Bank Fundamentals, Bank Failures and Market Discipline

Title: Bank Fundamentals, Bank Failures and Market Discipline: An Empirical Analysis for Emerging Markets During the Nineties

After the East Asian crisis, there has been a renewed interest in both academic and policy circles about the role that bank weaknesses play in contributing to systemic banking crisis. Even though, it has been recognized in the recent theoretical literature on banking crises that both macroeconomic and bank-level fundamentals have to be taken into account in the explanation of systemic banking crisis…

Author: Arena, Marco Antonio

Source: University of Maryland

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Contents

Chapter 1: Introduction
Chapter 2: Bank Fundamentals and Bank Failures
2.1 Review of the Theoretical and Empirical Literature
2.1.1 Review of the Theoretical Literature
2.1.2 Review of the Empirical Literature
2.2 Empirical Methodology
2.2.1 Definition of Failure
2.2.2 Stylized facts: Characteristics of Failed and Non-Failed Financial Institutions
2.2.3 Probability of Failure: Cross-Sectional Logit estimation
2.2.4 Conditional Probability of Failure: Survival Duration Analysis
2.2.5 Calculation of Propensity Scores: Measure of the Relative Contribution of Bank-Level Fundamentals
2.3 Data Sources
2.4 Variables
2.4.1 Bank-Level Fundamentals
2.4.2 Banking System Variables
2.4.3 Macroeconomic Variables
2.5 Empirical Evidence
2.5.1 Characteristics of Failed and Non-Failed Financial Institutions
2.5.2 Probability of Failure: Cross-Sectional Logit Estimation
2.5.3 Conditional Probability of Failure: Survival Duration Analysis
2.5.4 Calculation of Propensity Scores: Measure of the Relative Contribution of Bank-Level Fundamentals
Chapter 3: Bank Fundamentals and Market Discipline
3.1 Stylized Facts and Review of the Theoretical and Empirical Literature
3.1.1 Stylized Facts
3.1.2 Market Discipline Hypothesis
3.1.3 Review of the Empirical Literature
3.2 Empirical Methodology
3.3 Empirical Evidence
Chapter 4: Conclusions
Appendices
Appendix I: Description of the Logit and Survival Time Model
A. Logit Model
B. Survival Time Model
Appendix II: Description of Data Sample
Appendix III: List of Failed Financial Institutions
Appendix IV: Robustness Check Excluding Mergers and Acquisitions of the Definition of Failure
Appendix V: Description of the Generalized Methods of Moments (GMM)
Estimation
References

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