Results
| Author | Maccaferri, Sara; Bellia, Mario |
| Pages | 16-41 |
16
3 Results
The tables below show the results of the event studies conducted by the JRC to replicate those
prese nted in the paper by Schäfer et al (2017). Results in Section 3.1 refer to the baseline results
prese nted in the paper, Section 3.2 prese nts the results of assessing the differences between
junior a nd se nior CDS sp reads, Section 3.3 discusses the re sults of the two cross -sectional
analyse s and Section 3.4 applies the event study technique to more recent events that were not
covere d by the paper. It is worth highlighting that the regressions implemented for each selected
even t have been run by removing the banks belonging to the country where the event took place.
Annex 2reports the results of Section 3.1 without removing the banks.
Overall results for senior CDS and stock returns allow concluding that the JRC approach is in line
with the one by Schäfer et al (2017): the majority of events classified as significant by the JRC
were also identified as significant by the paper. Also the sign and magnitude of the coefficients,
although not identical, are similar. When focusing on the differences between junior and senior
CDS, results are slightly less aligned, albeit the most relevant events are still significant and with
the same sign.
3.1 Comparisons with the baseline results by Schäfer et al (2017)
Results pre sented in this section rely on first differences of senior CDS spreads and on equity
daily returns. Table 9 and Table 10 show the events study results for the bail-in of the Danish
bank Amagerbanken occurred in February 2011. In line with the paper by Schäfer et al (2017),
the market does not seem to have any relevant reaction. Only when comparing G-SIB and non G-
SIB banks, CDS spreads show different reactions in the two groups.
Table 9: Abno rmal bank CDS spre ads differences - Creditor Bail-in Denmark
Event
Date
Full
sample
G-SIB
Non-G-
SIB
G-SIB vs
Non-G-
SIB
GIIPS
Non
GIIPS
GIIPS vs
Non-
GIIPS
Amage rbanken: b ail-in of
se nior debt
06/02/11
Averag e
-1.19 8
2.606
-2.79 9
5.406**
-6.06 6
1.445
-7.51 2
T-tes t
-0.06 0
-0.42 0
-0.26 7
-3.89 4
-0.50 9
-0.20 1
-1.55 0
p-v alue
0.806
0.517
0.605
0.049
0.475
0.654
0.213
Cumula ted
ave rage
-4.86 1
-0.65 1
-6.63 3
5.982
-12.1 51
-0.90 3
-11.2 48
T-tes t
0.489
0.013
0.741
2.354
1.009
0.039
1.716
p-v alue
0.484
0.909
0.389
0.125
0.315
0.844
0.190
Table 10: Abnor mal bank stoc k retur ns - Creditor Bail-in Den mark
Event
Date
Full
sample
G-SIB
Non-G-
SIB
G-SIB vs
Non-G-
SIB
GIIPS
Non
GIIPS
GIIPS vs
Non-
GIIPS
Amage rbanken: b ail-in of
se nior debt
06/02/11
Averag e
0.793%
1.111%
0.713%
0.398%
0.056%
1.147%
-1.09 1%
T-tes t
-0.55 3
-0.58 6
-0.51 0
-0.30 3
-0.00 1
-2.33 0
-0.15 0
p-v alue
0.459
0.447
0.477
0.584
0.976
0.131
0.700
Cumula ted
ave rage
0.879%
1.271%
0.781%
0.49%
-0.00 9%
1.307%
-1.31 6%
T-tes t
0.331
0.372
0.297
0.222
0.000
1.343
0.105
p-v alue
0.567
0.544
0.587
0.639
0.997
0.250
0.747
The analysis of the bail-in event in Spain that occurred in summer 2012 allows drawing similar
conc lusions to those of the paper (Table 11). The only difference with respect to the paper is that
neithe r the CDS market nor the stock ma rket reveal any significant reaction, while the paper
signalled as significant the reaction for the difference be tween G-S IBs and non G -SIBs CDS
17
spread s when the Spanish authorities expressed the intention to im plement a natio nal bank
resolution law.
