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題名:Credit Contagion and Risk Sharing among State Governments
書刊名:財務金融學刊
作者:陳獻儀 引用關係蔡豐澤
作者(外文):Chen, Hsien-yiTsai, Feng-tse
出版日期:2021
卷期:29:1
頁次:頁25-60
主題關鍵詞:州信用事件風險分攤資本市場信用市場聯邦政府State credit eventsRisk sharingCapital marketCredit marketFederal government
原始連結:連回原系統網址new window
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  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:8
期刊論文
1.Ismailescu, Iuliana、Kazemi, Hossein(2010)。The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes。Journal of Banking and Finance,34(12),2861-2873。  new window
2.Kisgen, Darren J.(2009)。Do Firms Target Credit Ratings or Leverage Levels?。Journal of Financial and Quantitative Analysis,44(6),1323-1344。  new window
3.Jorion, Philippe、Zhang, Gaiyan(2010)。Information Transfer Effects of Bond Rating Downgrades。Financial Review,45,683-706。  new window
4.Tang, Tony T.(2009)。Information Asymmetry and Firms' Credit Market Access: Evidence from Moody's Credit Rating Format Refinement。Journal of Financial Economics,93,325-351。  new window
5.Kalbaska, Alesia、Gątkowski, Mateusz(2012)。Eurozone sovereign contagion: Evidence from the CDS market (2005-2010)。Journal of Economic Behavior and Organization,83(3),657-673。  new window
6.Avramov, Doron、Chordia, Tarun、Jostova, Gergana、Philipov, Alexander(2009)。Credit Ratings and The Cross-Section of Stock Returns。Journal of Financial Markets,12(3),469-499。  new window
7.Ellison, Glenn、Glaeser, Edward L.(1999)。The Geographic Concentration of Industry: Does Natural Advantage Explain Agglomeration?。The American Economic Review,89(2),311-316。  new window
8.Gande, Amar、Parsley, David C.(2005)。News spillovers in the sovereign debt market。Journal of Financial Economics,75(3),691-734。  new window
9.Longstaff, Francis A.、Pan, Jun、Pedersen, Lasse H.、Singleton, Kenneth J.(2011)。How sovereign is sovereign credit risk?。American Economic Journal: Macroeconomics,3(2),75-103。  new window
10.Buettner, Thiess(2002)。Fiscal Federalism and Interstate Risk Sharing: Empirical Evidence from Germany。Economics Letters,74,195-202。  new window
11.Pan, Jun、Singleton, Kenneth J.(2008)。Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads。The Journal of Finance,63(5),2345-2384。  new window
12.Hertzel, Michael G.、Officer, Micah S.(2012)。Industry contagion in loan spreads。Journal of Financial Economics,103(3),493-506。  new window
13.Grinblatt, Mark、Keloharju, Matti(2001)。How Distance, Language, and Culture Influence Stockholdings and Trades。The Journal of Finance,56(3),1053-1073。  new window
14.Wildasin, David E.(1996)。Introduction: Fiscal Aspects of Evolving Federations。International Tax and Public Finance,3,121-135。  new window
15.Hertzel, Michael G.、Li, Zhi、Officer, Micah S.、Rodgers, Kimberly J.(2008)。Inter-Firm Linkages and the Wealth Effects of Financial Distress along the Supply Chain。Journal of Financial Economics,87(2),374-387。  new window
16.Kang, Jun-Koo、Kim, Jin-Mo(2008)。The geography of block acquisitions。The Journal of Finance,63,2817-2858。  new window
17.Agarwal, Sumit、Amromin, Gene、Ben-David, Itzhk、Dinc, Serdar(2018)。The politics of foreclosures。Journal of Finance,73,2677-2717。  new window
18.Agarwal, Sumit、Hauswald, Robert(2010)。Distance and private information in lending。Review of Financial Studies,23(7),2757-2788。  new window
19.Almeida, Heitor、Cunha, Igor、Ferreira, Miguel A.、Restrepo, Felipe(2017)。The real effects of credit ratings: The sovereign ceiling channel。Journal of Finance,72,249-290。  new window
20.Ang, Andrew、Green, Richard C.、Longstaff, Francis A.、Xing, Yuhang(2017)。Advance refundings of municipal bonds。Journal of Finance,72,1645-1682。  new window
21.Ang, Andrew、Longstaff, Francis A.(2013)。Systemic sovereign credit risk: Lessons from the U.S. and Europe。Journal of Monetary Economics,60(5),493-510。  new window
22.Athanasoulis, Stefano G.、van Wincoop, Eric(2001)。Risk sharing within the United States: What do financial markets and fiscal federalism accomplish?。Review of Economics and Statistics,83,688-698。  new window
