 What determines wholesale funding costs of the global systemically important banks?Simon Cottrell, Xiao Yu, Sarath Delpachitra and Yihong Ma Journal of Banking & Finance, 2021, vol. 132, issue C Abstract: Raising capital on wholesale debt markets is an important source of funding for banks and non-banking institutions throughout the world. We investigate the determinants of wholesale funding costs for the Global Systematically Important Banks (G-SIBs) using credit default swaps, the proxy for the cost of wholesale debt funding. Using 25 G-SIBs which are heavily reliant on debt capital markets across multiple currencies, this paper investigates whether the default risk of the interbank lending system, i.e., LIBOR-OIS spread is a new global macroeconomic factor in determining G-SIBs’ CDS spreads. Based on time-fixed effects and bank-fixed effects, we find default risk from the US banking system seems to play a greater role in explaining the wholesale funding costs of the G-SIBs than that of their home-country equivalent default risk. Overall, the findings make an important contribution to domestic and international debt funding markets and provide an insight for financial intermediaries, regulators, and monetary-policy makers. Keywords: CDS; LIBOR-OIS spread; TED spread; Wholesale Funding (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001564 DOI: 10.1016/j.jbankfin.2021.106197 Access Statistics for this article Journal of Banking & Finance is currently edited by Ike Mathur More articles in Journal of Banking & Finance from Elsevier |
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