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1 We acknowledge the Interbank Deposit Protection Fund of Italy (FITD) and the Italian Bankers' Association for providing us with the data set employed in this paper, to Cristiano Zazzara and Marco Pellegini for their help in acquisition, translation, and understanding of this publicly available data set, and the Bank for International Settlements (BIS) for(More)
Acknowledgments: The views expressed here are those of the authors and not necessarily those of the Federal Reserve Bank of New York, the Federal Reserve Bank of San Francisco or the Federal Reserve System. We thank and participants at the Bank of England's conference on " Credit Risk Modelling and the Regulatory Implications " for their comments and(More)
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requirements. Systematic risk factors may result in increases (decreases) in bank capital requirements when the economy is depressed (overheated), thereby decreasing (increasing) bank lending capacity and exacerbating business cycle fluctuations. Procyclicality may(More)
We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy(More)
This paper examines the effects of cross-border bank mergers on the risk and (abnormal) returns of acquiring banks. We find that overall, the acquirers' risk neither increases nor decreases. In particular, on average neither their total risk nor their systematic risk falls relative to banks in their home banking market. The abnormal returns to acquirers are(More)
This paper is among the first to investigate the effect of a prior investment banking relationship on merger advisory fees paid by acquiring firms. We find that acquiring firms pay a higher fee to advisors when they have had a continuing relationship and a lower fee when they switch to an advisor with whom they have had no prior relationship. We develop a(More)
While the concept of customer lending relationships in banking has generated a great deal of recent attention, one gap in the empirical literature is that linking current lending business and the sale of " other products ". Specifically, does establishing a lending relationship today add value for the bank by increasing the probability of attracting future(More)
The merit of international convergence of bank capital requirements in the presence of divergent closure policies of di¡erent central banks is examined. The lack of a complementary variation between minimum bank capital requirements and regulatory forbearance leads to a spillover from more forbearing to less forbearing economies and reduces the competitive(More)