Abstract

• Author: Maccaferri, Sara; Bellia, Mario
• Pages: 3-3

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Abstract

The purpo se of the study is to estimate the short term reaction of equity and CDS prices of a

samp le of European banks to various eve nts and an nouncements, s uch as bail -ins,

recap italisations, and the proposal and final agreement of the EU reform package of prudential

and resolution rules in banking (“banking package”).

This study replicates and expand Schäfer et al. (2017) to include more recent EU events, such as

the resolution of Banco Popular and the further tightening of EU prudential and resolution rules

in 2019.

Overall, our analysis shows the most recent events did not seem to trigger abnormal reactions in

bank funding markets after bank prudential and resolution reforms were implemented in the EU

in 2016. An exce ption is the 2018 Council agreement on its general approach to the proposed

bankin g package. While the 2016 and 2019 reforms of EU prudential and resolution rules seem

to have increased perceived probab ilities of bail-in, th e latter seem n ot to be affected

signifi cantly by more recent individual cases.

Acknowledgements

We thank Stan Maes (European Commission, DG FISMA) for the fruitful collaboration during the

prepa ration of this study. We thank also the FSB secretariat and the members of the working

group that provides useful comments to this draft: Andre Ebner, George Pennacchi, Olivia Cheng,

and Smith Williams. A special thanks to Alexander Schäfer of DG ECFIN for the clarifications and

comm ents on an earlier version of this work.

This work benefits from a similar ongoing project where the EC JRC collaborate with Sebastian

Schich from the OECD, undertaken as part of work of the OECD Committee on Financial Markets

on implicit bank debt guarantees. The la tter applies an event-s tudy analysis to selected

regulatory and resolution reform regime changes and actions.