IDEAS home Printed from https://ideas.repec.org/a/ebl/ecbull/eb-17-00473.html
   My bibliography  Save this article

Should CAMELS ratings be publicly disclosed?

Author

Listed:
  • SingRu Hoe

    (Texas A&M University - Commerce)

  • Srinivas Nippani

    (Texas A&M University - Commerce)

  • John David Diltz

    (University of Texas at Arlington)

Abstract

We explore the optimal disclosure of CAMELS ratings. We employ a Stackelberg leader-follower model to obtain net social welfare from disclosure. We extend the model by incorporating dynamic stochastic optimization, resulting in an optimal stopping problem that we solve using variational inequalities. Optimal disclosure is characterized by an explicit ratio of social benefit to social cost.

Suggested Citation

  • SingRu Hoe & Srinivas Nippani & John David Diltz, 2017. "Should CAMELS ratings be publicly disclosed?," Economics Bulletin, AccessEcon, vol. 37(3), pages 1567-1572.
    • Handle: RePEc:ebl:ecbull:eb-17-00473
    as

    Download full text from publisher

    File URL: http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I3-P143.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    2. Curry, Timothy J. & Fissel, Gary S. & Ramirez, Carlos D., 2008. "The impact of bank supervision on loan growth," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 113-134, August.
    3. Edward Simpson Prescott, 2008. "Should bank supervisors disclose information about their banks?," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Win), pages 1-16.
    4. DeYoung, Robert, et al, 2001. "The Information Content of Bank Exam Ratings and Subordinated Debt Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(4), pages 900-925, November.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bassett, William F. & Lee, Seung Jung & Spiller, Thomas Popeck, 2015. "Estimating changes in supervisory standards and their economic effects," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 21-43.
    2. Gaul, Lewis & Palvia, Ajay, 2013. "Are regulatory management evaluations informative about bank accounting returns and risk?," Journal of Economics and Business, Elsevier, vol. 66(C), pages 1-21.
    3. Oscar Gutiérrez & Francisco Ruiz-Aliseda, 2011. "Real options with unknown-date events," Annals of Finance, Springer, vol. 7(2), pages 171-198, May.
    4. Arve, Malin & Zwart, Gijsbert, 2023. "Optimal procurement and investment in new technologies under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
    5. Marks, Phillipa & Marks, Brian, 2007. "Spectrum Allocation, Spectrum Commons and Public Goods: the Role of the Market," MPRA Paper 6785, University Library of Munich, Germany.
    6. Pierre‐Richard Agénor, 2004. "Macroeconomic Adjustment and the Poor: Analytical Issues and Cross‐Country Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 18(3), pages 351-408, July.
    7. Atal, Vidya & Bar, Talia & Gordon, Sidartha, 2016. "Project selection: Commitment and competition," Games and Economic Behavior, Elsevier, vol. 96(C), pages 30-48.
    8. Prelipcean, Gabriela & Boscoianu, Mircea, 2019. "Aspect Regarding the Design of Active Strategies for Venture Capital Financing – the Flexible Adjustment for Romania as a Frontier Capital Market," Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference (2019), Rovinj, Croatia, in: Proceedings of the ENTRENOVA - ENTerprise REsearch InNOVAtion Conference, Rovinj, Croatia, 12-14 September 2019, pages 187-196, IRENET - Society for Advancing Innovation and Research in Economy, Zagreb.
    9. Waters, James, 2015. "Optimal design and consequences of financial disclosure regulation: a real options approach," MPRA Paper 63369, University Library of Munich, Germany.
    10. Golub, Alexander (Голуб, Александр), 2018. "Methodological Issues of Assessing Investment Risks in Projects Weakening the Dependence of the Russian Economy on Natural Resources and Providing a Transition to Low-Carbon Development [Методологи," Working Papers 071802, Russian Presidential Academy of National Economy and Public Administration.
    11. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
    12. Casper Agaton, 2017. "Coal, Renewable, or Nuclear? A Real Options Approach to Energy Investments in the Philippines," International Journal of Sustainable Energy and Environmental Research, Conscientia Beam, vol. 6(2), pages 50-62.
    13. Pringles, Rolando & Olsina, Fernando & Penizzotto, Franco, 2020. "Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method," Renewable Energy, Elsevier, vol. 151(C), pages 846-864.
    14. Jaewon Jung, 2023. "Multinational Firms and Economic Integration: The Role of Global Uncertainty," Sustainability, MDPI, vol. 15(3), pages 1-18, February.
    15. Alvarez, Luis H. R., 1998. "Exit strategies and price uncertainty: a Greenian approach," Journal of Mathematical Economics, Elsevier, vol. 29(1), pages 43-56, January.
    16. Arora, Ashish & Fosfuri, Andrea, 1999. "Exploring the internalization rationale for international investment: wholly owned subsidiary versus technology licensing in the worldwide chemical industry," DEE - Working Papers. Business Economics. WB 6430, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    17. Shunsuke Managi & Zheng Zhang & Shinya Horie, 2016. "A real options approach to environmental R&D project evaluation," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 18(3), pages 359-394, July.
    18. Chen Yu-Fu & Funke Michael, 2004. "Working Time and Employment Under Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-23, September.
    19. Nick Bloom & Stephen Bond & John Van Reenen, 2007. "Uncertainty and Investment Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(2), pages 391-415.
    20. Keppler, Jan Horst & Quemin, Simon & Saguan, Marcelo, 2022. "Why the sustainable provision of low-carbon electricity needs hybrid markets," Energy Policy, Elsevier, vol. 171(C).

    More about this item

    Keywords

    CAMELS Ratings; Stackelberg Leader-Follower Game; Optimal Stopping; Variational Inequality;
    All these keywords.

    JEL classification:

    • Z0 - Other Special Topics - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-17-00473. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: John P. Conley (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.