What does the yield on subordinated bank debt measure?
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2004 - Business & Economics - 31 pages
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banking organization issued banking organization-speciﬁc risk bankruptcy dividend bond market BOPEC2 box plots Brian Sack call option composite supervisory rating contract coupon frequency debt instruments debt issuance debt issues default expected sign explanatory variables ﬁnancial ﬁnd ﬁrms ﬁve incentive premium indicator that equals indicator variable Inﬂation inﬂuence informed investor hypothesis issuance decision model issue debt large U.S. banking market excess return market liquidity market price maturing or repricing MK TVOL Monetary Policy OREO parameter estimates participation constraint PDTA post-FDICIA period pre-FDICIA period price of risk private information recovery rates reﬂect regulatory risk aversion risk premium risk proxies sample selection model senior and subordinated senior debt senior investors senior spread seniority grade sensitive signiﬁcant sophisticated investors speciﬁc stacked data stock market excess subordinated and senior subordinated debt spreads subordinated spread subordinated yield spread supervisory rating equals Table total assets interacted U.S. banking organizations uninformed Wald test zero otherwise