وابستگی بدهی ها به عنوان ابزار نظم بازار:گسترش بازده زیربدهی حساسیت ریسک در بانکداری بریتانیا

This paper empirically examines whether yield spreads of subordinated debt issued by UK banks are sensitive to bank risks, with a dataset that includes spreads, ratings, accounting measures of bank risks and market condition indexes in the sample period between 1997 and 2009. The results show that Moody's and S&P traditional ratings have significant and negative impacts on spreads, and investors have exercised sensible discrimination between different risk profiles of UK financial institutions. However, accounting measures show an absence of the explanatory power of the spreads. Market condition indicators, particularly those related to European markets, also have significant influence on credit yield spreads. The findings indicate that, in the UK, sub-debt spreads do reflect the issuing banks’ risk-taking, hence satisfying a critical precondition for sub-debts to be an instrument of market discipline in banking.

The financial crisis has exposed underlying deficiencies of the current banking supervision. The growing size and complexity of banks makes it increasingly difficult for regulators to monitor and control banks’ excessive risk-taking through traditional means. Policy designs such as the deposit insurance scheme and the too-big-to-fail problem as highlighted by government bailouts in recent years further compound the situation. This leads to rekindled interests in considering involving market discipline in reform of bank regulation (Evanoff, Jagtiani, & Nakata, 2011).

Success of the sub-debts as an instrument of market discipline is crucially dependant on whether the spreads between yields on sub-debts and on the corresponding Treasury bills are correlated with banks’ risk-taking. If they are found to be related, the sub-debt spreads contain useful information about financial conditions of the bank and market participants can adjust their investment in the bank accordingly. Using a sample that covers 631 issues of sub-debts by UK banks during 1997–2009, we investigate the risk-spread relationships in the UK banking industry. We find that the UK banks’ sub-debt spreads co-vary with risk measures assigned by traditional rating agencies. Particularly for Moody and S&P ratings, when ratings worsen, spreads rise, and vice versa. Furthermore, sub-debt investors seem to have rational discriminations between different risk profiles of UK credit institutions. However, some accounting measures of bank risks show an absence of explanatory power of the spreads, hence there is a lack of evidence that the spreads reflect the risk indicators in terms of accounting measures. Market conditions, especially European market indicators, have a significant impact on the yield spreads.