CDS spreads and balance-sheet ratios in the banking sector: an empirical analysis on the Mediterranean Europe, International Journal of Applied Business and Economic Research, ISSN 0972-7302
Author(s)
Angelini, Eliana
Ortolano, Alessandra
Date Issued
2016
Type
article
Abstract
The paper investigates empirically what kind of relationship between banking sector’s
CDS spreads and balance sheet ratios has been established, in the Mediterranean Europe for
the period 2009-2014.The study shows the attention of the market for the quality and profitability
of banks’ assets, in order to evaluate credit risk. We also find a significant attention for shortterm
liquidity, that could be explained by the Eurozone crisis that has affected the region in the
period analyzed. Provided that also balance-sheet variables can be affected by balance-sheets’
policies, we finally suppose, that some results have been distorted by the deep speculation that
took place in the CDS market of the Mediterranean Europe, during these years and has
invalidated the efficiency of the CDS spread, as a good credit risk indicator.
Additional information
Best Research Paper ICABER 2016 in International Conference on Applied Business and Economic Research, New Dehli, 30-31 July 2016