نظم و انضباط بازار و ارزیابی اوراق قرضه مالی یورو. تجزیه و تحلیل تجربی

Within the context of the increasing discussion on a shift in financial regulatory philosophy from the currently prevailing rules-based approach to a more incentive-based supervisory procedure in which market discipline should play a decisive role in overcoming several moral hazard and efficiency problems of the financial system, the question regarding the evaluation of financial bonds has gained an important dimension. Such a disciplining market influence could namely be exercised if financial institutions were obliged to issue subordinated bonds on a regular basis (mandatory subordinated debt policy). However, the influence of market discipline will only be effective if the evaluation of different subordinated (and other) bonds occurs in a differentiated manner and dependent on the inherent risks. This study provides findings, on the basis of which this requirement for the Euro financial bond market can be regarded as fulfilled.

The new capital requirements for credit institutions (Basle II) represent the most significant changes in bank supervisory laws since the implementation of the Basle Accord in 1988 (Deutsche Bundesbank, 2004). The main component of the new ruling system are the modified minimum capital requirements, which are to bring necessary regulatory capital more in line with the factual risk profile of the banks (Pillar I). A further element of the extensive new supervisory system which is not so much in the focus of public discussion, is represented in Pillar III, which aims to activate market forces by increasing disclosure requirements and transparency standards for banks. This goal of integrating market discipline as an important pillar in regulation will be further pursued via a planned reform of the EU supervisory laws for insurances (Solvency II).1 According to Lane (1993), market discipline in this context means that market participants send out signals which force financial institutions to adopt solvency consistent behavior.

In this study, the evaluation link between credit spreads of Euro financial bonds and various influencing factors were examined via an econometric panel analysis. Within the increasing discussion regarding the shift in regulatory approach from the currently prevailing rules-based process to a more incentive-based supervision design, in which market discipline should play a pivotal role in overcoming some moral hazard and efficiency problems of the financial system, the question of the evaluation of financial bonds gains a further dimension. One such disciplinary market influence could namely come from a regulatory requirement for financial institutions to issue subordinated bonds on a regular basis (mandatory subordinated debt policy). The influence of market discipline will however only be effective if the evaluation of different subordinated (and other) bonds is carried out in a differentiated manner and dependent on the inherent risks.31 This study provided findings, on the basis of which this requirement for the Euro financial bond market can be regarded as fulfilled. Firstly, during the time-period of the study, issue specific and fundamental-systematic factors explain the largest part of the observed credit spread variation. Secondly, analyses of the factor coefficients document significant risk sensitivity over time, which substantially increases particularly during turbulent financial market phases. Thirdly, evaluation comparisons with Euro industrial bonds demonstrate that individual credit quality is significantly more important for financial bonds.