CEF.UP – FIN Seminar/Webinar

Thursday – April 18^th, 2024 at 1:00 p.m. | Room 305| Online

“The Information Content of Central Bank Disclosures: Firm-level Evidence from Eurosystem Collateral Haircuts”

Aytekin Ertan – London Business School (England, United Kingdom)

Abstract:

“This paper explores firm-specific central bank disclosures, specifically the Eurosystem’s collateral haircuts on nonfinancial corporate bonds. Our findings reveal that updates to collateral haircuts by central banks are significant: they not only trigger reactions in debt capital markets, but also predict future changes in issuers’s credit ratings and overall financial health. Our analysis further highlights that impact of these haircut revisions is more pronounced among riskier issuers, firms with bank debt, and in periods of greater uncertainty. Overall, our study underscores the relevance of firm-specific central bank information and provides new insights into the role of collateral haircut policies in the financial landscape.”