دانلود مقاله ISI انگلیسی شماره 40953
عنوان فارسی مقاله

سهم نسبی حقوق صاحبان سهام و سیگنال های تابع بدهی به عنوان پیش بینی پریشانی بانک در طول بحران مالی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
40953 2015 20 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
The relative contributions of equity and subordinated debt signals as predictors of bank distress during the financial crisis ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Financial Stability, Volume 16, February 2015, Pages 118–137

کلمات کلیدی
نظارت بانک - بحران مالی - سیگنال های بازار - فرکانس پیش فرض قابل انتظار - وام تبعی - نسبت تگزاس
پیش نمایش مقاله
پیش نمایش مقاله سهم نسبی حقوق صاحبان سهام و سیگنال های تابع بدهی به عنوان پیش بینی پریشانی بانک در طول بحران مالی

چکیده انگلیسی

Bank supervisors utilize early warning signals to predict which banks are likely to become distressed. Previous research has found that market discipline signals do not significantly improve out-of-sample forecasts relative to accounting-based signals. Most of that evidence, however, comes from periods in the 1990s when the U.S. economy and banking system were healthy, potentially neutralizing an advantage of market signals to incorporate new information quickly. For the period between the fourth quarters of 2006 and 2012, we assess the accuracy of two market signals – expected default frequency (EDF) and subordinated note and debenture (SND) yield spreads – relative to accounting-based signals in forecasting which publicly traded BHCs would become distressed. In 2008, EDF signals were relatively more accurate, but they did not lead to economically significant reductions in missed distress events relative to other signals. Supervisors would have been better off devoting slack resources to monitor BHCs with high commercial real estate concentrations. As the crisis subsided, a failure probability model developed from bank failures in the 1980s and early 1990s was consistently the most accurate signal. For the two dozen BHCs with actively traded SNDs, yield spreads over Treasuries were extremely poor predictors of distress because the spreads were distorted by too-big-to-fail subsidies. The Tier 1 leverage ratio was the most accurate distress signal for these large BHCs. In sum, the evidence to justify systematic reliance on market signals by supervisory agencies to forecast bank distress remains weak.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.