank bonds
研究了2016年1月引入自救工具对意大利银行债券发行利差的影响，发现自救债券利差上升，且大型、低评级、低盈利、低资本、高流动性的银行成本更高，支持市场纪律改善。
Abstract We analyze whether the introduction of the bail‐in tool in January 2016 affected the pricing of Italian bank bonds. Using a unique dataset of 1,798 fixed‐rate bonds issued during the period 2013–2016, we find an increase of the spread at issuance of bail‐inable bonds compared to non‐bail‐inable bonds. This increase also depends on the intrinsic characteristics of each bank. Large institutions, banks with lower ratings, profitability, capitalization, and higher liquidity faced a higher cost of issuing bail‐inable bonds. Overall, our results seem to support the hypothesis of an improved market discipline for the bank bond primary market.