23.Augustin, Patrick(2014)。Sovereign credit default swap premia。Journal of Investment Management,12,65-102。  new window
24.Augustin, Patrick、Subrahmanyam, Marti G.、Tang, Dragon Y.、Wang, Sarah Q.(2014)。Credit default swaps: A survey。Foundations and Trends® in Finance,9(1/2),1-196。  new window
25.Augustin, Patrick、Tedongap, Romeo(2016)。Real economic shocks and sovereign credit risk。Journal of Financial and Quantitative Analysis,51,541-587。  new window
26.Bayoumi, Tamim、Goldstein, Morris、Woglom, Geoffrey(1995)。Do credit markets discipline sovereign borrowers? Evidence from U.S. States。Journal of Money, Credit and Banking,27,1046-1059。  new window
27.Beck, Thorsten、Degryse, Hans、De Haas, Ralph、van Horen, Neeltje(2018)。When arm's length is too far: Relationship banking over the credit cycle。Journal of Financial Economics,127,174-196。  new window
28.Bharath, Sreedhar T.、Dahiya, Sandeep、Saunders, Anthony、Srinivasan, Anand(2009)。Lending relationships and loan contract terms。Review of Financial Studies,24(4),1141-1203。  new window
29.Bowman, Ann O'M.(2017)。The state-local government(s) conundrum: Power and design。Journal of Politics,79,1119-1129。  new window
30.Bradley, Daniel、Pantzalis, Christos、Yuan, Xiaojing(2016)。The influence of political bias in state pension funds。Journal of Financial Economics,119,69-91。  new window
31.Broto, Carmen、Pérez-Quirós, Gabriel(2015)。Disentangling contagion among sovereign CDS spreads during the European debt crisis。Journal of Empirical Finance,32,165-179。  new window
32.Chan, Kenneth S.、Lai, Jennifer T.、Yan, Isabel K. M.(2014)。Consumption risk sharing and self-insurance across provinces in China: 1952-2008。China Economic Review,30,66-85。  new window
33.Chang, Jung-Hsien、Hung, Mao-Wei、Tsai, Feng-Tse(2015)。Credit contagion and competitive effects of bond rating downgrades along the supply chain。Finance Research Letters,15,232-238。  new window
34.Du, Julan、He, Qing、Rui, Oliver M.(2011)。Channels of interprovincial risk sharing in China。Journal of Comparative Economics,39,383-405。  new window
35.Duwicquet, Vincent、Farvaque, Etienne(2018)。U.S. Interstate risk sharing: A post-crisis examination。Pacific Economic Review,23,296-308。  new window
36.Ehrmann, Michael、Fratzscher, Marcel(2017)。Euro area government bonds - Fragmentation and contagion during the sovereign debt crisis。Journal of International Money and Finance,70,26-44。  new window
37.English, William B.(1996)。Understanding the costs of sovereign default: American state debts in the 1840's。American Economic Review,86,259-275。  new window
38.Fratzscher, Marcel、Imbs, Jean(2009)。Risk sharing, finance, and institutions in international portfolios。Journal of Financial Economics,94,428-447。  new window
39.Hollander, Stephan、Verriest, Arnt(2016)。Bridging the gap: The design of bank loan contracts and distance。Journal of Financial Economics,119,399-419。  new window
40.Huang, Alex Y.、Chen, Chih-Chun、Shen, Chung-Hua(2014)。Dynamics of sovereign credit contagion。Journal of Derivatives,22,27-45。  new window
41.Korniotis, George M.、Kumar, Alok(2013)。State-level business cycles and local return predictability。Journal of Finance,68,1037-1096。  new window
42.Ljungqvist, Alexander、Zhang, Liandong、Zuo, Luo(2017)。Sharing risk with the government: How taxes affect corporate risk taking。Journal of Accounting Research,55(3),669-707。  new window
43.Lockwood, Ben(1999)。Inter-regional insurance。Journal of Public Economics,72,1-37。  new window
44.Allen, Franklin、Carletti, Elena(2006)。Credit risk transfer and contagion。Journal of Monetary Economics,53(1),89-111。  new window
45.Allen, Franklin、Gale, Douglas(2000)。Financial Contagion。Journal of Political Economy,108(1),1-33。  new window
46.Asdrubali, Pierfederico、Sorensen, Bent E.、Yosha, Oved(1996)。Channels of Interstate Risk Sharing: United States 1963-1990。Quarterly Journal of Economics,111(4),1081-1110。  new window
