انضباط بازار و ارزیابی مالی یورو اوراق قرضه تجزیه و تحلیل تجربی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|5207||2010||14 صفحه PDF||سفارش دهید||6879 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Research in International Business and Finance, Volume 24, Issue 3, September 2010, Pages 315–328
Within the context of the increasing discussion on a shift in financial regulatory philosophy from the currently prevailing rules-based approach to a more incentive-based supervisory procedure in which market discipline should play a decisive role in overcoming several moral hazard and efficiency problems of the financial system, the question regarding the evaluation of financial bonds has gained an important dimension. Such a disciplining market influence could namely be exercised if financial institutions were obliged to issue subordinated bonds on a regular basis (mandatory subordinated debt policy). However, the influence of market discipline will only be effective if the evaluation of different subordinated (and other) bonds occurs in a differentiated manner and dependent on the inherent risks. This study provides findings, on the basis of which this requirement for the Euro financial bond market can be regarded as fulfilled
The new capital requirements for credit institutions (Basle II) represent the most significant changes in bank supervisory laws since the implementation of the Basle Accord in 1988 (Deutsche Bundesbank, 2004). The main component of the new ruling system are the modified minimum capital requirements, which are to bring necessary regulatory capital more in line with the factual risk profile of the banks (Pillar I). A further element of the extensive new supervisory system which is not so much in the focus of public discussion, is represented in Pillar III, which aims to activate market forces by increasing disclosure requirements and transparency standards for banks. This goal of integrating market discipline as an important pillar in regulation will be further pursued via a planned reform of the EU supervisory laws for insurances (Solvency II).1 According to Lane (1993), market discipline in this context means that market participants send out signals which force financial institutions to adopt solvency consistent behavior. A possible concrete instrument which utilizes this disciplining market force for the aim of financial supervision is the regulatory obligation to issue subordinated bonds on a regular basis (so-called mandatory subordinated debt policy) (see e.g. Board of Governers of the Federal Reserve System, 1999 and Calomiris, 1999). Such an obligation could have an intentional influence on the incentive structure of financial institutions, since an aggressive firm policy or deterioration of the credit quality could lead to higher return claims by the bondholders, which in turn would suggest a substantial rise of the refinancing costs. Overall, the disciplining market influence would then be effective if the evaluation of subordinated (and other) bonds is carried out in a differentiated manner and dependent on the inherent risks. Whether this implicit assumption is justified will be empirically examined in this paper for the Euro financial bond market. A further motivation for this study is the fact that in the past, empirical examinations on the valuation of bonds were predominantly focused on financial instruments of industrial firms (see Foerster and Sapp, 2005, p. 1). In contrast, shares or bonds of financial institutions were frequently excluded from analysis.2 Therefore, this paper will enable a direct comparison between the evaluation of Euro industrial and financial bonds by using the research design (period and analytical methods) of the study conducted by Nelles and Menz (2007), who exclusively investigated the Euro industrial bond market. This paper provides the following results. Firstly, issue specific and fundamental-systematic factors explain the largest part of the observed credit spread variation. Secondly, analyses of the factor coefficients document significant risk sensitivity over time, which substantially increases particularly during turbulent market phases. However, we also find signs of insufficient risk anticipation by investors. Thirdly, comparisons with Euro industrial bonds demonstrate that individual credit quality is significantly more important for financial bonds. The structure of the paper is as follows. In Section 2, the concept of market discipline will be discussed and the instruments for the utilization of this supplementary regulatory pillar will be presented. In Section 3, the relevant issue characteristics of financial bonds will be described. Further fundamental-systematic determinants are the topic of discussion in Section 4. Subsequently, the study design will be elucidated and an empirical analysis conducted (Section 5). A critical appraisal and summary of the findings will be presented in Section 6.
نتیجه گیری انگلیسی
In this study, the evaluation link between credit spreads of Euro financial bonds and various influencing factors were examined via an econometric panel analysis. Within the increasing discussion regarding the shift in regulatory approach from the currently prevailing rules-based process to a more incentive-based supervision design, in which market discipline should play a pivotal role in overcoming some moral hazard and efficiency problems of the financial system, the question of the evaluation of financial bonds gains a further dimension. One such disciplinary market influence could namely come from a regulatory requirement for financial institutions to issue subordinated bonds on a regular basis (mandatory subordinated debt policy). The influence of market discipline will however only be effective if the evaluation of different subordinated (and other) bonds is carried out in a differentiated manner and dependent on the inherent risks.31 This study provided findings, on the basis of which this requirement for the Euro financial bond market can be regarded as fulfilled. Firstly, during the time-period of the study, issue specific and fundamental-systematic factors explain the largest part of the observed credit spread variation. Secondly, analyses of the factor coefficients document significant risk sensitivity over time, which substantially increases particularly during turbulent financial market phases. Thirdly, evaluation comparisons with Euro industrial bonds demonstrate that individual credit quality is significantly more important for financial bonds. However, the results also substantiate that risk premiums of financial bonds evidently react only shortly prior to the occurrence of financial system problems. Even as these problems evolved into a crisis, risk premiums rose only gradually. This suggests an insufficient risk anticipation by investors, which above all applies to the recent financial market crisis. The problems of the US housing market in particular, which have been widely regarded as a catalyst for this development, have already been discussed since the spring of 2005 (Welfens, 2007). Consequently, the foreseeable risks for financial institutions and the entire financial system have been ignored for too long. Nevertheless, this market crisis reveals how important bond markets generally are for the functioning of the financial system and the exercise of market discipline. Whereas the money market only functioned as a vehicle for market discipline to a limited extent, financial institutions were able to refinance even large amounts of money via the bond market—but undoubtedly with higher risk premiums.