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Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises

Author

Listed:
  • Hafiz Hoque
  • Dimitris Andriosopoulos
  • Kostas Andriosopoulos

    (ESCP Europe - Ecole Supérieure de Commerce de Paris)

  • Raphaël Douady

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we analyze whether regulation reduced risk during the credit crisis and the sovereign debt crisis for a cross section of global banks. In this regard, we examine distance to default (Laeven and Levine, 2008), systemic risk (Acharya et al., 2010), idiosyncratic risk, and systematic risk. We employ World Bank survey data on regulations to test our conjectures. We find that regulatory restrictions, official supervisory power, capital stringency, along with private monitoring can explain bank risk in both crises. Additionally, we find that deposit insurance schemes enhance moral hazard, as this encouraged banks to take on more risk and perform poorly during the sovereign debt crisis. Finally, official supervision and private monitoring explains the returns during both crisis periods.

Suggested Citation

  • Hafiz Hoque & Dimitris Andriosopoulos & Kostas Andriosopoulos & Raphaël Douady, 2015. "Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises," Post-Print hal-01161670, HAL.
  • Handle: RePEc:hal:journl:hal-01161670
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01161670
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    More about this item

    Keywords

    bank; bank regulation; capital; credit; debt; debt crisis; deposit; deposit insurance; hazard; monitoring; moral hazard; regulation;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G2 - Financial Economics - - Financial Institutions and Services
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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