This paper documents a negative cross-transmission of bank-idiosyncratic credit risk events to the equity value of peers comprising other banks, insurance and real estate firms inter alia. Large jumps in the idiosyncratic component of bank CDS spreads significantly reduce the equity value of peers, particularly on the event day. The negative externality does not hinge on the “information connectedness” between the two entities as proxied by characteristics such as common core line of business, common country or region, and inter-country common legal tradition. The negative externality is stronger in turmoil market conditions when risk-aversion levels are higher and/or investors are subject to pessimism. The more fragile the risk profile of the event bank and peer firm prior to the event the stronger the cross-transmission. The findings lend support to the wake-up call paradigm at micro level, and are insightful towards a better assessment of the vulnerability of the financial system.

本文证明了银行特有的信用风险事件向包括其他银行，保险和房地产公司在内的同行的股票价值的负交叉传递。银行CDS利差的特殊成分的大幅上涨显着降低了同行的股票价值，尤其是在活动当天。消极的外部性并不取决于两个实体之间的“信息联系”，而这两个实体是由共同的核心业务线，共同的国家或地区以及国家间共同的法律传统等特征所替代的。当风险规避水平较高和/或投资者遭受悲观情绪时，在动荡的市场条件下，负外部性会更强。事件之前事件银行和同业公司的风险状况越脆弱，交叉传输越强。