استنباط اطلاعات از قیمت و مقدار سپرده S&L

This paper infers market information embedded in the price and quantity of S&L deposits. While previous empirical research typically treats the risk premium as the key element of deposit interest spread, subsidy-shifting theory suggests that deposit rates also contain a subsidy-shifting premium that arises from an institution’s eagerness to fund loan and investment opportunities that extract deposit-insurance subsidies. This paper examines the existence and the nature of both premiums and shows how regulators can use this information to make regulatory oversight more effective.

In principle, full and perfect deposit insurance eliminates depositor incentives to monitor and discipline bank risk taking. In this extreme case, the insurer assumes complete responsibility for measuring pricing and managing the risk exposures that bank activity passes onto insurance reserves. In practice, because coverages are partial and imperfect, supplementary risk-taking discipline is supplied by any depositor who feels exposed to loss. To a first approximation, the spread between the interest rates on particular deposit instruments and comparable Treasury yields is a risk premium that measures the extent of depositor discipline imposed on the institutions that issue them.

US regulators have expressed growing interest in the use of market information to enhance their ability to supervise deposit institutions. Market assessments can be used to identify problem institutions and to shorten the time lag for regulators to take corrective actions (Flannery, 1998). This paper provides a procedure to assess the condition of deposit institutions with deposit price and quantity data. While previous empirical research typically treats the risk premium as the key element of deposit interest spread, subsidy-shifting theory (Kane, 1985) suggests that deposit interest rates also contain a subsidy-shifting component that arises not from an institution’s riskiness per se, but from an institution’s eagerness to fund loan and investment opportunities that extract deposit-insurance subsidies. This paper examines the existence and the nature of the subsidy-shifting premium and compares its magnitude with that of the risk premium.