Market‐based estimates of implicit government guarantees in European financial institutions
利用不同优先级债务的信用违约互换价差，测度2005至2013年欧洲金融机构享受的隐性政府担保，发现危机期间担保大幅上升，且与主权违约风险存在反馈关系。
Abstract I exploit the price differential of credit default swap (CDS) contracts written on debts with different levels of seniority to measure the implicit government guarantees enjoyed by European financial institutions from 2005 to 2013. I determine that the aggregate guarantee increased substantially during the recent financial crises and peaked at an average of 89 bps in 2011. My analysis suggests that the extent of implicit support depends on the type of financial institutions and there exists a eurozone effect. Further investigation of feedback relationship shows that the guarantee implicitly offered by a government positively ‘Granger causes’ the sovereign's default risk.