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首页> 外文期刊>Journal of economics and business >Subordinated debt as instrument of market discipline: Risk sensitivity of sub-debt yield spreads in UK banking
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Subordinated debt as instrument of market discipline: Risk sensitivity of sub-debt yield spreads in UK banking

机译：次级债作为市场纪律的工具：英国银行中次级债收益率差的风险敏感性

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摘要

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.
机译：本文通过实证检验了英国银行发行的次级债券收益率利差是否对银行风险敏感，该数据集包括1997年至2009年的样本期内的利差，评级，银行风险会计指标和市场状况指标。结果表明穆迪（Moody's）和标准普尔（S＆P）的传统评级对利差产生重大和负面影响，并且投资者对英国金融机构的不同风险状况进行了明智的区分。但是，会计方法表明价差没有解释力。市场状况指标，尤其是那些与欧洲市场有关的指标，也对信贷收益率价差产生重大影响。调查结果表明，在英国，次级债务利差确实反映了发行银行的冒险行为，因此满足了次级债务成为银行业市场纪律手段的关键先决条件。

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  • 来源
    《Journal of economics and business》 |2014年第mayajuna期|1-21|共21页
  • 作者

    Zhichao Zhang; Wei Song; Xin Sun; Nan Shi;

  • 作者单位

    Durham University Business School Mill Hill Lane, Durham University, Durham DH1 3LB, United Kingdom;

    Durham University Business School Mill Hill Lane, Durham University, Durham DH1 3LB, United Kingdom;

    Durham University Business School Mill Hill Lane, Durham University, Durham DH1 3LB, United Kingdom;

    Durham University Business School Mill Hill Lane, Durham University, Durham DH1 3LB, United Kingdom;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    UK banking industry; Market discipline; Subordinated debt; Yield spreads;

    机译：英国银行业;市场纪律;次级债务;收益率差;

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