Skip to main content

Research Repository

Advanced Search

Bail-in rules and the pricing of Italian bank bonds

Crespi, Fabrizio; Giacomini, Emanuela; Mascia, Danilo V.

Authors

Fabrizio Crespi

Emanuela Giacomini

Danilo V. Mascia



Abstract

We analyze whether the introduction of the bail-in tool in January 2016 affected the pricing of Italian bank bonds. Using a unique dataset of 1,798 fixed-rate bonds issued during the period 2013–2016, we find an increase of the spread at issuance of bail-inable bonds compared to non-bail-inable bonds. This increase also depends on the intrinsic characteristics of each bank. Large institutions, banks with lower ratings, profitability, capitalization, and higher liquidity faced a higher cost of issuing bail-inable bonds. Overall, our results seem to support the hypothesis of an improved market discipline for the bank bonds primary market.

Citation

Crespi, F., Giacomini, E., & Mascia, D. V. (2019). Bail-in rules and the pricing of Italian bank bonds. European Financial Management, 25(5), 1321-1347. https://doi.org/10.1111/eufm.12206

Journal Article Type Article
Acceptance Date Nov 24, 2018
Online Publication Date Jan 10, 2019
Publication Date Nov 1, 2019
Deposit Date Dec 3, 2018
Publicly Available Date Jan 11, 2021
Journal European Financial Management
Print ISSN 1354-7798
Electronic ISSN 1468-036X
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 25
Issue 5
Pages 1321-1347
DOI https://doi.org/10.1111/eufm.12206
Keywords Bail-in; Bank bonds; Cost of funding; Too-big-to-fail
Public URL https://nottingham-repository.worktribe.com/output/1358632
Publisher URL https://onlinelibrary.wiley.com/doi/abs/10.1111/eufm.12206?af=R
Additional Information This is the peer reviewed version of the article, which has been published in final form athttps://onlinelibrary.wiley.com/doi/abs/10.1111/eufm.12206?af=R This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.

Files




Downloadable Citations