Quantifying Structural Subsidy Values for Systemically Important Financial Institutions:

Claimants to SIFIs receive transfers when governments are forced into bailouts. Ex ante, the bailout expectation lowers daily funding costs. This funding cost differential reflects both the structural level of the government support and the time-varying market valuation for such a support. With larg...

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Bibliographic Details
Main Author: Ueda, Kenichi (Author)
Format: Electronic eBook
Language:English
Published: Washington, D.C International Monetary Fund 2012
Series:IMF Working Papers Working Paper No. 12/128
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Volltext
Summary:Claimants to SIFIs receive transfers when governments are forced into bailouts. Ex ante, the bailout expectation lowers daily funding costs. This funding cost differential reflects both the structural level of the government support and the time-varying market valuation for such a support. With large worldwide sample of banks, we estimate the structural subsidy values by exploiting expectations of state support embedded in credit ratings and by using long-run average value of rating bonus. It was already sizable, 60 basis points, as of the end-2007, before the crisis. It increased to 80 basis points by the end-2009
Physical Description:1 Online-Ressource (28 p)
ISBN:1475503652
9781475503654

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