نظم و انضباط بازار از ریسک بانکی: شواهدی از قراردادهای بدهی های فرعی

Do bank debtholders discipline excessive risk taking? I investigate this question by examining how a bank's incentives to take risks affect offering yield spreads and restrictive covenants in their debt contracts. Results suggest that bank charter values, which determine a bank's risk-taking incentives, significantly affect the likelihood of restrictive covenants in bank debt contracts. This effect was most pronounced during the 1980s, when greater competition and relatively less-stringent regulation increased the severity of moral hazard problems in the US banking industry. Overall, the results suggest that an important channel for market investors to discipline bank risk taking is through writing restrictive covenants in bank debt.

Recent banking reform proposals advocate the provision of private efforts in monitoring and controlling bank risk as being more effective than direct regulatory oversight. The Basel Committee on Banking Supervision, for example, designates market discipline as one of the three pillars of future financial regulation. By appealing to market discipline, several of these proposals require mandated issuance of subordinated debt because such debt provides direct discipline if yields are positively correlated with bank risk measures.1 Anticipating higher funding costs from increased bank risk, banks have the incentive to prudently manage risk taking.2 Moreover, subordinated debt provides indirect discipline if the information contained in secondary market prices helps in the supervisory process. A key question is whether or not market investors in subordinated bank debt can and will effectively assess and control the risk-taking incentives of banks.

The current bank regulatory policy debate is increasingly focused on whether subordinated debtholders can effectively monitor banks' risk-taking incentives. The existing literature mostly examines correlations between spreads on actively traded bank debt and accounting and market risk measures and offers inconclusive evidence. Instead of searching for subordinated debt discipline only in yield spreads, I additionally examine restrictive covenants in bank debt contracts, which represents an alternative channel through which debtholders can discipline bank risk taking. Evidence in this paper supports the hypothesis that banks with greater risk-taking incentives include more restrictive covenants in their debt contracts. Bank charter values, which determine a bank's incentives to engage in risk taking, significantly negatively affect the likelihood of restrictive covenants in bank debt contracts.