“大而不能倒”的式微

中文摘要

对于总部位于美国的全球系统重要性银行（GSIB），我们发现，全球金融危机（GFC）之后，市场隐含的政府救助概率显著下降；在控制资不抵债风险后，这些银行的批发债务融资成本高出约170%。全球金融危机以来，银行债权人似乎预期，当全球系统重要性银行接近资不抵债时，其将遭受大得多的损失。从这个意义上说，我们估计“大而不能倒”的程度有所下降。（G01、G12、G21、G28、G33、H81）

Abstract

For globally systemically important banks (GSIBs) with US headquarters, we find significant reductions in market-implied probabilities of government bailout after the Global Financial Crisis (GFC), along with roughly 170 percent higher wholesale debt financing costs for these banks after controlling for insolvency risk. Since the GFC, bank creditors appear to expect much larger losses in the event that a GSIB approaches insolvency. In this sense, we estimate a decline of “too big to fail.” (G01, G12, G21, G28, G33, H81)