Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
}
TY - JOUR
T1 - Bank liability structure, FDIC loss, and time to failure
T2 - a quantile regression approach
AU - Schaeck, Klaus
PY - 2008/6/1
Y1 - 2008/6/1
N2 - Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between 1984 and 2003, I present a quantile regression approach that illustrates the sensitivity of the dollar value of losses in different quantiles to my explanatory variables. These findings suggest that reliance on standard econometric techniques results in misleading inferences, and that losses are not homogeneously driven by the same factors across the quantiles. I also find that liability composition affects time to failure.
AB - Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between 1984 and 2003, I present a quantile regression approach that illustrates the sensitivity of the dollar value of losses in different quantiles to my explanatory variables. These findings suggest that reliance on standard econometric techniques results in misleading inferences, and that losses are not homogeneously driven by the same factors across the quantiles. I also find that liability composition affects time to failure.
KW - bank liability structure
KW - loss given default
KW - market discipline
KW - time to failure
KW - quantile regression
U2 - 10.1007/s10693-008-0028-5
DO - 10.1007/s10693-008-0028-5
M3 - Journal article
VL - 33
SP - 163
EP - 179
JO - Journal of Financial Services Research
JF - Journal of Financial Services Research
SN - 0920-8550
IS - 3
ER -