Sub-debt Yield Spreads as Bank Risk Measures

Journal of Financial Services Research

Volumn 20, Issue 2-3, 2001, Pages 121-145

  Evanoff, Douglas D ^a   Wall, Larry D ^b  

^a FEDERAL RESERVE BANK OF CHICAGO   (United States)

^b FEDERAL RESERVE BANK OF ATLANTA   (United States)

Author keywords

Bank capital; Bank regulation; Subordinated debt

Indexed keywords

EID: 0035597296     PISSN: 09208550     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1012408023269     Document Type: Article

References (35)

1. Allen, Jeffrey W., and John J. McConnell. "Equity Carve-Outs and Managerial Discretion." Journal of Finance 53 (1998), 163-186.
2. Benink, Harald A., and Reinhard H. Schmidt. "Towards a Regulatory Agenda for Banking in Europe." In: George G. Kaufman, ed., Bank Fragility and Regulation: Evidence From Different Countries and Different Times. Greenwich: JAI Press, 2000, pp. 25-52.
3. Benston, George J., and George G. Kaufman. "Risk and Solvency Regulation of Depository Institutions: Past Policies and Current Options." Salomon Brothers Center for the Study of Financial Institutions, Monograph Series in Finance and Economics, Monograph 1988-1, 1988.
4. Benston, George J., and George G. Kaufman. "Deposit Insurance Reform in the FDIC Improvement Act: The Experience to Date." Economic Perspectives, Federal Reserve Bank of Chicago, 22 (1998), 2-20.
5. Berger, Allen N., Sally M. Davies, and Mark J. Flannery. "Comparing Market and Regulatory Assessments of Bank Performance: Who knows what, when?" Journal of Money, Credit and Banking 32 (2000), 641-667.
6. Billet, Matthew, and Anand Vijh. "Long-term Returns from Tracking Stocks." University of Iowa, mimeo, 2000.
7. Bliss, Robert R., and Mark J. Flannery. "Market Discipline in the Governance of U.S. Bank Holding Companies: Monitoring vs. Influencing." In: Frederic S. Mishkin, ed., Prudential Supervision: What Works and What Doesn't? NBER Press. Forthcoming 2001.
8. Calomiris, Charles W. "The Postmodern Bank Safety Net: Lessons from Developed and Developing Countries." American Enterprise Institute for Public Policy Research, Washington, 1997.
9. Calomiris, Charles W. "Blueprints for a New Global Financial Architecture." American Enterprise Institute for Public Policy Research, Washington, 1998.
10. Cole, Rebel A., and Jeffery W. Gunther. "Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems." Journal of Financial Services Research 13 (1998), 103-117.
11. Covitz, Daniel M., Diana Hancock, and Myron L. Kwast. "Market Discipline, Banking Organizations and Subordinated Debt." Paper presented at the 2000 Global Finance Association Meetings, April 21, 2000, Chicago.
12. D'Souza, Julia, and John Jacob. "Why Firms Issue Targeted Stock." Journal of Financial Economics 56 (2000), 459-483.
13. Estrella, Arturo, Sangkyun Park, and Stravros Perstiani. "Capital Ratios as Predictors of Bank Failure." Economic Policy Review, Federal Reserve Bank of New York, 6 (2000), 33-52.
14. Evanoff, Douglas D., and Larry D. Wall. "Subordinated Debt and Bank Capital Reform." In: George G. Kaufman, ed., Bank Fragility and Regulation: Evidence From Different Countries and Different Times. Greenwich: JAI Press, 2000a, pp. 53-120.
15. Evanoff, Douglas D., and Larry D. Wall. "The Role of Sub-debt in Bank Safety and Soundness Regulations." In: Proceedings of a Conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 2000b, pp. 480-493.
16. Evanoff, Douglas D., and Larry D. Wall. "Sub-debt as Bank Capital: A Proposal for Regulatory Reform." Economic Perspectives, Federal Reserve Bank of Chicago, 25 (2000c), 40-53.
