Work

Bail‐in rules and the pricing of Italian bank bonds

Year: 2018

Type: article

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.

Source: European Financial Management

DOI: 10.1111/eufm.12206

Authors: Fabrizio Crespi, Emanuela Giacomini, Danilo V. Mascia

Institutions: University of Cagliari, University of Macerata, University of Nottingham

Language: English

Topic: Banking stability, regulation, efficiency

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2902298540

FWCI: 4.295

Cites: 44

Cited by: 29

Related to: 10