آیا بازار بانک را منظم میکند؟ شواهد جدید از ترکیب سرمایه قانونی

While bank capital requirements permit a bank to freely substitute between equity and subordinated debt, lenders and investors view debt and equity as imperfect substitutes. It follows that, after controlling for the level of regulatory capital, the mix of debt in capital isolates the role that the market plays in disciplining banks. I document that the mix of debt in capital affects bank behavior, but only when investors can impose real constraints. In particular, the mix of debt reduces the probability of failure and future distress for BHC-affiliated institutions (where the investor has control rights through an equity position) and for stand-alone banks before the Basel Accord (when debt issues included restrictive covenants). However, substituting equity for subordinated debt at the bank holding company level or in stand-alone banks since the Basel Accord (where the investor has few protections) only increases the probability of distress and failure.

Economists and bank regulators have recently shown great interest in involving the market more in the supervision of banks, particularly through the use of mandatory subordinated debt requirements. A proposal by a group of economists at the American Enterprise Institute (1999) recommended to the Basel Committee on Bank Supervision that the current risk-based capital framework be scrapped and replaced by tougher leverage requirements, part of which would be met through the issue of subordinated debt. Recently, Evanoff and Wall (2000) have proposed adding a mandatory subordinated debt requirement to the current risk-based capital regime, where institutions regularly roll over short-term debt. The potential for market discipline created by subordinated debt has also been considered extensively in a Staff Study by the Board of Governors of the Federal Reserve System (1999). Moreover, the third pillar of the Revised Basel Accord is predicated on market discipline through increased transparency and disclosure.

This paper studies the impact of plausibly exogenous changes in leverage on the future outcomes of banks and bank holding companies. I am able to isolate the impact of the market on the behavior of these institutions by exploiting a zone of indifference that regulators have about the mix of subordinated debt in regulatory capital. I document strong evidence that investors are able to discipline banks, but only when they have control over bank behavior, either through restrictive covenants or an equity position in the bank. These results highlight two important policy issues. First, there is robust evidence that the issuance of debt capital by a subsidiary bank only improves the future outcomes of the institution. Distressed subsidiaries with debt are less likely to fail and more likely to recover, and healthy subsidiaries with debt capital have better outcomes than healthy subsidiaries without debt. It follows that forcing a parent to take both debt and equity positions in a subsidiary should mitigate incentives for moral hazard, and improve the future outcomes of the institution.