17. Ferguson, Roger W. Jr. "Evolution of Financial Institutions and Markets: Private and Policy Implications." Speech presented at New York University, New York, February 25, 1999.
18. Flannery, Mark J., and Sorin M. Sorescu. "Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983-1991." The Journal of Finance 51 (1996), 1347-1377.
19. Gilbert, R. Alton, Andrew P. Meyer, and Mark D. Vaughan. "The Role of Supervisory Screens and Econometric Models in Off-Site Surveillance." Economic Review, Federal Reserve Bank of St. Louis (1999), 31-55.
20. Goodman, Leo A., and William H. Kruskal. "Measures of Association for Cross Classifications, IV: Simplification of Asymptotic Variances." Journal of the American Statistical Association 67 (1972), 415-421.
21. Gunther, Jeffery W., and Robert R. Moore. "Early Warning Models in Real Time." Financial Industry Studies Working Papers, Federal Reserve Bank of Dallas, WP-1-00 (2000).
22. Hancock, Diana, and Myron L. Kwast. "Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?" Journal of Financial Services Research (2001).
23. Jagtiani, Julapa, George Kaufman, and Catharine Lemieux. "Do Markets Discipline Banks and Bank Holding Companies? Evidence From Debt Pricing." Journal of Financial Research, forthcoming (2001).
24. Jones, David S. "Emerging Problems with the Basel Capital Accord: Regulatory Capital Arbitrage and Related Issues." Journal of Banking and Finance 24 (2000), 35-58.
25. Kane, Edward J. The Gathering Crisis in Federal Deposit Insurance. Cambridge, MA: MIT Press, 1985.
26. Klein, April, James Rosenfeld, and William Beranek. "The Two Stages of an Equity Carve-Out and the Price Response of Parent and Subsidiary Stock." Managerial and Decision Economics 12 (1991), 449-460.
27. Kwast, Myron L., Daniel M. Covitz, Diana Hancock, James V. Houpt, David P. Adkins, Norah Barger, Barbara Bouchard, John F. Connolly, Thomas F. Brady, William B. English, Douglas D. Evanoff, and Larry D. Wall. "Using Sub-debt as an Instrument of Market Discipline." Report of a study group on subordinated notes and debentures, Board of Governors of the Federal Reserve System (M. Kwast, chair), Staff Study, no. 172 (1999).
28. Meyer, Laurence H. "Market Discipline as a Complement to Bank Supervision and Regulation." Speech before the Conference on Reforming Bank Capital Standards, Council on Foreign Relations, New York, June 14, (1999).
29. Moskow, Michael H. "Regulatory Efforts to Prevent Banking Crises." In: G. Caprio, W. C. Hunter, G. G. Kaufman et al., ed., Preventing Bank Crises: Lessons from Recent Global Bank Failures. Washington D.C. World Bank, 1998, pp. 13-26.
30. Pettway, Richard H., and Joseph F. Sinkey, Jr. "Establishing On-Site Bank Examination Priorities: An Early-Warning System Using Accounting and Market Information." Journal of Finance 35 (1980), 137-50.
31. Shumway, Tyler. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model." Journal of Business 74 (2001), 101-124.
32. Smirlock, Michael. "Evidence on the (Non) Relationship between Concentration and Profitability in Banking." Journal of Money, Credit, and Banking 17 (1985), 69-83.
33. Smirlock, Michael, Thomas Gilligan, and William Marshall. "Tobin's q and the Structure-Performance Relationship." American Economic Review 74 (1984), 1051-1060.
34. U.S. Shadow Regulatory Committee. Reforming Bank Capital Regulation. Washington D.C.: The AEI Press, 2000.
35. White, Lawrence J. "The Lessons of the 1980s for Bank Regulation: An Overview of the Overview." In: History of the Eighties: Lessons for the Future, Volume II. Washington D.C.: Federal Deposit Insurance Corporation, 1997.