Table 11: Abnor mal bank CDS sprea ds differen ces- credito r bail-in Spain
Event
Date
Full
sample
G-SIB
Non-G-
SIB
G-SIB vs
Non-G-
SIB
GIIPS
Non
GIIPS
GIIPS vs
Non-
GIIPS
Sp anish bank re scue plan
implies ba il-in
10/07/12
Averag e
-1.02 8
-2.77
-0.33 2
-2.43 8
-1.22 9
-0.95 6
-0.27 3
T-tes t
-0.02 0
-0.23 1
-0.00 2
-0.18 1
-0.00 4
-0.05 3
0.000
p-v alue
0.888
0.631
0.968
0.670
0.949
0.819
0.987
Cumula ted
ave rage
-0.43
-2.00 7
0.201
-2.20 8
3.198
-1.74
4.938
T-tes t
0.002
0.060
0.000
0.073
0.014
0.086
0.041
p-v alue
0.967
0.807
0.987
0.786
0.906
0.769
0.839
German go vernment
ba cks rescu e plan
19/07/12
Averag e
-1.88 6
-0.27 8
-2.53
2.251
-4.3
-1.01 5
-3.28 6
T-tes t
-0.06 8
-0.00 2
-0.09 2
-0.15 0
-0.05 0
-0.06 4
-0.03 6
p-v alue
0.794
0.961
0.762
0.699
0.823
0.800
0.849
Cumula ted
ave rage
2.694
3.951
2.191
1.761
2.355
2.816
-0.46 1
T-tes t
0.069
0.241
0.034
0.045
0.007
0.245
0.000
p-v alue
0.793
0.624
0.854
0.832
0.932
0.621
0.985
Sp ain pu shes na tional
ba nk resolution plan
02/08/12
Averag e
3.788
4.736
3.419
1.316
5.743
3.101
2.642
T-tes t
-0.27 9
-0.67 3
-0.17 1
-0.04 9
-0.08 2
-0.68 2
-0.02 1
p-v alue
0.598
0.412
0.680
0.826
0.774
0.409
0.884
Cumula ted
ave rage
3.713
12.726
0.208
12.518
-9.51 3
8.361
-17.8 74
T-tes t
0.132
2.396
0.000
2.168
0.111
2.394
0.470
p-v alue
0.716
0.122
0.986
0.141
0.739
0.122
0.493
Table 12: Abnor mal bank stoc k retur ns - creditor bail-in Spain
Event
Date
Full
sample
G-SIB
Non-G-
SIB
G-SIB vs
Non-G-
SIB
GIIPS
Non
GIIPS
GIIPS vs
Non-
GIIPS
Sp anish bank re scue plan
implies ba il-in
10/07/12
Averag e
0.545%
0.899%
0.467%
0.432%
-0.92 2%
1.05%
-1.97 3%
T-tes t
-0.17 8
-0.23 7
-0.15 1
-0.20 5
-0.12 5
-1.41 2
-0.51 7
p-v alue
0.674
0.628
0.698
0.652
0.725
0.239
0.474
Cumula ted
ave rage
0.512%
1.699%
0.252%
1.447%
-1.02 5%
1.042%
-2.06 8%
T-tes t
0.078
0.418
0.022
1.135
0.076
0.277
0.207
p-v alue
0.781
0.520
0.883
0.290
0.783
0.600
0.651
German go vernment
ba cks rescu e plan
19/07/12
Averag e
-0.02 %
-0.15 4%
0.009%
-0.16 3%
0.248%
-0.11 2%
0.36%
T-tes t
0.000
-0.00 7
0.000
-0.02 9
-0.00 9
-0.01 0
-0.01 8
p-v alue
0.988
0.935
0.994
0.865
0.925
0.922
0.893
Cumula ted
ave rage
-1.56 2%
-2.60 2%
-1.33 5%
-1.26 7%
-2.87 %
-1.11 1%
-1.75 9%
T-tes t
0.728
0.966
0.618
0.870
0.602
0.331
0.535
p-v alue
0.396
0.329
0.434
0.354
0.440
0.567
0.467
To continue reading
Request your trial