Мулюкова Эльвира Борисовна
Influence of Bank License Revocation on the Russian Bank Bond Market
Current research is dedicated to understanding of how does a bank license revocation influence g-spread of Russian bank bonds. Novelty of the question is explained by the investigation of the developing Russian bank bond market's peculiarities under “cleanup” conditions. The research methodology is based on using multivariate linear regressions (fixed effects, random effects, pooled). Data sample includes 290 issues of bonds and 205356 observations excluding Sberbank, VTB, and missing in the Cbonds base bonds. The period of analysis is from 8 April 2013 to 1 January 2019. The study reveals that a revocation of a bank license does matter for the g-spread of the bonds by increasing it. Furthermore, gamble for resurrection and pull to maturity effects are discovered too.