Abstract

AuthorMaccaferri, Sara; Bellia, Mario
Pages3-3
3
Abstract
The purpose of the study is to estimate the short term reaction of equity and CDS prices of a
sample of European banks tovarious eve nts and announcements, such as bail-ins,
recapitalisations, 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
banking package. While the 2016 and 2019 reforms of EU prudential and resolution rules seem
to have increased perceived probabilities of bail-in, the latter seem not to be affected
significantly by more recent individual cases.
Acknowledgements
We thank Stan Maes (European Commission, DG FISMA) for the fruitful collaboration during the
preparation 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
comments 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 latter applies an event-study analysis to selected
regulatory and resolution reform regime changes and actions.

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