Incorporating Equity Market Information into Supervisory Monitoring Models
John Krainer () and
Jose Lopez ()
Journal of Money, Credit and Banking, 2004, vol. 36, issue 6, pages 1043-67
We examine whether equity market variables, such as stock returns and equity-based default probabilities, are useful to U.S. bank supervisors for assessing the condition of domestic bank holding companies. We develop a model of supervisory ratings that combines supervisory and equity market information. We find that the model's forecasts anticipate supervisory rating changes by up to four quarters. Relative to simply using supervisory variables, the inclusion of equity market variables in the model does not improve forecast accuracy. However, we argue that equity market information should still be useful for forecasting supervisory ratings and should be incorporated into supervisory monitoring models.
References: Add references at CitEc
Citations View citations in EconPapers (30) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Working Paper: Incorporating equity market information into supervisory monitoring models (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:mcb:jmoncb:v:36:y:2004:i:6:p:1043-67
Access Statistics for this article
Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West
More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Series data maintained by Wiley-Blackwell Digital Licensing ().