نظم و انضباط بازار، افشاگری و خطر اخلاقی در بانکداری

This paper examines empirically the hypothesis that market discipline is effective in providing incentives for banks to limit their risk of default, by holding capital buffers against adverse outcomes in portfolio risk. We have constructed a large cross-country panel data set consisting of observations on 729 individual banks from 32 different countries over the years 1993 to 2000. Theory implies that the strength of market discipline ought to be related to the extent of the government safety net, the observability of bank risk choices and to the proportion of uninsured liabilities in the bank's balance sheet. Using panel data techniques, we test whether these factors provide incentives for banks to hold larger capital buffers against adverse outcomes in portfolio risk. Our results suggest that government safety nets result in lower capital buffers and that stronger market discipline resulting from uninsured liabilities and disclosure results in larger capital buffers, all else equal. While our results therefore point to the effectiveness of market discipline mechanisms in general, we also find that the effect of disclosure and uninsured funding is reduced when banks enjoy a high degree of government support. Our results finally suggest that while competition leads to greater risk taking incentives, market discipline is more effective in curbing these incentives in countries where competition among banks is strong.

In recent years considerable attention has been paid to the topic of market discipline in banking. Market discipline refers to a market-based incentive scheme in which investors in bank liabilities, such as subordinated debt or uninsured deposits, “punish” banks for greater risk-taking by demanding higher yields on those liabilities. The reason market discipline is needed is that banks are prone to engage in moral hazard behaviour. Banks collect deposits and invest these funds in risky assets (loans). To safeguard against insolvency, banks hold capital buffers against adverse outcomes in their investments in risky assets (loan default). But the bank's private solvency target may not take into account the interests of depositors, nor of society as a whole. Market discipline is a mechanism that can potentially curb the incentive to take excessive risk, by making risk-taking more costly.

This paper examines empirically the hypothesis that market discipline is effective in providing incentives for banks to limit their risk of default, by holding capital buffers against adverse outcomes in portfolio risk. We analyse the effect of three sets of factors related to the strength of market discipline. These are (i) the degree of implicit bailout guarantees (support), (ii) the amount of uninsured liabilities in the bank's balance sheet (funding), and (iii) the degree of observability of the bank's risk choices (disclosure). In analysing these three sets of factors in a unified framework, this paper contributes to the existing literature in a number of ways. First, we assess whether implicit government support, as measured by the Fitch public support rating, exacerbates risk-taking incentives. In addition, we analyse whether uninsured (interbank) funding reduces risk-taking incentives. Finally, to our knowledge, this paper is the first to study empirically whether bank disclosure has any impact on risk-taking incentives.