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...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C]
World Bank
[2004]
|
| Schriftenreihe: | Policy research working paper
3440 |
| Schlagworte: | |
| Online-Zugang: | BSB01 EUV01 FHI01 HTW01 IOS01 Volltext |
| 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 |
| Beschreibung: | 1 Online-Ressource |
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| 520 | 3 | |a "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 | |
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| index_date | 2024-07-03T22:27:48Z |
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| spelling | Levy Yeyati, Eduardo 1965- Verfasser (DE-588)128755024 aut Market discipline under systemic risk evidence from bank runs in emerging economies Eduardo Levy Yeyati, Maria Soledad Martinez Peria, and Sergio Schmukler [Washington, D.C] World Bank [2004] 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Policy research working paper 3440 Includes bibliographical references Title from PDF file as viewed on 10/29/2004 "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 Online-Ausg Also available in print Bank failures Capital market Risk management Martínez Pería, María Soledad 1970- Sonstige (DE-588)138926514 oth Schmukler, Sergio L. Sonstige (DE-588)124322506 oth World Bank Sonstige oth Levy Yeyati, Eduardo Market discipline under systemic risk http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3440 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Levy Yeyati, Eduardo 1965- Market discipline under systemic risk evidence from bank runs in emerging economies Bank failures Capital market Risk management |
| title | Market discipline under systemic risk evidence from bank runs in emerging economies |
| title_auth | Market discipline under systemic risk evidence from bank runs in emerging economies |
| title_exact_search | Market discipline under systemic risk evidence from bank runs in emerging economies |
| title_exact_search_txtP | Market discipline under systemic risk evidence from bank runs in emerging economies |
| title_full | Market discipline under systemic risk evidence from bank runs in emerging economies Eduardo Levy Yeyati, Maria Soledad Martinez Peria, and Sergio Schmukler |
| title_fullStr | Market discipline under systemic risk evidence from bank runs in emerging economies Eduardo Levy Yeyati, Maria Soledad Martinez Peria, and Sergio Schmukler |
| title_full_unstemmed | Market discipline under systemic risk evidence from bank runs in emerging economies Eduardo Levy Yeyati, Maria Soledad Martinez Peria, and Sergio Schmukler |
| title_short | Market discipline under systemic risk |
| title_sort | market discipline under systemic risk evidence from bank runs in emerging economies |
| title_sub | evidence from bank runs in emerging economies |
| topic | Bank failures Capital market Risk management |
| topic_facet | Bank failures Capital market Risk management |
| url | http://elibrary.worldbank.org/content/workingpaper/10.1596/1813-9450-3440 |
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