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Conference Paper
Discussant comments on regulatory intervention
Journal Article
Will the removal of Regulation Q raise mortgage interest rates?
Journal Article
Two measures of reserves: why are they different
Journal Article
The puzzling behavior of business loans in the current recession
Journal Article
Market discipline of bank risk: theory and evidence
Working Paper
Can feedback from the jumbo-CD market improve bank surveillance?
We examine the value of jumbo certificate-of-deposit (CD) signals in bank surveillance. To do so, we first construct proxies for default premiums and deposit runoffs and then rank banks based on these risk proxies. Next, we rank banks based on the output of a logit model typical of the econometric models used in off-site surveillance. Finally, we compare jumbo-CD rankings and surveillance-model rankings as tools for predicting financial distress. Our comparisons include eight out-of-sample test windows during the 1990s. We find that rankings obtained from jumbo-CD data would not have improved ...