The market impact of systemic risk capital surcharges
研究全球系统重要性银行（G-SIB）的资本附加费公告对其信用违约互换（CDS）价格的影响，发现附加费提高时CDS价差短期上升后回落，暗示更高资本要求可能抵消隐性补贴优势。
Abstract This paper tests the ‘Too‐Big‐to‐Fail’ hypothesis that whether being designated as a global systemically important bank (G‐SIB) has an impact on the credit default swap (CDS) price of the bank, thereby reducing its credit risk. We find surprising evidence that the CDS spreads of a bank increase (decrease) after the announcement of a higher (lower) capital surcharge. However, this effect is temporary, as the mean CDS spreads revert to preannouncement level, dropping sharply after the initial rise. These findings create a puzzle by implying that a higher capital surcharge requirement and more stringent regulation could outweigh the implicit subsidy advantages of being too‐big‐to‐fail.