Isabelle Distinguin

• University of Limoges

By applying interbank network simulation, this paper investigates the impact of interbank network topology on bank liquidity ratios. Whereas regulators have put more emphasis on liquidity requirements since the global financial crisis of 2007–2008, how differently shaped interbank networks affect individual bank liquidity behavior remains an open i...

This paper investigates whether interbank network topology influences the impact of monetary policy announcements on bank cumulative abnormal returns (CAR's). Although recent studies have emphasized the channels of non-conventional monetary policy actions and the sensitivity of bank stock prices to "News", how such reaction could be influenced by t...

By applying interbank network simulation, this paper investigates the impact of interbank network topology on bank liquidity ratios. Whereas regulators have put more emphasis on liquidity requirements since the global financial crisis of 2007-2008, how differently shaped interbank networks affect individual bank liquidity behavior remains an open i...

We construct a theoretical model to analyse the impact of bank opacity and the credibility of no bail-out policies on the effectiveness of market discipline exerted by subordinated debt holders. We find that for the most opaque banks, for banks perceived as too-big-to-fail and in periods of high uncertainty like in crisis, mandatory subordinated de...

Nous analysons l’impact de l’opacité des banques et de la crédibilité de l’absence d’intervention des autorités en cas de défaillance d’une banque sur l’efficacité de la discipline de marché. Nous montrons que pour les banques les plus opaques, pour celles perçues comme « too-big-to-fail » ou en période de forte incertitude, la mise en place d’une...

We study the liquidity behavior of commercial banks in response to negative capital shocks. Using pre-Basel III data, U.S. banks with assets less than $1 billion treated (unregulated) liquidity and (regulated) capital as substitutes. Following exogenous shocks to their regulatory capital ratios, these banks shifted away from loans, loan commitments...

The theory of financial intermediation highlights various channels through which capital and liquidity are interrelated. Using a simultaneous equations framework, we investigate the relationship between bank regulatory capital and bank liquidity measured from on-balance sheet positions for European and U.S. publicly traded commercial banks. Previou...

There is a considerable debate on the role played by market discipline in the banking industry. Using data for 207 banks across 10 Central and Eastern European countries, this paper empirically analyzes the disciplining role of interbank deposits. We find that market discipline has been effective in Central and Eastern Europe since the implementati...

The theory of financial intermediation highlights various channels through which capital and liquidity are interrelated. Using a simultaneous equations framework, we investigate the relationship between bank regulatory capital buffer and liquidity for European and U.S. publicly traded commercial banks. Previous research studying the determinants of...

There is a considerable debate on the role played by deposit insurance on market discipline in the banking industry. Using data for 203 banks across 10 Central and Eastern European countries, this paper empirically analyzes the implications of the implementation of explicit deposit insurance schemes for bank risk taking and market discipline. We sh...

Using a sample of European commercial banks over the period 1993-2006, we show that market discipline significantly and positively affects banks' capital buffer. By distinguishing junior from senior debt holders, we find that both types of investors exert a pressure on banks to hold more capital but that the pressure exerted by junior debt holders...

Using an innovative approach of following the downgrade or credit rating decisions by rating agencies, this paper develops an early-warning system of bank financial distress and critically evaluates the reliability and stability of the potential indicators or factors of banks in 13 emerging economies in the MENA region. Evidence portrays that the c...

This paper investigates whether market information is reliable to predict financial deterioration of large Too Big To Fail banks in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators to predict rating downgrades. The model is then extended to assess the added value of market indicators and to test fo...

We aim to assess the accuracy of accounting and stock market indicators to predict rating changes of banks. We conduct a stepwise process to determine the optimal set of early indicators by tracing upgrades and downgrades by rating agencies as well as other relevant factors. Our results indicate that both accounting and market indicators are useful...

We aim to assess the accuracy of accounting and stock market indicators to predict rating changes of Asian banks. We specify a multinomial logit model using upgrades and downgrades by rating agencies and conduct a stepwise process to determine the optimal set of early indicators. We also test for the possible influence of bank size and bank charact...

This paper investigates whether market information could add to accounting information in the prediction of bank financial distress in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators and then extended to include market indicators. Dummy variables are also introduced in the model to account for the...

We aim to predict rating changes of Asian banks using both accounting and market indicators. We specify a multinomial logit model using upgrades and downgrades by rating agencies and conduct a stepwise process to determine the optimal set of early indicators. We also test for the possible influence of bank size and bank characteristics on the effec...

One of the aims of mandatory subordinated debt is to enhance both direct and indirect market discipline. Indeed, on the one hand, holding subordinated debt can affect banks' behaviour by changing their funding costs and, on the other hand, the rate of return of subordinated debt can be used by supervisors as a signal of their riskiness. In this pap...

Abstract : One of the aims of mandatory ,subordinated debt is to enhance ,both direct and indirect market discipline. Indeed, on the one hand, holding subordinated debt can affect banks' behaviour by changing their funding costs and, on the other hand, the rate of return of subordinated debt can be used by supervisors as a signal of their riskiness...

We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We also study the robustness of the link between market i...

We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We also study the robustness of the link between market i...

This paper studies the role that can be played by the stock market in the early detection of bank financial distress. We test the additional contribution of market indicators to accounting indicators in the European case and its accuracy for opaque institutions. We show that the significance of the marginal contribution of market indicators is depe...

Using a sample of European banks over the period 1992-2006, we show that factors such as cost of equity, risk, size, peer and market discipline can explain banks' excess capital but that these general results conceal important differences across banks: the determinants of excess capital differ depending on banks' size, activity and funding mode. Mo...