Data and Code for: The Decline of Too Big To Fail

Principal Investigator(s): View help for Principal Investigator(s) Antje Berndt, Australian National University; Darrell Duffie, Stanford University; Yichao Zhu, Australian National University

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Project Citation:

Berndt, Antje, Duffie, Darrell, and Zhu, Yichao. Data and Code for: The Decline of Too Big To Fail. Nashville, TN: American Economic Association [publisher], 2025. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-03-07. https://doi.org/10.3886/E199621V1

Project Description

Summary: For globally systemically important banks (GSIBs) with US headquarters, we find significant reductions in market-implied probabilities of government bailout after the Global Financial Crisis (GFC), along with roughly 170% higher wholesale debt financing costs for these banks after controlling for insolvency risk. Since the GFC, bank creditors appear to expect much larger losses in the event that a GSIB approaches insolvency. In this sense, we estimate a decline of "too big to fail."

Scope of Project

Subject Terms: Too Big To Fail; Systemically Important Banks; Bailouts; Equilibrium Insolvency Timing; Structural Model Calibration; Panel Data Analysis

JEL Classification:
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G13 Contingent Pricing; Futures Pricing; option pricing
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
      G28 Financial Institutions and Services: Government Policy and Regulation

Geographic Coverage: United States

Universe: U.S. public firms

Data Type(s): event/transaction data; survey data

Methodology

Data Source: Wharton Research Data Services (WRDS)
Moody's Default and Recovery Database (DRD)
Moody's Annual Default Studies
SEC EDGAR
Federal Reserve Bank of New York
Board of Governors of the Federal Reserve System
Federal Reserve Economic Data (FRED)
Federal Financial Institutions Examination Council (FFIEC)

Unit(s) of Observation: Firm

Geographic Unit: U.S. public firms

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V1 [2025-03-07]

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