Market discipline under systemic risk :
Levy Yeyati, Eduardo.
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. - 48p ; 27 cm. - Policy research working papers ; no. 3440 .
Also available online. "Levy-Yayati, Martinez Peria, and Schmukler show that systematic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. systematic 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 in deeded 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
Includes bibliographical references.
Open access.
Capital market.
Bank failures.
Risk management.
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. - 48p ; 27 cm. - Policy research working papers ; no. 3440 .
Also available online. "Levy-Yayati, Martinez Peria, and Schmukler show that systematic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. systematic 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 in deeded 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
Includes bibliographical references.
Open access.
Capital market.
Bank failures.
Risk management.