Statistical Opacity In The U.S. Banking Industry
Motivated by the observation that very few banks fail in normal years, we explore the impact of that pattern on the precision of a standard statistical failure model, and discuss implications for regulation and risk management. Out-of-sample forecasting is found to be worse for a model fitted to recent data with few failures than for a model fitted to much older data with more failures. This property may mask observable drift in risk linkages until aggregate risk levels have risen high enough to trigger new failures, thus suggesting an informational basis for the puzzling recurrence of bank crises.
|Date of creation:||Jun 2009|
|Contact details of provider:|| Postal: Crawford Building, Lennox Crossing, Building #132, Canberra ACT 2601|
Phone: +61 2 6125 4705
Fax: +61 2 6125 5448
Web page: http://cama.crawford.anu.edu.au
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Slovin, Myron B. & Sushka, Marie E. & Polonchek, John A., 1992. "Informational externalities of seasoned equity issues : Differences between banks and industrial firms," Journal of Financial Economics, Elsevier, vol. 32(1), pages 87-101, August.
- Hirtle, Beverly, 2006.
"Stock Market Reaction to Financial Statement Certification by Bank Holding Company CEOs,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 38(5), pages 1263-1291, August.
- Beverly Hirtle, 2003. "Stock market reaction to financial statement certification by bank holding company CEOs," Staff Reports 170, Federal Reserve Bank of New York.
- Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
- Rebel A. Cole & Jeffery W. Gunther, 1995. "FIMS: a new monitoring system for banking institutions," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jan, pages 1-15.
- Kolari, James & Glennon, Dennis & Shin, Hwan & Caputo, Michele, 2002. "Predicting large US commercial bank failures," Journal of Economics and Business, Elsevier, vol. 54(4), pages 361-387.
- Julapa Jagtiani & James Kolari & Catharine Lemieux & G. Hwan Shin, 2003. "Early warning models for bank supervision: Simpler could be better," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 49-60.
- Martin, Daniel, 1977. "Early warning of bank failure : A logit regression approach," Journal of Banking & Finance, Elsevier, vol. 1(3), pages 249-276, November.
- Giuliano Iannotta, 2006. "Testing for Opaqueness in the European Banking Industry: Evidence from Bond Credit Ratings," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 287-309, December.
- Rebel A. Cole & Jeffery W. Gunther, 1993.
"Separating the likelihood and timing of bank failure,"
Finance and Economics Discussion Series
93-20, Board of Governors of the Federal Reserve System (U.S.).
- Cole, Rebel A. & Gunther, Jeffery W., 1995. "Separating the likelihood and timing of bank failure," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1073-1089, September.
- Rebel A. Cole & Jeffery W. Gunther, 1993. "Separating the likelihood and timing of bank failure," Financial Industry Studies Working Paper 93-2, Federal Reserve Bank of Dallas.
- James Kolari & Michele Caputo & Drew Wagner, 1996. "Trait Recognition: An Alternative Approach to Early Warning Systems in Commercial Banking," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(9-10), pages 1415-1434, December.
- Arena, Marco, 2008.
"Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data,"
Journal of Banking & Finance,
Elsevier, vol. 32(2), pages 299-310, February.
- Marco Arena, 2005. "Bank Failures and Bank Fundamentals: A Comparative Analysis of Latin America and East Asia during the Nineties using Bank-Level Data," Staff Working Papers 05-19, Bank of Canada.
- DeYoung, Robert, 2003. "The failure of new entrants in commercial banking markets: a split-population duration analysis," Review of Financial Economics, Elsevier, vol. 12(1), pages 7-33.
- DeYoung, Robert & Hasan, Iftekhar, 1998. "The performance of de novo commercial banks: A profit efficiency approach," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 565-587, May.
- Wheelock, David C & Wilson, Paul W, 1995.
"Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency,"
The Review of Economics and Statistics,
MIT Press, vol. 77(4), pages 689-700, November.
- David C. Wheelock & Paul W. Wilson, 1993. "Explaining bank failures: deposit insurance, regulation, and efficiency," Working Papers 1993-002, Federal Reserve Bank of St. Louis.
- Rebel Cole & Jeffery Gunther, 1998. "Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems," Journal of Financial Services Research, Springer;Western Finance Association, vol. 13(2), pages 103-117, April.
- Meyer, Paul A & Pifer, Howard W, 1970. "Prediction of Bank Failures," Journal of Finance, American Finance Association, vol. 25(4), pages 853-868, September.
- Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
- Edwards, Franklin R, 1977. "Managerial Objectives in Regulated Industries: Expense-Preference Behavior in Banking," Journal of Political Economy, University of Chicago Press, vol. 85(1), pages 147-162, February.
When requesting a correction, please mention this item's handle: RePEc:een:camaaa:2009-16. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Cama Admin)
If references are entirely missing, you can add them using this form.