COVID-19 Pandemic and Global Corporate CDS Spreads
Iftekhar Hasan, Miriam Marra, Thomas Y. To, Eliza Wu, Gaiyan Zhang
Journal of Banking and Finance,
February
2023
Abstract
We examine the impact of the COVID-19 pandemic on the credit risk of companies around the world. We find that increased infection rates affect firms more adversely as reflected by the wider increase in their credit default swap (CDS) spreads if they are larger, more leveraged, closer to default, have worse governance and more limited stakeholder engagement, and operate in more highly exposed industries. We observe that country-level determinants such as GDP, political stability, foreign direct investment, and commitment to crisis management (income support, health and lockdown policies) also affect the sensitivity of CDS spreads to COVID-19 infection rates. A negative amplification effect exists for firms with high default probability in countries with fiscal constraints. A direct comparison between global CDS and stock markets reveals that the CDS market prices in a distinct set of corporate traits and government policies in pandemic times.
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Bitcoin Flash Crash on May 19, 2021: What Did Really Happen on Binance?
Tim Baumgartner, Andre Guettler
IWH Discussion Papers,
No. 25,
2022
Abstract
Bitcoin plunged by 30% on May 19, 2021. We examine the outage the largest crypto exchange Binance experienced during the crash, when it halted trading for retail clients and stopped providing transaction data. We find evidence that Binance back-filled these missing transactions with data that does not conform to Benford‘s Law. The Bitcoin futures price difference between Binance and other exchanges was seven times larger during the crash period compared to a prior reference period. Data manipulation is a plausible explanation for our findings. These actions are in line with Binance aiming to limit losses for its futures-related insurance fund.
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Capital Requirements, Market Structure, and Heterogeneous Banks
Carola Müller
IWH Discussion Papers,
No. 15,
2022
Abstract
Bank regulators interfere with the efficient allocation of resources for the sake of financial stability. Based on this trade-off, I compare how different capital requirements affect default probabilities and the allocation of market shares across heterogeneous banks. In the model, banks‘ productivity determines their optimal strategy in oligopolistic markets. Higher productivity gives banks higher profit margins that lower their default risk. Hence, capital requirements indirectly aiming at high-productivity banks are less effective. They also bear a distortionary cost: Because incumbents increase interest rates, new entrants with low productivity are attracted and thus average productivity in the banking market decreases.
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Internationale Konjunkturprognose und konjunkturelle Szenarien für die Jahre 2022 bis 2027
Andrej Drygalla, Oliver Holtemöller, Axel Lindner
IWH Studies,
No. 1,
2023
Abstract
In der vorliegenden Studie werden zunächst die weltweiten konjunkturellen Aussichten für das Ende des Jahres 2022 und für die Jahre 2023 bis 2027 dargestellt. Dabei wird folgender Länderkreis betrachtet: Deutschland, Frankreich, Griechenland, Großbritannien, Irland, Italien, Niederlande, Polen, Portugal, Slowakei und Spanien.
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Internationale Konjunkturprognose und konjunkturelle Stressszenarien für die Jahre 2021 bis 2026
Andrej Drygalla, Oliver Holtemöller, Axel Lindner
IWH Studies,
No. 1,
2022
Abstract
In der vorliegenden Studie werden zunächst die weltweiten konjunkturellen Aussichten für das Ende des Jahres 2021 und für die Jahre 2022 bis 2026 dargestellt. Dabei wird folgender Länderkreis betrachtet: Deutschland, Frankreich, Griechenland, Großbritannien, Irland, Italien, Niederlande, Polen, Portugal, Slowakei und Spanien.
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09.05.2023 • 13/2023
IWH-Insolvenztrend: Zahl der Firmenpleiten unverändert, erneut zahlreiche Arbeitsplätze betroffen
Die Zahl der Insolvenzen von Personen- und Kapitalgesellschaften ist im April nicht weiter gestiegen, zeigt die aktuelle Analyse des Leibniz-Instituts für Wirtschaftsforschung Halle (IWH). Allerdings waren erneut überdurchschnittlich viele Arbeitsplätze betroffen.
Steffen Müller
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