اثر ثروت روی یک سیاست بدهی فرعی: شواهد از تصویب قانون گرام - لیچ ـ بیلی

Using an event study methodology which assumes that returns follow a GARCH (1,1) process, we estimate the wealth effects of a possible subordinated debt policy by examining the stock market reaction to the passage of the Gramm–Leach–Bliley (GLB) Act. A portfolio of banks with relatively high amounts of subordinated debt experienced positive and significant wealth effects associated with passage of the GLB. Portfolios made up of all banks, and those with no subordinated debt experience statistically insignificant wealth effects. We argue that these results suggest that policymakers should consider the use of subordinated debt as a way to enhance market discipline on banks.

In November 1999, Congress passed the Gramm–Leach–Bliley (GLB) Act, one of the most important pieces of banking legislation since the Great Depression. In addition to eliminating Glass–Steagall restrictions on commercial banks' affiliations with securities firms, the act also authorized banking organizations to offer insurance products and to engage in merchant banking activity. One of the likely consequences of the legislation is an acceleration of a trend evident in banking since the early 1980s—the consolidation of the industry. For example, in 1990, the 10 largest bank holding companies controlled 26% of all U.S. bank assets. By 2001, the top 10 organizations controlled almost 50% of industry assets.

The passage of the GLB Act of 1999 was one of the most significant pieces of banking legislation since the Great Depression. One feature of the legislation was its emphasis on the role of subordinated debt in enhancing market discipline on increasingly complex banking organizations. Due to risk-taking incentives in the federal safety net, banks may be tempted to pursue more risky activities than they might in the absence of government guarantees. A number of studies have argued that subordinated debt can provide effective market discipline on banks and supplement supervisory efforts to insure safety and soundness.