مرثیه ای برای نظم و انضباط بازار و شبح TBTF در بانکداری ژاپنی

This study examines the reaction of private market participants to the enhancement of the “Too-Big-To-Fail” (TBTF) doctrine in the Japanese banking sector. The event justifying the use of the “TBTF” label occurred on May 17th, 2003, when the Japanese government decided to bailout Resona Holdings, the 5th largest financial group in the country. By using a sample of all Japanese listed banks and the standard event study methodology, we document significant and positive wealth effects in the stock market accruing to large banks and negative (though non-significant) effects accruing to smaller banks. Besides the effect on bank equity values, we also document a significant abnormal volume of trading on days following the bailout announcement date for the largest banks only. We extend our empirical analysis on stock prices and trading volumes by detecting a significant impact in the Credit Default Swap (CDS) market. This last result allows us to quantify, in a probabilistic sense, the effects of TBTF in addition to uncovering the mere presence of such a regulatory policy.

The “Too-Big-To-Fail” (TBTF) doctrine is an old but still actual topic in banking and a matter of great concern to bank regulators and supervisors around the world. From an historical perspective, the genesis of the TBTF doctrine is closely related to the Continental Illinois crisis of September 1984, when the nation's seventh largest bank was bailed out by the US government. The uninsured depositors and other creditors of both the bank and its financial parent were completely protected against the risk of loss and, at least initially, the shareholders were not wiped out. C.T. Conover, the Comptroller of the Currency at the time defended the use of public funds in the resolution process by acknowledging that the US regulators would be unable to let the largest banks in the country fail. His statement was perceived in the banking community as a clear confirmation that large (TBTF) banks will receive an inherently different treatment than smaller ones in case of financial distress.2

Previous empirical studies using Japanese stock market data document that, after the collapse of large banks and securities firms at the end of the nineties, the monitoring of private investors efficiently translates into informative prices, which could be used as early-warning signals to complement regulatory discipline. By reviewing the earlier empirical literature using pre-2000 data, Genay (1999) concludes that market discipline on Japanese banks is … “alive and well.” The empirical evidence presented in this paper suggests that this overall optimistic view on the functioning and virtues of market discipline in Japanese banking may no longer be valid in the post-Resona period.