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Advisor(s)
Abstract(s)
A recente crise financeira e suas consequentes distorções levantaram muitas
questões relativas à segurança do sistema financeiro. Uma das causas foi o
excessivo comportamento de risco que os bancos comerciais têm vindo a tomar
desde os anos 80, que explodiu a partir de 2000. Propostas regulatórias, incluindo
dívida subordinada, têm vindo aumentando desde o último quarto do século 20,
pois proporcionam uma disciplina mais direta do mercado. O capital contingente
tornou-se o foco após a introdução dos rácios mínios de capital, especialmente
com o Acordo de Basileia III.
Esta tese propõe examinar se dívida subordinada e capital contingente, são
capazes de conter o comportamento de risco de bancos não too-big-to-fail e toobig-
to-fail. Testarei a hipótese de que a dívida subordinada tem um impacto
negativo no comportamento de risco dos bancos não too-big-to-fail e nenhum
impacto nos bancos too-big-to-fail. Testarei também a hipótese do capital
contingente ter um impacto negativo nos bancos não too-big-to-fail e too-big-to-fail.
A estimação do impacto da dívida subordinada e do capital contingente no
comportamento de risco será feita usando uma amostra de bancos comerciais dos
Estados Unidos de 1996 a 2013. Incluirei também outras características
observadas como controlos. Usarei ainda a técnica de instrumentos variáveis.
Os resultados sugerem que a dívida subordinada tem um impacto negativo
no comportamento de risco de bancos não too-big-to-fail. O impacto também é
negativo para too-big-to-fail. Nenhuma evidência estatística foi encontrada sobre
o impacto do capital contingente em bancos não too-big-to-fail e too-big-to-fail. No
entanto, os resultados devem ser vistos com cuidado, pois podem estar
enviesados devido à correlação dos instrumentos com a variável explicada. Esses
resultados foram corroborados por um teste à robustez.
The recent financial crisis and its consequent distortions have raised a lot of issues regarding the safety of the financial system. One of its triggers was the excessive risk-taking behaviour that commercial banks have been taking since the 80’s which boomed from 2000 on. Regulatory proposals including subordinated debt have been increasing since the last quarter of 20th century for it provided more direct market discipline. Contingent capital became the focus after capital requirements took place, especially with the Basel III Accord. This thesis proposes to examine whether subordinated debt and contingent capital, are able to refrain the risk-taking behaviour of both too-big-to-fail and non-too-big-to-fail banks. I test the hypothesis that subordinated debt has a negative impact on risk-taking behaviour of non-too-big-to-fail banks and no impact on too-big-to-fail banks. In addition, I test the hypothesis that contingent capital has a negative impact in both non-to-big-to-fail and too-big-to-fail banks. I estimate the impact of subordinated debt and contingent capital on risk taking-behaviour using a sample of US commercial banks from 1996 to 2013. I also include some observed features as controls. Finally, I use instrumental variables techniques. Findings suggest that subordinated debt has a negative impact on risk-taking behaviour of non-too-big-to-fail banks. The impact is also negative for too-bigto- fail banks. No statistically significant evidence was found about the impact of contingent capital on either non-too-big-to-fail or too-big-to-fail banks. However, these results must be seen carefully for they might be biased due to instruments correlation with the explained variable. They were corroborated by the robustness check.
The recent financial crisis and its consequent distortions have raised a lot of issues regarding the safety of the financial system. One of its triggers was the excessive risk-taking behaviour that commercial banks have been taking since the 80’s which boomed from 2000 on. Regulatory proposals including subordinated debt have been increasing since the last quarter of 20th century for it provided more direct market discipline. Contingent capital became the focus after capital requirements took place, especially with the Basel III Accord. This thesis proposes to examine whether subordinated debt and contingent capital, are able to refrain the risk-taking behaviour of both too-big-to-fail and non-too-big-to-fail banks. I test the hypothesis that subordinated debt has a negative impact on risk-taking behaviour of non-too-big-to-fail banks and no impact on too-big-to-fail banks. In addition, I test the hypothesis that contingent capital has a negative impact in both non-to-big-to-fail and too-big-to-fail banks. I estimate the impact of subordinated debt and contingent capital on risk taking-behaviour using a sample of US commercial banks from 1996 to 2013. I also include some observed features as controls. Finally, I use instrumental variables techniques. Findings suggest that subordinated debt has a negative impact on risk-taking behaviour of non-too-big-to-fail banks. The impact is also negative for too-bigto- fail banks. No statistically significant evidence was found about the impact of contingent capital on either non-too-big-to-fail or too-big-to-fail banks. However, these results must be seen carefully for they might be biased due to instruments correlation with the explained variable. They were corroborated by the robustness check.
Description
Keywords
Dívida subordinada Capital contingente Comportamento de risco Subordinated debt Contingent capital Risk-taking behaviour