آیا دارندگان بدهی های فرعی وابسته، ریسک پذیری بانک را نظم می بخشند؟ مدارک و شواهد از تصمیم گیری های مدیریت ریسک

I test the market discipline of bank risk hypothesis by examining whether banks choose risk management policies that account for the risk preferences of subordinated debt holders. Using around 500,000 quarterly observations on the population of U.S. insured commercial banks over the 1995–2009 period, I document that the ratio of subordinated debt affects bank risk management decisions consistent with the market discipline hypothesis only when subordinated debt is held by the parent holding company. In particular, the subordinated debt ratio increases the likelihood and the extent of interest rate derivatives use for risk management purposes at bank holding company (BHC)-affiliated banks, where subordinated debt holders have a better access to information needed for monitoring and control rights provided by equity ownership. At non-affiliated banks, a higher subordinated debt ratio leads to risk management decisions consistent with moral hazard behavior. The analysis also shows that the too-big-to-fail protection prevents market discipline even at BHC-affiliated banks.

Market discipline refers to a mechanism through which the holders of uninsured bank claims, such as subordinated debt holders and uninsured depositors, can prevent banks from adopting a moral hazard behavior.1 Before the break out of the financial crisis, market discipline had been considered over a decade as a necessary complement to government bank regulation and supervision aiming at achieving the objective of safety and soundness of the banking system (Meyer, 1999). Several studies suggest that banks become mandated to issue subordinated debt on a regular basis in order to enhance the effectiveness of market discipline (e.g., Evanoff et al., 2007 and Niu, 2008). The recent financial crisis has, however, battered the belief in the effectiveness of markets to discipline bank risk, as many voices pointed to the failure of market mechanisms in preventing banks from taking excessive risks.

This paper studies the impact of a class of risky debt – subordinated debt – on the risk management decisions of commercial banks. I analyze this relation within an empirical setting that accounts for the endogeneity of the subordinated debt ratio and for the potential effect of the too-big-to-fail protection. I document strong evidence that the impact of subordinated debt on risk management decisions depends upon whether this debt is held by outside investors or by investors who also hold the bank's equity claims (the parent holding company). Specifically, at BHC-affiliated banks, additional subordinated debt leads to risk management decisions in line with the market discipline hypothesis. However, at non-affiliated banks, additional subordinated debt leads to risk management decisions in line with the moral hazard behavior.