Market discipline under systemic risk evidence from bank runs in emerging economies
Market discipline under systemic risk: evidence from bank runs in emerging economies

"Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. Firs...

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Bibliographische Detailangaben
1. Verfasser: Levy Yeyati, Eduardo 1965- (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: [Washington, D.C] World Bank 2004
Schriftenreihe:Policy research working paper 3440
Schlagworte:
Bank failures
Capital market
Risk management
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Zusammenfassung:"Levy-Yeyati, Martinez Peria, and Schmukler show that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions can directly threaten the value of deposits by way of dual agency problems. Second, to the extent that banks are exposed to systemic risk, systemic shocks lead to a future deterioration of fundamentals not captured by their current values. Using data from the recent banking crises in Argentina and Uruguay, the authors show that market discipline is indeed quite robust once systemic risk is factored in. As systemic risk increases, the informational content of past fundamentals declines. These episodes also show how few systemic shocks can trigger a run irrespective of ex-ante fundamentals. Overall, the evidence suggests that in emerging economies, the notion of market discipline needs to account for systemic risk. This paper--a product of the Finance Team, Development Research Group--is part of a larger effort in the group to study market discipline"--World Bank web site
Beschreibung:Includes bibliographical references. - Title from PDF file as viewed on 10/29/2004
Erscheinungsjahr in Vorlageform:[2004]
Weitere Ausgabe: Levy Yeyati, Eduardo: Market discipline under systemic risk
Beschreibung:1 Online-Ressource
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