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.

在批发债务市场上筹集资金是全世界银行和非银行机构的重要资金来源。我们使用信用违约掉期（批发债务融资成本的代理）来调查全球系统重要性银行（G-SIBs）批发融资成本的决定因素。本文利用25个严重依赖多币种债务资本市场的G-SIBs，研究银行间借贷系统的违约风险，即LIBOR-OIS利差是否是决定G-SIBs CDS利差的一个新的全球宏观经济因素. 基于时间固定效应和银行固定效应，我们发现美国银行系统的违约风险似乎比其本国等效违约风险在解释 G-SIBs 的批发融资成本方面发挥了更大的作用。全面的，