آیا نظم و انضباط در بازار برای موسسات مالی غیر بانکی نیوزیلند وجود دارد؟

This paper studies effects of market discipline on the pricing of term deposit type investment products issued by New Zealand Non-Bank Financial Institutions (NBFIs) and how risk disclosure by NBFIs affects this relationship. While we find that more risky NBFIs indeed have to offer higher interest premiums, it is remarkable that investors do not appear to reward NBFIs for disclosure by accepting lower interest rates for better transparency. We attribute this unexpected result to possible limitations of a purely prospectus based disclosure quality index developed for this study or the inherent opaqueness of financial firms which cannot be overcome by even the best of disclosure [as argued by Morgan D.P., 2002. Rating banks: risk and uncertainty in an opaque industry. The American Economic Review 92 (4), 874–888].

The concept of market discipline is a topic much has been written about in recent times, both in the form of academic research and in the financial press. One could define it as the power of markets to exercise a disciplinary force on the risk-taking behaviour of firms and in the context of this paper of financial institutions in particular. Not surprisingly, such support is welcome to market supervisors as they are engaged in continuously adapting their regulatory framework to unrelenting product and service innovations in the financial industry. A consequence is that the new Basel Capital Accord now explicitly includes the notion of fostering market discipline, mainly through better disclosure, as one of its three supervisory pillars (BCBS, 2004).

This paper presents strong evidence that the market indeed appears to have a disciplinary effect on NBFIs. This initial result leads to the obvious question whether this risk premium adequately compensates investors for the incremental risk taken. Given that no meaningful default statistics exist for the NBFI sector in New Zealand, one would probably have to rely on default probabilities that have been found in comparable markets. The second significant result of this research is that investors do not seem to reward firms for good disclosure quality. We have elaborated on potential causes of such a missing link in the previous section. All in all, one may have to redefine and possibly expand the scope of what constitutes disclosure to NBFI investors. An alternative approach would be to search for quantity effects as opposed to price effects studied here. Akerlof's (1970) market model for “lemons” would predict that NBFIs with poor disclosure should find it more difficult to attract such deposits.