Change in market assessments of deposit-institution riskiness

Kane, Edward J.; Ünal, Haluk

doi:10.1007/bf00114851

Cited by 145 publications

(95 citation statements)

References 28 publications

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“…Most of the literature uses long-term interest rates because they incorporate the future expectations of economic agents and they determine the corporate borrowing cost, so they have a lot of influence on the investment decisions of firms and, finally, they affect the value of companies. Besides, I have used the total variations in long-term interest rates to capture unanticipated changes in interest rates (Sweeney and Warga, 1986, Kane and Unal, 1988, Bartram, 2002and Oertmann et al, 2000.…”

Section: Unexpected Changes In Nominal Interest Ratesmentioning

confidence: 99%

Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model

Jareño¹

2008

Applied Economics

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Section: Unexpected Changes In Nominal Interest Ratesmentioning

confidence: 99%

Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model

Jareño¹

2008

Applied Economics

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“…While other studies have used an orthogonalized framework [e.g. Flannery and James (1984)], these procedures have been shown to produce biased standard error estimates [Giliberto (1985), Kane and Unal (1988)]. …”

Section: Event Study Methodologymentioning

confidence: 99%

The impact of Japan's financial stabilization laws on bank equity values

Spiegel

Yamori

2003

Journal of the Japanese and International Economies

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In the fall of 1998, two important financial regulatory reform acts were passed in Japan. The first of these acts, the Financial Recovery Act, created a bridge bank scheme and provided funds for the resolution of failed banks. The second act, the Rapid Revitalization Act, provided funds for the assistance of troubled banks. While both of these acts provided some government assistance to the banking sector, they also called for reforms aimed at strengthening the regulatory environment.Using an event study framework, this paper examines the evidence in equity markets concerning the anticipated impact of the regulatory reforms. Our evidence suggests that the Financial Recovery Act was expected to hurt large banks, while the anticipated impact of the act by financial strength was mixed. In contrast, the anticipated impact of the Rapid Revitalization Act was expected to be unambiguously anti-reform, as news favorable to its passage disproportionately favored large and weak Japanese banks. JEL classification numbers: G21, G28

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“…This literature, however, considers only the drivers of equity risk measures, i.e. systematic risk proxied by beta coefficient; idiosyncratic risk; total risk (bank equity return standard deviation); interest rate risk (interest rate beta) -see: Kane and Unal [1988], Flannery and James [1984] and Haq and Heaney [2012]) -and credit risk (measured as loan loss provisions divided by total assets), and is not interested in analysing the differences in the levels of leverage. In the same vein, Haq and Heaney [2012] find mixed evidence on the relation between bank specific factors and bank risk measures in 15 European countries.…”

Section: Related Literaturementioning

confidence: 99%

Macro- And Microprudential Regulations and Their Effects on Procyclicality of Solvency and Liquidity Risk

Olszak¹,

Kowalska²

2017

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu

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Summary: This paper aims to identify the effect of macroprudential policies and microprudential regulations and their interactions on the sensitivity of leverage and liquidity funding risk to the business cycle. Analysing the sample of 782 banks we find that both macroprudential and microprudential instruments have insignificant impact on the procyclicality of leverage in the non-crisis period. Macroprudential instruments decrease the procyclicality of liquidity risk during the non-crisis period and increase the procyclicality of leverage during the crisis. Restrictions on the range of activities conducted by banks reduce the procyclicality of liquidity risk during the non-crisis period. Interaction between the macroprudential instruments targeted at risk-taking by borrowers and restrictions on the range of activities taken by banks has been found to be effective in reducing the procyclicality of leverage during the crisis period.Keywords: leverage, liquidity, procyclicality, macroprudential policy, microprudential regulations.Streszczenie: Celem artykułu jest określenie, w jaki sposób instrumenty polityki makroostrożnościowej i wybrane regulacje mikroostrożnościowe oraz ich interakcje wpływają na wrażliwość dźwigni i ryzyka płynności na makroekonomiczny cykl koniunkturalny. Przeprowadzona analiza na populacji 782 banków wskazuje, że zarówno instrumenty makroostrożnościowe, jak i regulacje mikroostrożnościowe mają nieistotny ekonomicznie wpływ na procykliczność dźwigni podczas okresu bez kryzysu. Instrumenty makroostrożnościowe ograniczają procykliczność ryzyka płynności w okresie bez kryzysu i powodują wzrost procykliczności dźwigni podczas kryzysu. Regulacje ograniczające zakres czynności wykonywanych przez banki ograniczają procykliczność ryzyka płynności w okresie bez kryzysu. Związki interakcyjne między instrumentami makroostrożnościowymi ograniczającymi ry- 202Małgorzata Olszak, Iwona Kowalska zyko kredytobiorcy i regulacjami ograniczającymi zakres czynności wykonywanych przez banki są skuteczne w redukcji procykliczności dźwigni w okresie kryzysu.Słowa kluczowe: dźwignia, płynność, procykliczność, polityka makroostrożnościowa, regulacje mikroostrożnosciowe.

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Change in market assessments of deposit-institution riskiness

Cited by 145 publications

References 28 publications

Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model

Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model

The impact of Japan's financial stabilization laws on bank equity values

Macro- And Microprudential Regulations and Their Effects on Procyclicality of Solvency and Liquidity Risk

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