47.Avramov, Doron、Chordia, Tarun、Jostova, Gergana、Philipov, Alexander(2007)。Momentum and credit rating。Journal of Finance,62(5),2503-2520。  new window
48.Coval, Joshua D.、Moskowitz, Tobias J.(2001)。The Geography of Investment: Informed Trading and Asset Prices。Journal of Political Economy,109(4),811-841。  new window
49.Dichev, Ilia D.、Piotroski, Joseph D.(2001)。The Long-Run Stock Returns Following Bond Ratings Changes。Journal of Finance,56(1),173-203。  new window
50.Ederington, Louis H.、Goh, Jeremy C.(1998)。Bond rating agencies and stock analysts: Who knows what when?。Journal of Financial and Quantitative Analysis,33(4),569-585。  new window
51.Ferris, Stephen P.、Jayaraman, Narayanan、Makhija, Anil K.(1997)。The response of competitors to announcements of bankruptcy: an empirical examination of contagion and competitive effects。Journal of Corporate Finance,3(4),367-395。  new window
52.Hull, John、Predescu, Mirela、White, Alan(2004)。The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements。Journal of Banking and Finance,28(11),2789-2811。  new window
53.Jorion, Philippe、Zhang, Gaiyan(2007)。Good and Bad Credit Contagion: Evidence from Credit Default Swaps。Journal of Financial Economics,84(3),860-883。  new window
54.Jorion, Philippe、Zhang, Gaiyan(2009)。Credit Contagion from Counterparty Risk。Journal of Finance,64(5),2053-2087。  new window
55.Kisgen, Darren J.(2006)。Credit Ratings and Capital Structure。Journal of Finance,61(3),1035-1072。  new window
56.Lang, Larry H. P.、Stulz, René M.(1992)。Contagion and Competitive Intra-industry Effects of Bankruptcy Announcements。Journal of Financial Economics,32(1),45-60。  new window
57.Michalski, Tomasz、Ors, Evren(2012)。(Interstate) Banking and (interstate) trade: Does real integration follow financial integration?。Journal of Financial Economics,104,89-117。  new window
58.Micu, Marian、Remolona, Eli M.、Wooldridge, Philip D.(2004)。The price impact of rating announcements: Evidence from the credit default swap market。BIS Quarterly Review,2,55-65。  new window
59.Pérignon, Christophe、Vallée, Boris(2017)。The political economy of financial innovation: Evidence from local governments。Review of Financial Studies,30,1903-1934。  new window
60.Persson, Torsten、Tabellini, Guido(1996)。Federal fiscal constitutions: Risk sharing and moral hazard。Econometrica,64,623-646。  new window
61.Persson, Torsten、Tabellini, Guido(1996)。Federal fiscal constitutions: Risk sharing and redistribution。Journal of Political Economy,104,979-1009。  new window
62.Rangvid, Jesper、Santa-Clara, Pedro、Schmeling, Maik(2016)。Capital market integration and consumption risk sharing over the long run。Journal of International Economics,103,27-43。  new window
63.Schoenherr, David(2019)。Political connections and allocative distortions。Journal of Finance,74,543-586。  new window
64.Wu, Eliza、Erdem, Magdalena、Kalotychou, Elena、Remolona, Eli(2016)。The anatomy of sovereign risk contagion。Journal of International Money and Finance,69,264-286。  new window
65.Wu, Chunchi、Yeh, Chung-Ying、Yoo, Woongsun(2019)。What drives systemic state credit risk? Evidence from the State Credit Default Swap (CDS) Market。Journal of Fixed Income,28,5-45。  new window
66.Novy-Marx, Robert、Rauh, Joshua(2011)。Public Pension Promises: How Big Are They and What Are They Worth。Journal of Finance,66(4),1211-1249。  new window
67.Slovin, Myron B.、Sushka, Marie E.、Polonchek, John A.(1999)。An analysis of contagion and competitive effects at commercial banks。Journal of Financial Economics,54(2),197-225。  new window
研究報告
1.Glover, Brent Richards(2015)。Contagion in the European sovereign debt crisis。  new window
2.Mahmud, Ahmed S.、Basher, Syed A.、Balli, Faruk、Joshi, Sumit(2015)。Risk-sharing in federations: Theory and evidence。  new window
圖書
1.Andritzky, Jochen(2006)。Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings。Springer。  new window
 
 
 
 
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