We provide direct evidence regarding the risk and reputational capital implications of commercial bank securities underwriting activities. Using a large sample of commercial bank underwritten initial public offerings (IPOs) and comparisons with investment bank underwritten issues, we find that (1) commercial banks are no more likely to misprice IPOs than are traditional investment banks, and (2...

In this paper, I revisit an old question in the analysis of monetary policy that was first studied by Rogoff (1985) — should central banks pursue objectives that differ systematically from social welfare? I investigate how the answer to this question is affected by the degree of transparency that characterizes monetary policy. When the policy regime is one of discretion and the central bank is ...

We study financial fragility, exchange rate crises, and monetary policy in an open economy version of a Diamond-Dybvig model. The banking system, the exchange rate regime, and central bank credit policy are seen as parts of a mechanism intended to maximize social welfare; if the mechanism fails, banking crises and speculative attacks become possible. We compare currency boards, fixed rates, and...

This paper hypothesizes that the special role of banks as corporate quasi-insiders has been changing due to developments in informational, legal and institutional infrastructures of syndicated loan markets. We investigate the integration of intermediated and disintermediated financial markets through highly leveraged transaction (HLT) syndicated loans during the 1990s. We demonstrate that, with...

JEL Classification C12; C23; G21; G32. The only way to ensure a well-informed response to bank risks is by ensuring transparent disclosures that flourish with potential synergy. This study investigates the impact of bank disclosures on credit risk where panel data are used. PCSE and FGLS regression models are applied to a sample of 32 commercial banks in Bangladesh from 2010 to 2014. The result...

We investigate the interdependence of the default risk of several Eurozone countries (France, Germany, Italy, Ireland, Netherlands, Portugal, Spain) and their domestic banks during the period June 2007 May 2010, using daily credit default swaps (CDS). Bank bailout programs changed the composition of both banks’ and sovereign balance sheets and, moreover, affected the linkage between the default...

This paper models loan rate-setting behavior, taking into account the product pricing and performance of the borrowing firm, and also calculates the bank’s loan-risk sensitive equity values. The lending function creates the need to model bank equity as a capped call option, which captures the credit risk directly related to management of a firm’s operations. When the product price set by the bo...

In this paper, we use a semi-parametric two-stage model to examine the effect of bankspecific, industry-specific and macroeconomic determinants of bank efficiency. This method, proposed by Simar and Wilson (2007), relaxes several deficiencies of previous two-stage analyses, which regress non-parametric estimates of bank efficiency on exogenous determinants. In particular, we propose a bootstrap...

Measurement error is ubiquitous in experimental work. It leads to imperfect statistical controls, attenuated estimated effects of elicited behaviors, and biased correlations between characteristics. We develop statistical techniques for handling experimental measurement error. These techniques are applied to data from the Caltech Cohort Study, which conducts repeated incentivized surveys of the...

The study analyzes the extent to which student self-reported data are biased and what variables can predict the degree of the bias. A variable that students feel more sensitive about is compared in terms of reporting bias to other less sensitive variables. The reporting bias is significant only for the sensitive variable. The study explains the reporting bias for the sensitive variable on the b...